Graph-Based Stock Volatility Forecasting with Effective Transfer Entropy and Hurst-Based Regime Adaptation

This study proposes a novel hybrid model for stock volatility forecasting by integrating directional and temporal dependencies among financial time series and market regime changes into a unified modeling framework. Specifically, we design a novel Hurst Exponent Effective Transfer Entropy Graph Neur...

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Bibliographic Details
Main Authors: Sangheon Lee, Poongjin Cho
Format: Article
Language:English
Published: MDPI AG 2025-05-01
Series:Fractal and Fractional
Subjects:
Online Access:https://www.mdpi.com/2504-3110/9/6/339
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