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