WebIncorporating Interactive Facts for Stock Selection via Neural Recursive ODEs Qiang Gao, Xinzhu Zhou, Kunpeng Zhang, Li Huang, Siyuan Liu, and Fan Zhou Abstract—Stock selection attempts to rank a list of stocks for optimizing investment decision making, aiming at minimizing investment risks while maximizing profit returns. WebBased on high-frequency volatility, cumulative trading volumes, trade counts and market depth of var-ious stocks traded at the NYSE, we show that the proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order moments. To capture the latter, we propose a DCC-GARCH specification.
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