Nowcasting the financial time series with streaming data analytics under apache spark

MAA Khan, C Bhushan, V Ravi, VS Rao… - arXiv preprint arXiv …, 2022 - arxiv.org
MAA Khan, C Bhushan, V Ravi, VS Rao, SS Orsu
arXiv preprint arXiv:2202.11820, 2022arxiv.org
This paper proposes nowcasting of high-frequency financial datasets in real-time with a 5-
minute interval using the streaming analytics feature of Apache Spark. The proposed 2 stage
method consists of modelling chaos in the first stage and then using a sliding window
approach for training with machine learning algorithms namely Lasso Regression, Ridge
Regression, Generalised Linear Model, Gradient Boosting Tree and Random Forest
available in the MLLib of Apache Spark in the second stage. For testing the effectiveness of …
This paper proposes nowcasting of high-frequency financial datasets in real-time with a 5-minute interval using the streaming analytics feature of Apache Spark. The proposed 2 stage method consists of modelling chaos in the first stage and then using a sliding window approach for training with machine learning algorithms namely Lasso Regression, Ridge Regression, Generalised Linear Model, Gradient Boosting Tree and Random Forest available in the MLLib of Apache Spark in the second stage. For testing the effectiveness of the proposed methodology, 3 different datasets, of which two are stock markets namely National Stock Exchange & Bombay Stock Exchange, and finally One Bitcoin-INR conversion dataset. For evaluating the proposed methodology, we used metrics such as Symmetric Mean Absolute Percentage Error, Directional Symmetry, and Theil U Coefficient. We tested the significance of each pair of models using the Diebold Mariano (DM) test.
arxiv.org
以上显示的是最相近的搜索结果。 查看全部搜索结果