A GCN-LSTM Approach for ES-mini and VX Futures Forecasting

Nikolas Michael, Mihai Cucuringu and Sam Howison

Papers from arXiv.org

Abstract: We propose a novel data-driven network framework for forecasting problems related to E-mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations act as distinct nodes. We provide visual demonstrations of the correlation structures of these products in terms of their returns, realized volatility, and trading volume. The resulting networks offer insights into the contemporaneous movements across the different products, illustrating how inherently connected the movements of the future products belonging to these two classes are. These networks are further utilized by a multi-channel Graph Convolutional Network to enhance the predictive power of a Long Short-Term Memory network, allowing for the propagation of forecasts of highly correlated quantities, combining the temporal with the spatial aspect of the term structure.

Date: 2024-08
New Economics Papers: this item is included in nep-for and nep-net
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