{"id":"https://openalex.org/W4210331913","doi":"https://doi.org/10.1007/978-3-030-95470-3_40","title":"Multivariate LSTM for Stock Market Volatility Prediction","display_name":"Multivariate LSTM for Stock Market Volatility Prediction","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4210331913","doi":"https://doi.org/10.1007/978-3-030-95470-3_40"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-030-95470-3_40","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-95470-3_40","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://link.springer.com/chapter/10.1007/978-3-030-95470-3_40","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058814197","display_name":"Osama Assaf","orcid":null},"institutions":[{"id":"https://openalex.org/I71052956","display_name":"University of Reading","ror":"https://ror.org/05v62cm79","country_code":"GB","type":"education","lineage":["https://openalex.org/I71052956"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Osama Assaf","raw_affiliation_strings":["Department of Computer Science, University of Reading, Reading, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Reading, Reading, UK","institution_ids":["https://openalex.org/I71052956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5007549483","display_name":"Giuseppe Di Fatta","orcid":"https://orcid.org/0000-0003-3096-2844"},"institutions":[{"id":"https://openalex.org/I71052956","display_name":"University of Reading","ror":"https://ror.org/05v62cm79","country_code":"GB","type":"education","lineage":["https://openalex.org/I71052956"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Giuseppe Di Fatta","raw_affiliation_strings":["Department of Computer Science, University of Reading, Reading, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Reading, Reading, UK","institution_ids":["https://openalex.org/I71052956"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026158192","display_name":"Giuseppe Nicosia","orcid":"https://orcid.org/0000-0002-0650-3157"},"institutions":[{"id":"https://openalex.org/I39063666","display_name":"University of Catania","ror":"https://ror.org/03a64bh57","country_code":"IT","type":"education","lineage":["https://openalex.org/I39063666"]},{"id":"https://openalex.org/I71052956","display_name":"University of Reading","ror":"https://ror.org/05v62cm79","country_code":"GB","type":"education","lineage":["https://openalex.org/I71052956"]}],"countries":["GB","IT"],"is_corresponding":false,"raw_author_name":"Giuseppe Nicosia","raw_affiliation_strings":["Department of Computer Science, University of Reading, Reading, UK","Department of Biomedical and Biotechnological Sciences \u2013 School of Medicine, University of Catania, Catania, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Reading, Reading, UK","institution_ids":["https://openalex.org/I71052956"]},{"raw_affiliation_string":"Department of Biomedical and Biotechnological Sciences \u2013 School of Medicine, University of Catania, Catania, Italy","institution_ids":["https://openalex.org/I39063666"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5058814197"],"corresponding_institution_ids":["https://openalex.org/I71052956"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":3.4165,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.93418647,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"531","last_page":"544"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9958000183105469,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11052","display_name":"Energy Load and Power Forecasting","score":0.9944999814033508,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.7545188665390015},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6753048896789551},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6453181505203247},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.6148995161056519},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5472187995910645},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.5269865989685059},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4780988395214081},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.4498702883720398},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.4372071921825409},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.3649669885635376},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.3307992219924927},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16236823797225952}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7545188665390015},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6753048896789551},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6453181505203247},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.6148995161056519},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5472187995910645},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5269865989685059},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4780988395214081},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4498702883720398},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.4372071921825409},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.3649669885635376},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3307992219924927},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16236823797225952},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-030-95470-3_40","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-95470-3_40","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},{"id":"pmh:oai:alma.39UBZ_INST:11292888180001241","is_oa":true,"landing_page_url":"https://link.springer.com/chapter/10.1007/978-3-030-95470-3_40","pdf_url":null,"source":{"id":"https://openalex.org/S4210197018","display_name":"Open Research (University of Surrey)","issn_l":"2688-268X","issn":["2688-268X","2688-3988"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference Proceedings"},{"id":"pmh:oai:centaur.reading.ac.uk:104786","is_oa":false,"landing_page_url":"https://centaur.reading.ac.uk/104786/","pdf_url":null,"source":{"id":"https://openalex.org/S4306402273","display_name":"CentAUR (University of Reading)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I71052956","host_organization_name":"University of Reading","host_organization_lineage":["https://openalex.org/I71052956"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Book or Report Section"}],"best_oa_location":{"id":"pmh:oai:alma.39UBZ_INST:11292888180001241","is_oa":true,"landing_page_url":"https://link.springer.com/chapter/10.1007/978-3-030-95470-3_40","pdf_url":null,"source":{"id":"https://openalex.org/S4210197018","display_name":"Open Research (University of Surrey)","issn_l":"2688-268X","issn":["2688-268X","2688-3988"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference Proceedings"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1946238955","https://openalex.org/W2021938316","https://openalex.org/W2064675550","https://openalex.org/W2077791698","https://openalex.org/W2122789673","https://openalex.org/W2301106258","https://openalex.org/W2607162077","https://openalex.org/W2624385633","https://openalex.org/W2865675487","https://openalex.org/W2894821558","https://openalex.org/W2905238323","https://openalex.org/W2980742066","https://openalex.org/W2995015263","https://openalex.org/W3021785726","https://openalex.org/W3040674358"],"related_works":["https://openalex.org/W3046357205","https://openalex.org/W3122544694","https://openalex.org/W3123954224","https://openalex.org/W1748128690","https://openalex.org/W2561005359","https://openalex.org/W3126075830","https://openalex.org/W4300827384","https://openalex.org/W1877031344","https://openalex.org/W2950618784","https://openalex.org/W3123174635"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2}],"updated_date":"2026-08-06T08:24:18.245995","created_date":"2025-10-10T00:00:00"}
