{"id":"https://openalex.org/W7126171656","doi":"https://doi.org/10.1016/j.eswa.2026.131358","title":"An efficient big data framework for validating the random walk hypothesis in high-frequency markets via neural networks and large language models","display_name":"An efficient big data framework for validating the random walk hypothesis in high-frequency markets via neural networks and large language models","publication_year":2026,"publication_date":"2026-01-31","ids":{"openalex":"https://openalex.org/W7126171656","doi":"https://doi.org/10.1016/j.eswa.2026.131358"},"language":"en","primary_location":{"id":"doi:10.1016/j.eswa.2026.131358","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eswa.2026.131358","pdf_url":null,"source":{"id":"https://openalex.org/S13144211","display_name":"Expert Systems with Applications","issn_l":"0957-4174","issn":["0957-4174","1873-6793"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Expert Systems with Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5124322216","display_name":"Yueyue Sun","orcid":null},"institutions":[{"id":"https://openalex.org/I125839683","display_name":"Beijing Institute of Technology","ror":"https://ror.org/01skt4w74","country_code":"CN","type":"education","lineage":["https://openalex.org/I125839683","https://openalex.org/I890469752"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yueyue Sun","raw_affiliation_strings":["School of Mathematics and Statistics, Beijing Institute of Technology, Beijing, China"],"raw_orcid":"https://orcid.org/0009-0005-3951-6981","affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Beijing Institute of Technology, Beijing, China","institution_ids":["https://openalex.org/I125839683"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5113516009","display_name":"Chi Chiu So","orcid":"https://orcid.org/0009-0002-4486-0830"},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Chi Chiu So","raw_affiliation_strings":["School of Professional Education and Executive Development, The Hong Kong Polytechnic University, Hong Kong, China"],"raw_orcid":"https://orcid.org/0009-0002-4486-0830","affiliations":[{"raw_affiliation_string":"School of Professional Education and Executive Development, The Hong Kong Polytechnic University, Hong Kong, China","institution_ids":["https://openalex.org/I14243506"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5124372250","display_name":"Su Tan","orcid":null},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Su Tan","raw_affiliation_strings":["College of Business, City University of Hong Kong, Hong Kong, China"],"raw_orcid":"https://orcid.org/0009-0005-3081-7446","affiliations":[{"raw_affiliation_string":"College of Business, City University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5111976261","display_name":"Siu Pang Yung","orcid":"https://orcid.org/0000-0003-1583-2953"},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Siu Pang Yung","raw_affiliation_strings":["Department of Mathematics, The University of Hong Kong, Hong Kong, China"],"raw_orcid":"https://orcid.org/0000-0003-1583-2953","affiliations":[{"raw_affiliation_string":"Department of Mathematics, The University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I889458895"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5124304195","display_name":"Junmin Wang","orcid":null},"institutions":[{"id":"https://openalex.org/I125839683","display_name":"Beijing Institute of Technology","ror":"https://ror.org/01skt4w74","country_code":"CN","type":"education","lineage":["https://openalex.org/I125839683","https://openalex.org/I890469752"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Junmin Wang","raw_affiliation_strings":["School of Mathematics and Statistics, Beijing Institute of Technology, Beijing, China"],"raw_orcid":"https://orcid.org/0000-0002-7482-9386","affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Beijing Institute of Technology, Beijing, China","institution_ids":["https://openalex.org/I125839683"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5124304195"],"corresponding_institution_ids":["https://openalex.org/I125839683"],"apc_list":{"value":3500,"currency":"USD","value_usd":3500},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0797287,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"311","issue":null,"first_page":"131358","last_page":"131358"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9330000281333923,"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":0.9330000281333923,"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/T11918","display_name":"Forecasting Techniques and Applications","score":0.009999999776482582,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.004999999888241291,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/predictability","display_name":"Predictability","score":0.805899977684021},{"id":"https://openalex.org/keywords/random-walk","display_name":"Random walk","score":0.6658999919891357},{"id":"https://openalex.org/keywords/automatic-summarization","display_name":"Automatic summarization","score":0.5551999807357788},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.5288000106811523},{"id":"https://openalex.org/keywords/big-data","display_name":"Big data","score":0.510699987411499},{"id":"https://openalex.org/keywords/random-forest","display_name":"Random forest","score":0.5103999972343445},{"id":"https://openalex.org/keywords/random-walk-hypothesis","display_name":"Random walk hypothesis","score":0.5015000104904175},{"id":"https://openalex.org/keywords/bridging","display_name":"Bridging (networking)","score":0.44600000977516174},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.43689998984336853}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.8062999844551086},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.805899977684021},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.6658999919891357},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.5630000233650208},{"id":"https://openalex.org/C170858558","wikidata":"https://www.wikidata.org/wiki/Q1394144","display_name":"Automatic summarization","level":2,"score":0.5551999807357788},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.5288000106811523},{"id":"https://openalex.org/C75684735","wikidata":"https://www.wikidata.org/wiki/Q858810","display_name":"Big data","level":2,"score":0.510699987411499},{"id":"https://openalex.org/C169258074","wikidata":"https://www.wikidata.org/wiki/Q245748","display_name":"Random forest","level":2,"score":0.5103999972343445},{"id":"https://openalex.org/C46461501","wikidata":"https://www.wikidata.org/wiki/Q1935853","display_name":"Random walk hypothesis","level":4,"score":0.5015000104904175},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.5001000165939331},{"id":"https://openalex.org/C174348530","wikidata":"https://www.wikidata.org/wiki/Q188635","display_name":"Bridging (networking)","level":2,"score":0.44600000977516174},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.43689998984336853},{"id":"https://openalex.org/C137293760","wikidata":"https://www.wikidata.org/wiki/Q3621696","display_name":"Language model","level":2,"score":0.39800000190734863},{"id":"https://openalex.org/C112313634","wikidata":"https://www.wikidata.org/wiki/Q7886648","display_name":"Complement (music)","level":5,"score":0.35190001130104065},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.31839999556541443},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.3122999966144562},{"id":"https://openalex.org/C26713055","wikidata":"https://www.wikidata.org/wiki/Q245962","display_name":"Implementation","level":2,"score":0.31220000982284546},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.296999990940094},{"id":"https://openalex.org/C114289077","wikidata":"https://www.wikidata.org/wiki/Q3284399","display_name":"Statistical model","level":2,"score":0.29030001163482666},{"id":"https://openalex.org/C68339613","wikidata":"https://www.wikidata.org/wiki/Q1549489","display_name":"Speedup","level":2,"score":0.2883000075817108},{"id":"https://openalex.org/C29368100","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Efficient-market hypothesis","level":4,"score":0.2865999937057495},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.2824999988079071},{"id":"https://openalex.org/C147168706","wikidata":"https://www.wikidata.org/wiki/Q1457734","display_name":"Recurrent neural network","level":3,"score":0.2818000018596649},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.27309998869895935},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.2718999981880188}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.eswa.2026.131358","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eswa.2026.131358","pdf_url":null,"source":{"id":"https://openalex.org/S13144211","display_name":"Expert Systems with Applications","issn_l":"0957-4174","issn":["0957-4174","1873-6793"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Expert Systems with Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2611188474","display_name":null,"funder_award_id":"SEHS-2025-386","funder_id":"https://openalex.org/F4320322598","funder_display_name":"Hong Kong Polytechnic University"},{"id":"https://openalex.org/G7459741091","display_name":null,"funder_award_id":"12131008","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G8729363656","display_name":null,"funder_award_id":"92471108","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320322598","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":40,"referenced_works":["https://openalex.org/W1498436455","https://openalex.org/W1897026107","https://openalex.org/W1988115241","https://openalex.org/W1989823719","https://openalex.org/W1995875735","https://openalex.org/W2047196406","https://openalex.org/W2103496339","https://openalex.org/W2169350144","https://openalex.org/W2603020828","https://openalex.org/W2905003395","https://openalex.org/W2913211732","https://openalex.org/W2940897671","https://openalex.org/W2990389742","https://openalex.org/W3093310271","https://openalex.org/W3093522345","https://openalex.org/W3097571562","https://openalex.org/W3117700485","https://openalex.org/W3125077454","https://openalex.org/W3127884275","https://openalex.org/W3132064345","https://openalex.org/W3152597534","https://openalex.org/W3162569273","https://openalex.org/W4220983667","https://openalex.org/W4228996904","https://openalex.org/W4229333499","https://openalex.org/W4231546411","https://openalex.org/W4297129216","https://openalex.org/W4317935205","https://openalex.org/W4367397400","https://openalex.org/W4375932504","https://openalex.org/W4384567492","https://openalex.org/W4387373399","https://openalex.org/W4391075292","https://openalex.org/W4402203239","https://openalex.org/W4402307792","https://openalex.org/W4407111967","https://openalex.org/W4407596323","https://openalex.org/W4411276935","https://openalex.org/W4411635779","https://openalex.org/W4415186609"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2026-02-01T00:00:00"}
