Price Prediction with Time Series

A significant amount of time spent by analysts and researchers in the finance industry is devoted to predicting investment opportunities, including asset prices and asset returns. With the availability of large volumes of data and advancements in processing techniques, machine learning (ML) has gained momentum, expanding its application beyond asset pricing to areas such as insurance pricing, portfolio management, and risk management.

In addition to the well-known applications of ML in the financial industry, we can now consider the influence of Web3 and open data. As we have learned throughout this book, data in Web3 is accessible to anyone. Privileged information, such as bank balances or significant account movements, can be viewed by anyone who knows where to look, as explained in Chapter 5.

Many asset modeling and prediction problems in the financial industry involve a time component and the estimation of continuous outputs. This is why...