Modern Portfolio Theory assumes that decisions are made by individual agents. In reality most investors are involved in group decision-making. In this research we propose to realize group decision-making process by application of Ensemble Learning algorithm, in particular Random Forest....

The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale is used to...