Implied volatility directional forecasting : a machine learning approach
Year of publication: |
2021
|
---|---|
Authors: | Vrontos, Spyridon D. ; Galakis, John ; Vrontos, Ioannis D. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 10, p. 1687-1706
|
Subject: | Binary logit | Forecasting | Implied volatility | Investment strategies | Machine learning | Penalized likelihood models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation |
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