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Multistep forecast of the implied volatility surface using deep learning

Medvedev, Nikita; Wang, Zhiguang - In: The journal of futures markets 42 (2022) 4, pp. 645-667

Persistent link: https://www.econbiz.de/10013187579

Investment portfolio optimization based on modern portfolio theory and deep learning models

Wysocki, Maciej; Sakowski, Paweł - 2022

Persistent link: https://www.econbiz.de/10013473216

Individual expectations and aggregate behavior in learning to forecast experiments

Hommes, Cars (contributor); Lux, Thomas (contributor) - 2008

Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations...

Persistent link: https://www.econbiz.de/10003777257

Individual expectations and aggregate behavior in learning-to-forecast experiments

Hommes, Cars H.; Lux, Thomas - In: Macroeconomic dynamics 17 (2013) 2, pp. 373-401

Persistent link: https://www.econbiz.de/10009754577

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

Evolutionary selection of individual expextations and aggregate outcomes in asset pricing experiments

Anufriev, Mikhail; Hommes, Cars H. - In: American economic journal : a journal of the American … 4 (2012) 4, pp. 35-64

Persistent link: https://www.econbiz.de/10009671231

Evaluating generalizability and parameter consistency in learning models

Yechiam, Eldad; Busemeyer, Jerome R. - In: Games and economic behavior 63 (2008) 1, pp. 370-394

Persistent link: https://www.econbiz.de/10003736831

Learning to forecast price

Kelly, Hugh; Friedman, Daniel - In: Economic inquiry : journal of the Western Economic … 40 (2002) 4, pp. 556-573

Persistent link: https://www.econbiz.de/10001705872

Time series properties of an artificial stock market

Arthur, W. Brian; LeBaron, Blake Dean; Palmer, Richard - 1997

Persistent link: https://www.econbiz.de/10000978975

Time series properties of an artificial stock market

LeBaron, Blake Dean; Arthur, W. Brian; Palmer, Richard - In: Journal of economic dynamics & control 23 (1999) 9/10, pp. 1487-1516

Persistent link: https://www.econbiz.de/10001415378

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