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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
Bernales, Alejandro - 2013
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …
Persistent link: https://www.econbiz.de/10013073319
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Predicting stock return and volatility with machine learning and econometric models: a comparative case study of the Baltic stock market
Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - 2021
Persistent link: https://www.econbiz.de/10012694117
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Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market
Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - In: International journal of computational economics and … 13 (2023) 4, pp. 446-489
Persistent link: https://www.econbiz.de/10014439728
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Do artificial neural networks provide improved volatility forecasts : evidence from Asian markets
Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 723-762
Persistent link: https://www.econbiz.de/10014380680
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Applying Neural Networks on Intraday Operations within the Brazilian Stock Market Options
Franco, Alexandre Lerch - 2007
This article targets to verify the capacity of a neural network of forecasting trades for one call option within Brazilian Stock Market. The past profitability was analyzed and a qualitative variable which indicate the best moment for trading of the derivative. The results suggest that the...
Persistent link: https://www.econbiz.de/10014054901
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Ensemble learning of high-dimensional stock market data
Maragoudakis, Manolis; Serpanos, Dimitrios - In: Computational intelligence techniques for trading and …, (pp. 192-215). 2014
Persistent link: https://www.econbiz.de/10010341901
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Direction-of-change forecasting using a volatility-based recurrent neural network
Bekiros, S. D.; Georgoutsos, Demetris A. - In: Journal of forecasting 27 (2008) 5, pp. 407-417
Persistent link: https://www.econbiz.de/10003826795
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Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index
Bildirici, Melike - 2012
volatility in forecasting future returns in an emerging market stock index …
Persistent link: https://www.econbiz.de/10013103071
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Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...
Persistent link: https://www.econbiz.de/10012629835