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The role of news sentiment in oil futures returns and volatility forecasting : data-decomposition based deep learning approach

Li, Yuze; Jiang, Shangrong; Li, Xuerong; Wang, Shouyang - In: Energy economics 95 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012816879

Deep hedging under rough volatility

Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those....

Persistent link: https://www.econbiz.de/10012800441

Deep hedging under rough volatility

Horvath, Blanka Nora; Teichmann, Josef; Žuric̆, Žan - In: Risks : open access journal 9 (2021) 7, pp. 1-20

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular, we analyse the hedging performance of the original architecture under rough volatility models in view of existing theoretical results for those....

Persistent link: https://www.econbiz.de/10012599633

Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning

Lu, Chunyi; Teng, Zhuoqi; Gao, Yu; Wu, Renhong; … - In: Computational economics 59 (2022) 4, pp. 1501-1524

Persistent link: https://www.econbiz.de/10013261898

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

Trading signals in VIX futures

Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298

Persistent link: https://www.econbiz.de/10013171072

Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis

Mari, Carlo; Mari, Emiliano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1039-1062

Persistent link: https://www.econbiz.de/10012795108

Forex exchange rate forecasting using deep recurrent neural networks

Dautel, Alexander Jakob; Härdle, Wolfgang; Lessmann, Stefan - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 69-96

Persistent link: https://www.econbiz.de/10012284950

Neural networks and arbitrage in the VIX : a deep learning approach for the VIX

Osterrieder, Joerg; Kucharczyk, Daniel; Rudolf, Silas; … - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 97-115

Persistent link: https://www.econbiz.de/10012284951

Factor-augmented HAR model improves realized volatility forecasting

Kim, Dongwoo; Baek, Changryong - In: Applied economics letters 27 (2020) 12, pp. 1002-1009

Persistent link: https://www.econbiz.de/10012267030