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Online adaptive machine learning based algorithm for implied volatility surface modeling · Study

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ArticleOnline adaptive machine learning based algorithm for implied volatility surface modeling

Yaxiong Zeng2018

Article2018

Online adaptive machine learning based algorithm for implied volatility surface modeling

Yaxiong Zeng · Diego Klabjan

28 citations·0/0 files stored·Knowledge-Based Systems

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

2003Forecasting Volatility in Financial Markets: A Review 1998Implied Volatility Functions: Empirical Tests 2003Forecasting Volatility in Financial Markets: A Review 2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 2014Forecasting the volatility of crude oil futures using intraday data 2008A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 2011A novel bankruptcy prediction model based on an adaptive fuzzy k-nearest neighbor method 2018Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

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Details

Year2018

Typearticle

Published2018-09-05

VenueKnowledge-Based Systems

ISSN-L0950-7051

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.knosys.2018.08.039

openalex_workW2963323474

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