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arXivDerivatives & Volatility

Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation

The paper presents a machine learning model that uses an invertible neural network to predict stock volatility, outperforming other methods on a dataset of 100 stocks.

Featured in No. 23 on 25 Oct 2023 · 2 days after release · 0 citations today · published in Proceedings of the Fourth ACM International Conference on AI in Finance

Released
23 Oct 2023
First featured
No. 23 · 25 Oct 2023
Citations (Semantic Scholar)
0
Influential citations
0
Published in
Proceedings of the Fourth ACM International Conference on AI in Finance
Shares when featured
4
Identifier
doi:10.1145/3604237.3626870

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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