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SSRNDerivatives & Volatility

Harnessing Volatility Cascades with Ensemble Learning

A modification to the base learner in bootstrap aggregation and boosting can significantly improve predictive accuracy in volatility forecasting, addressing substantial errors from parameter estimation.

Featured in No. 32 on 9 Jan 2024 · 8 days after release · 2 citations today

Released
1 Jan 2024
First featured
No. 32 · 9 Jan 2024
Citations (Semantic Scholar)
2
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4682793

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

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