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Explainable machine learning to predict the cost of capital. [PDF]
Bussmann N, Giudici P, Tanda A, Yu EP.
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A hype-adjusted probability measure for NLP stock return forecasting. [PDF]
Cao Z, Geman H.
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Multi-Sensor Temporal Fusion Transformer for Stock Performance Prediction: An Adaptive Sharpe Ratio Approach. [PDF]
Yang J, Li P, Cui Y, Han X, Zhou M.
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Volatility forecasting in finance
2021Aufgrund ihrer Bedeutung für Handels- und Hedgingstrategien ist die Volatilitätsprognose seit mehr als 40 Jahren ein aktives Forschungsgebiet. Die anspruchsvolle Aufgabe hat in letzter Zeit mit der erfolgreichen Implementierung von künstlichen neuronalen Netzwerken wieder an Bedeutung gewonnen, welche oft bessere Ergebnisse liefern als viele ...
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Utilizing Topographic Finance to Understand Volatility
SSRN Electronic Journal, 2015Visual representation methods are a common problem in econometrics and finance in order to describe system dynamics. In this paper we address this problem by using the bi-harmonic oscillation process and the Brownian motion components, to generate a three-dimensional volatility surface.The empirical analysis have been carried out on the S&P500 Index ...
Paul E. Cottrell, Francesco Ungolo
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Finance, Growth and Volatility
SSRN Electronic Journal, 2007Eempirical studies have not documented an unambiguous relationship between financial development and volatility of economic growth. Existing evidence of contemporaneous association is also insucient to establish the direction of causality. This paper studies the time series relation between financial development, economic growth and growth volatility ...
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