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Using neural networks for forecasting volatility of S&P 500 Index futures prices

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Cited by:

  1. Lin, Shao-Bin & Chen, Chun-Da, 2013. "Applying the Model Order Reduction method to a European option pricing model," Economic Modelling, Elsevier, vol. 33(C), pages 533-536.
  2. Barrow, Devon & Kourentzes, Nikolaos, 2018. "The impact of special days in call arrivals forecasting: A neural network approach to modelling special days," European Journal of Operational Research, Elsevier, vol. 264(3), pages 967-977.
  3. Ruoxuan Xiong & Eric P. Nichols & Yuan Shen, 2015. "Deep Learning Stock Volatility with Google Domestic Trends," Papers 1512.04916, arXiv.org, revised Feb 2016.
  4. Bartram, Söhnke & Branke, Jürgen & Motahari, Mehrshad, 2020. "Artificial Intelligence in Asset Management," CEPR Discussion Papers 14525, C.E.P.R. Discussion Papers.
  5. Eunho Koo & Geonwoo Kim, 2023. "A New Neural Network Approach for Predicting the Volatility of Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1665-1679, April.
  6. Seyed Mehrzad Asaad Sajadi & Pouya Khodaee & Ehsan Hajizadeh & Sabri Farhadi & Sohaib Dastgoshade & Bo Du, 2022. "Deep Learning-Based Methods for Forecasting Brent Crude Oil Return Considering COVID-19 Pandemic Effect," Energies, MDPI, vol. 15(21), pages 1-23, October.
  7. Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
  8. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  9. Curtis Nybo, 2021. "Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks," Papers 2110.09489, arXiv.org.
  10. Alameer, Zakaria & Elaziz, Mohamed Abd & Ewees, Ahmed A. & Ye, Haiwang & Jianhua, Zhang, 2019. "Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm," Resources Policy, Elsevier, vol. 61(C), pages 250-260.
  11. Barrow, Devon K., 2016. "Forecasting intraday call arrivals using the seasonal moving average method," Journal of Business Research, Elsevier, vol. 69(12), pages 6088-6096.
  12. László Vancsura & Tibor Tatay & Tibor Bareith, 2023. "Evaluating the Effectiveness of Modern Forecasting Models in Predicting Commodity Futures Prices in Volatile Economic Times," Risks, MDPI, vol. 11(2), pages 1-16, January.
  13. Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
  14. Xiaowen Wang & Ying Ma & Wen Li, 2021. "The Prediction of Gold Futures Prices at the Shanghai Futures Exchange Based on the MEEMD-CS-Elman Model," SAGE Open, , vol. 11(1), pages 21582440211, March.
  15. Elsy Gómez-Ramos & Francisco Venegas-Martínez, 2013. "A Review of Artificial Neural Networks: How Well Do They Perform in Forecasting Time Series?," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, vol. 6(2), pages 7-15, Diciembre.
  16. Jaydip Sen & Tamal Datta Chaudhuri, 2017. "A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector," Papers 1705.01144, arXiv.org.
  17. Jaydip SEN & Tamal DATTA CHAUDHURI, 2016. "An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors," Journal of Economics Library, KSP Journals, vol. 3(2), pages 303-326, June.
  18. Narayan Tondapu, 2024. "Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs," Papers 2402.07435, arXiv.org.
  19. Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2020. "Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM," Energies, MDPI, vol. 13(11), pages 1-18, June.
  20. Ewees, Ahmed A. & Elaziz, Mohamed Abd & Alameer, Zakaria & Ye, Haiwang & Jianhua, Zhang, 2020. "Improving multilayer perceptron neural network using chaotic grasshopper optimization algorithm to forecast iron ore price volatility," Resources Policy, Elsevier, vol. 65(C).
  21. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  22. repec:arx:papers:1604.04044 is not listed on IDEAS
  23. Kshitij Kakade & Aswini Kumar Mishra & Kshitish Ghate & Shivang Gupta, 2022. "Forecasting Commodity Market Returns Volatility: A Hybrid Ensemble Learning GARCH‐LSTM based Approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(2), pages 103-117, April.
  24. Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  25. Sauraj Verma, 2021. "Forecasting volatility of crude oil futures using a GARCH–RNN hybrid approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(2), pages 130-142, April.
  26. Yongmei Fang & Bo Guan & Shangjuan Wu & Saeed Heravi, 2020. "Optimal forecast combination based on ensemble empirical mode decomposition for agricultural commodity futures prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 877-886, September.
  27. Yasemin Deniz Akarım, 2013. "A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange," Journal of Economics and Behavioral Studies, AMH International, vol. 5(3), pages 164-172.
  28. Vladimir Pyrlik & Pavel Elizarov & Aleksandra Leonova, 2021. "Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market)," CERGE-EI Working Papers wp713, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  29. Blau, Benjamin M. & Griffith, Todd G., 2016. "Price clustering and the stability of stock prices," Journal of Business Research, Elsevier, vol. 69(10), pages 3933-3942.
  30. Angelini, Eliana & di Tollo, Giacomo & Roli, Andrea, 2008. "A neural network approach for credit risk evaluation," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 733-755, November.
  31. Timotej Jagric & Sebastjan Strasek, 2011. "Behavioural patterns as determinants of market movements: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 21(7), pages 481-491.
  32. Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
  33. Mustak, Mekhail & Salminen, Joni & Plé, Loïc & Wirtz, Jochen, 2021. "Artificial intelligence in marketing: Topic modeling, scientometric analysis, and research agenda," Journal of Business Research, Elsevier, vol. 124(C), pages 389-404.
  34. Chin-Piao Yeh & Ai-Chi Hsu & Wei-Hsien & Kuang-Cheng Chai, 2014. "Neural Network Forecasts of Taiwan Bureau of National Health Insurance Expenditires," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(5), pages 95-114.
  35. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
  36. Hu, Yan & Ni, Jian & Wen, Liu, 2020. "A hybrid deep learning approach by integrating LSTM-ANN networks with GARCH model for copper price volatility prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  37. Li, Yelin & Bu, Hui & Li, Jiahong & Wu, Junjie, 2020. "The role of text-extracted investor sentiment in Chinese stock price prediction with the enhancement of deep learning," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1541-1562.
  38. Zhenni Jin & Kun Guo & Yi Sun & Lin Lai & Zhewen Liao, 2020. "The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1166-1178, November.
  39. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
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