Spike It Up: Enhancing STL with Spike Detection for Intraday Volatility and Liquidity Forecasting
Abstract
References
Index Terms
- Spike It Up: Enhancing STL with Spike Detection for Intraday Volatility and Liquidity Forecasting
Recommendations
Deep learning for volatility forecasting in asset management
AbstractPredicting volatility is a critical activity for taking risk- adjusted decisions in asset trading and allocation. In order to provide effective decision-making support, in this paper we investigate the profitability of a deep Long Short-Term ...
Asset Market Volatility and New Keynesian Macroeconomics: A Game-Theoretic Approach
This study develops a game-theoretic approach to asset market bubbles. In our model, portfolio investments consist of risk-free and risky assets. Risky assets attract more investors who may adopt a hawk strategy, because they promise a higher return ...
Sovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined ...
Comments
Information & Contributors
Information
Published In
![cover image ACM Other conferences](/cms/asset/2b6027fa-46e1-4322-bb77-57243394d204/3686592.cover.jpg)
Publisher
Association for Computing Machinery
New York, NY, United States
Publication History
Check for updates
Author Tags
Qualifiers
- Research-article
Conference
Contributors
Other Metrics
Bibliometrics & Citations
Bibliometrics
Article Metrics
- 0Total Citations
- 18Total Downloads
- Downloads (Last 12 months)18
- Downloads (Last 6 weeks)9
Other Metrics
Citations
View Options
Login options
Check if you have access through your login credentials or your institution to get full access on this article.
Sign inFull Access
View options
View or Download as a PDF file.
PDFeReader
View online with eReader.
eReaderFull Text
View this article in Full Text.
Full TextHTML Format
View this article in HTML Format.
HTML Format