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On the universality of the volatility formation process: when machine learning and rough volatility agree.
Mathieu Rosenbaum
Jianfei Zhang
Published in:
CoRR (2022)
Keyphrases
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machine learning
stock market
long term
pattern recognition
feature selection
data analysis
active learning
garch model
stock trading
case study
computer science
data mining
software engineering
rough sets
text classification
machine learning algorithms
learning algorithm
stock price
exchange rate