Evaluation of VI Index Forecasting Model by Machine Learning for Yahoo! Stock BBS Using Volatility Trading Simulation.
Kodai SasakiHirohiko SuwaYuki OgawaEiichi UmeharaTatsuo YamashitaKota TsubouchiPublished in: HICSS (2020)
Keyphrases
- stock index futures
- stock index
- empirical analysis
- stock market
- trading systems
- financial markets
- stock exchange
- garch model
- machine learning
- stock price
- forecasting model
- stock trading
- short term
- stock data
- portfolio management
- financial time series
- chinese stock market
- financial data
- long term
- pattern recognition
- feature selection
- decision trees
- investment strategies
- transaction costs
- support vector
- machine learning methods
- particle swarm optimization