Forecasting Financial Volatility Using Nested Monte Carlo Expression Discovery.
Tristan CazenaveSana Ben HamidaPublished in: SSCI (2015)
Keyphrases
- monte carlo
- stock market
- exchange rate
- financial time series
- stock price
- garch model
- foreign exchange
- stock index futures
- short term
- financial crisis
- financial markets
- financial data
- stock returns
- forecasting model
- importance sampling
- markov chain
- early warning
- monte carlo simulation
- monte carlo tree search
- grey model
- stock exchange
- markovian decision
- adaptive sampling
- simulation study
- turning points
- portfolio optimization
- stochastic approximation
- particle filter
- knowledge discovery
- data mining
- temporal difference
- point processes
- monte carlo method
- historical data
- risk management
- non stationary
- investment decisions
- search tree