Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests.
Riza DemirerKonstantinos GkillasRangan GuptaChristian PierdziochPublished in: J. Oper. Res. Soc. (2022)
Keyphrases
- random forests
- crude oil
- risk aversion
- exchange rate
- long run
- stock price
- random forest
- risk neutral
- decision trees
- ensemble methods
- utility function
- logistic regression
- machine learning algorithms
- risk averse
- financial time series
- expected utility
- oil field
- forecasting model
- financial markets
- long term
- stock market
- optimal policy
- reinforcement learning
- stock exchange
- short term
- decision making
- image processing
- probability distribution
- decision theory
- multi class
- decision makers
- naive bayes
- genetic algorithm