Bitcoin Volatility Forecasting with a Glimpse into Buy and Sell Orders.
Tian GuoAlbert BifetNino Antulov-FantulinPublished in: ICDM (2018)
Keyphrases
- exchange rate
- garch model
- financial time series
- stock market
- grey model
- foreign exchange
- forecasting model
- stock index futures
- credit card
- stock price
- short term
- financial data
- support vector regression
- forecasting accuracy
- financial crisis
- trusted third party
- long term
- chinese stock market
- turning points
- financial markets
- medium term
- stock returns
- heavy tailed
- long run
- multivariate time series