On stock volatility forecasting based on text mining and deep learning under high‐frequency data

DOI10.1002/for.2794zbMath1476.62224OpenAlexW3165089818WikidataQ114859413 ScholiaQ114859413MaRDI QIDQ5012744

Zhengdi Liu, Bolin Lei, Yu Ping Song

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2794

zbMATH Keywords

realized volatilityhigh-frequency financial datatext informationLSTM modelsentiment factor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Statistical aspects of big data and data science (62R07)

This page was built for publication: On stock volatility forecasting based on text mining and deep learning under high‐frequency data