Forecasting the elasticity of variance with LSTM recurrent neural networks

DOI10.1080/00207160.2022.2107394MaRDI QIDQ6101974zbMATH OpenOpenAlexFDO

Authors Hyun-Gyoon Kim, Jeong-Hoon Kim

Publication date 20 June 2023

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2022.2107394

zbMATH Keywords

elasticity of varianceforecastingHurst exponentLSTMvolatility

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

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Cites work

• A new microstructure noise index
• An approximated European option price under stochastic elasticity of variance using Mellin transforms
• Deep learning
• Pricing turbo warrants under stochastic elasticity of variance
• Stochastic elasticity of vol-of-vol and pricing of variance swaps
• Volatility is rough

Cited in

(2)

• On the universality of the volatility formation process: when machine learning and rough volatility agree
• A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

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