PERFORMANCE OF DEEP LEARNING IN PREDICTION OF STOCK MARKET VOLATILITY
- Authors
- Moon, Kyoung-Sook; Kim, Hongjoong
- Issue Date
- 2019
- Publisher
- ACAD ECONOMIC STUDIES
- Keywords
- volatility prediction; forecasting stock index; deep learning; long short term memory algorithm
- Citation
- ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, v.53, no.2, pp.77 - 92
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
- Volume
- 53
- Number
- 2
- Start Page
- 77
- End Page
- 92
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/68966
- DOI
- 10.24818/18423264/53.2.19.05
- ISSN
- 0424-267X
- Abstract
- Volatility forecasting is an important issue for investment analysis and risk management in finance. Based on the Long Short Term Memory (LSTM) deep learning algorithm, we propose an accurate algorithm for forecasting stock market index and its volatility. The proposed algorithm is tested on the data from 5 stock market indices including S&P500, NASDAQ, German DAX, Korean KOSPI200 and Mexico IPC over a 7-yearperiod from 2010 to 2016. The highest prediction performance is observed with hybrid momentum, the difference between the price and the moving average of the past prices, for the predictions of both market index and volatility. Unlike stock index, the prediction accuracy for the volatility does not show dependency on other financial variables such as open, low, high prices, volume, etc. except the volatility itself.
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Collections - College of Science > Department of Mathematics > 1. Journal Articles
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