使用多元数据比较深度学习模型进行波动率预测

Jun, 2023

Comparing deep learning models for volatility prediction using multivariate data

Wenbo Ge, Pooia Lalbakhsh, Leigh Isai, Artem Lensky, Hanna Suominen

TL;DR该研究旨在比较基于深度学习的多变量数据预测模型在波动率预测方面的表现, 结果表明Temporal Fusion Transformer优于传统方法和浅层网络，因此鼓励将其应用到实践中。

Abstract

This study aims at comparing several deep learning-based forecasters in the task of volatility prediction using multivariate data, proceed