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Nov, 2023
使用高斯过程(GPs)进行高频交易的短期波动率估计
Short-term Volatility Estimation for High Frequency Trades using Gaussian processes (GPs)
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Leonard Mushunje, Maxwell Mashasha, Edina Chandiwana
TL;DR
这篇论文研究了如何利用数值和概率模型进行高频交易的短期波动率和回报预测,通过在Numerical Market Prediction模型的输出上应用高斯过程,使用修正后的股价数据建立了一个被审查的高斯过程模型,评估了预测误差。
Abstract
The fundamental theorem behind financial markets is that
stock prices
are intrinsically complex and stochastic. One of the complexities is the
volatility
associated with
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