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The Use Of Neural Networks In The Prediction Of The Stock Exchange Of Thailand (Set) Index, Suchira Chaigusin, Chaiyaporn Chirathamjaree, Judith Clayden
The Use Of Neural Networks In The Prediction Of The Stock Exchange Of Thailand (Set) Index, Suchira Chaigusin, Chaiyaporn Chirathamjaree, Judith Clayden
Research outputs pre 2011
Prediction of stock prices is an issue of interest to financial markets. Many prediction techniques have been reported in stock forecasting. Neural networks are viewed as one of the more suitable techniques. In this study, an experiment on the forecasting of the Stock Exchange of Thailand (SET) was conducted by using feedforward backpropagation neural networks. In the experiment, many combinations of parameters were investigated to identify the right set of parameters for the neural network models in the forecasting of SET. Several global and local factors influencing the Thai stock market were used in developing the models, including the Dow …
Realized Volatility Uncertainty, David E. Allen, Michael Mcaleer, Marcel Scharth
Realized Volatility Uncertainty, David E. Allen, Michael Mcaleer, Marcel Scharth
Research outputs pre 2011
The presence of high and time-varying volatility of volatility and leverage effects bring additional uncertainty in the tails of the distribution of asset returns, even though returns standardized by (ex-post) quadratic variation measures are nearly gaussian. We argue that in this setting modeling shocks to volatility is more relevant for applications than extracting more precise predictions of the variable, as point forecasts differences are swamped by the size of the volatility of volatility and rendered less informative by the nongaussianity in the ex-ante distribution of returns. Using S&P 500 data, we document that this volatility of volatility is subject to …