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Multi-Step Forecast Of The Implied Volatility Surface Using Deep Learning, Nikita Medvedev
Multi-Step Forecast Of The Implied Volatility Surface Using Deep Learning, Nikita Medvedev
Electronic Theses and Dissertations
Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can’t take advantage of the long term persistence in the volatility series. The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step …
Applying Machine Learning Algorithms For The Analysis Of Biological Sequences And Medical Records, Shaopeng Gu
Applying Machine Learning Algorithms For The Analysis Of Biological Sequences And Medical Records, Shaopeng Gu
Electronic Theses and Dissertations
The modern sequencing technology revolutionizes the genomic research and triggers explosive growth of DNA, RNA, and protein sequences. How to infer the structure and function from biological sequences is a fundamentally important task in genomics and proteomics fields. With the development of statistical and machine learning methods, an integrated and user-friendly tool containing the state-of-the-art data mining methods are needed. Here, we propose SeqFea-Learn, a comprehensive Python pipeline that integrating multiple steps: feature extraction, dimensionality reduction, feature selection, predicting model constructions based on machine learning and deep learning approaches to analyze sequences. We used enhancers, RNA N6- methyladenosine sites and …