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Full-Text Articles in Databases and Information Systems
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
SMU Data Science Review
The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …
Machine Learning To Predict College Course Success, Anthony R.Y. Dalton, Justin Beer, Sriharshasai Kommanapalli, James S. Lanich Ph.D.
Machine Learning To Predict College Course Success, Anthony R.Y. Dalton, Justin Beer, Sriharshasai Kommanapalli, James S. Lanich Ph.D.
SMU Data Science Review
In this paper, we present an analysis of the predictive ability of machine learning on the success of students in college courses in a California Community College. The California Legislature passed assembly bill 705 in order to place students in non-remedial coursework, based on high school transcripts, to increase college completion. We utilize machine learning methods on de-identified student high school transcript data to create predictive algorithms on whether or not the student will be successful in college-level English and Mathematics coursework. To satisfy the bill’s requirements, we first use exploratory data analysis on applicable transcript variables. Then we use …