Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Finance
Essays On Applied Machine Learning For Implied Volatility Interpolation And Artificial Counterfactuals, Pablo A. Crespo
Essays On Applied Machine Learning For Implied Volatility Interpolation And Artificial Counterfactuals, Pablo A. Crespo
Dissertations, Theses, and Capstone Projects
This dissertation consists of two chapters.
Chapter 1: Volatility estimates under the risk neutral density have become a much revisited topic of interest in recent years. The density proves itself a powerful tool for sentiment analysis, since its moments provide insights about expectations in price trends. A standard procedure for its extraction utilizes artificial volatility predictions to form a dense enough grid for approximating a complete probability distribution. This paper proposes two common machine learning technique variations to produce implied volatility predictions when data is very scarce. First, a model using regularization through a variation of a generalized LASSO path …