期刊
INTERNATIONAL JOURNAL OF INFORMATION MANAGEMENT
卷 50, 期 -, 页码 452-462出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.ijinfomgt.2019.05.027
关键词
Big data; Financial market; Volatility; Support vector machine
资金
- National Social Science Foundation of China [16BRK009]
High-frequency data provides a lot of materials and broad research prospects for in-depth research and understanding on financial market behavior, but the problems solved in the research of high-frequency data are far less than the problems faced and encountered, and the research value of high-frequency data will be greatly reduced without solving these problems. Volatility is an important measurement index of market risk, and the research and forecasting on the volatility of high-frequency data is of great significance to investors, government regulators and capital markets. To this end, by modelling the jump volatility of high-frequency data, the short-term volatility of high-frequency data are predicted.
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