Yushan Tang

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 WASHINGTON PARK

ROOM 1107W

Newark, NJ 07102

United States

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Forecasting Realized Volatility: An Automatic System Using Many Features and Many Machine Learning Algorithms

Number of pages: 62 Posted: 31 Jan 2021 Last Revised: 24 May 2021
Sophia Zhengzi Li and Yushan Tang
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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Abstract:

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Automation, Volatility Forecasting, Machine Learning, High-Frequency Data, Realized Variance, Transfer Learning