On the Validity of Volatility Prediction using Financial Lexicon Features
碩士 === 國立交通大學 === 統計學研究所 === 106 === The thesis utilize the financial lexicon and text information in Form 10-k to predict the post-event volatility after the release date of Form 10-k. We also propose some methods in feature selection and transformation to imporove the prediction accuracy. Furthurm...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/587py2 |
| Summary: | 碩士 === 國立交通大學 === 統計學研究所 === 106 === The thesis utilize the financial lexicon and text information in Form 10-k to predict the post-event volatility after the release date of Form 10-k. We also propose some methods in feature selection and transformation to imporove the prediction accuracy. Furthurmore, we examine the prediction capability of the selected text features by introducing GARCH.
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