A symbolic dynamics approach to volatility prediction
We consider the problem of predicting the direction of daily volatility changes in the Dow Jones Industrial Average (DJIA). This is accomplished by quantizing a series of historic volatility changes into a symbolic stream over 2 or 4 symbols. We compare predictive performance of the classical fixed-...
| Main Authors: | , , , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
1998
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/1142/1/document.pdf |