Sentiment-aware volatility forecasting

• Main Authors: Xing, Frank Z., Cambria, Erik, Zhang, Yue
• Other Authors: School of Computer Science and Engineering
• Format: Article
• Language: English
• Published: 2021
• Subjects: Engineering::Computer science and engineering; Volatility Modeling; Sentiment Knowledge
• Online Access: https://hdl.handle.net/10356/152084
• Institution: Nanyang Technological University

Recent advances in the integration of deep recurrent neural networks and statistical inferences have paved new avenues for joint modeling of moments of random variables, which is highly useful for signal processing, time series analysis, and financial forecasting. However, introducing explicit knowl...