Volatility autocorrelation in the stock market with artificial neural networks

• Main Author: Tham, Zhi Rong
• Other Authors: Cheong Siew Ann
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Physics; Volatility clustering; Artificial neural network
• Online Access: https://hdl.handle.net/10356/175690
• Institution: Nanyang Technological University

Predicting the trend of financial features in complex financial systems is important and challenging, one useful tool is looking at the autocorrelation function, used in technical analysis as it shows how closely related a pattern reappears in the future. In this paper, we demonstrate a way to op...