Application of Predictive Analytics to Stock Price Directional Volatility and Direction

See Yang Boo

Chapter 28 in Business Analytics:Progress on Applications in Asia Pacific, 2016, pp 733-758 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The current study employs an amended heuristic to stock price data to predict stock price direction and directional volatility. This heuristic was further extended to implied volatility data, as a proxy for the market consensus for volatility of the underlying stock price, and support vector machines (SVMs). The heuristic performed better than both implied volatility methods and SVM in prediction of stock price directional volatility. No significant result was obtained for the prediction of stock price direction using either the heuristic or SVM. A potential trading methodology was postulated to take advantage of this improvement over the market consensus on stock price directional volatility.

Keywords: Business Analytics; Entrepreneurship; Big Data; Information Technology (search for similar items in EconPapers)
JEL-codes: L26 (search for similar items in EconPapers)
Date: 2016
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