A Consolidated Volatility Prediction with Back Propagation Neural Network and Genetic Algorithm

Zong Ke, Jingyu Xu, Zizhou Zhang, Yu Cheng and Wenjun Wu

Papers from arXiv.org

Abstract: This paper provides a unique approach with AI algorithms to predict emerging stock markets volatility. Traditionally, stock volatility is derived from historical volatility,Monte Carlo simulation and implied volatility as well. In this paper, the writer designs a consolidated model with back-propagation neural network and genetic algorithm to predict future volatility of emerging stock markets and found that the results are quite accurate with low errors.

Date: 2024-12, Revised 2025-02
New Economics Papers: this item is included in nep-big, nep-cmp and nep-rmg
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