Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect
Shusheng Ding, Tianxiang Cui, Yongmin Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Ding, Shusheng ; Cui, Tianxiang ; Zhang, Yongmin |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-11
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| Subject: | Big data analytics | Crude oil futures market volatility | Electricity market volatility | Order imbalance | Volatilität | Volatility | Big Data | Big data | Rohstoffderivat | Commodity derivative | Data Mining | Data mining | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102255 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013455125