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Liquidity effects on oil volatility forecasting: From fintech perspective
- Source :
- PLoS ONE, Vol 16, Iss 11, p e0260289 (2021), PLoS ONE
- Publication Year :
- 2021
- Publisher :
- Public Library of Science (PLoS), 2021.
-
Abstract
- Fin-tech is an emerging field, inspiring revolutionary innovations in the financial field. It may initiate the evolutionary episode of the financial research, where volatility forecasting is a crucial topic in finance. For forecasting volatility, GARCH model is a prevailing model, however, further improvement of the GARCH model is still challenging. In this paper, we demonstrate how Fintech can play a part in volatility forecasting by employing a metaheuristic procedure called Genetic Programming. On the basis, we are able to develop a new volatility forecasting model, which can beat GARCH family models (including GARCH, IGARCH and TGARCH models) in a significant way. Since genetic programming is an evolutionary algorithm based on the principles of natural selection, this innovative work will be a breakthrough point in the financial area. The innovation of this paper demonstrates how GP technology can be applied in the financial field, attempting to explore the volatility forecasting area from the combination of new technology and finance, known as fintech. More importantly, when the formula of volatility forecasting is unknown as we introduce a new factor, namely, the liquidity factor, we unveil that how GP method can be helpful in determining the specific volatility forecasting model format. We thereby exhibit the liquidity effects on volatility forecasting filed from the fintech perspective.
- Subjects :
- Computer and Information Sciences
Economics
Autoregressive conditional heteroskedasticity
Science
Genetic Programming
Evolutionary algorithm
Social Sciences
Genetic programming
Research and Analysis Methods
Biochemistry
Field (computer science)
Machine Learning
Creativity
Mathematical and Statistical Techniques
Artificial Intelligence
Support Vector Machines
Econometrics
Statistical Methods
Financial Markets
Metaheuristic
Multidisciplinary
Applied Mathematics
Genetic Algorithms
Simulation and Modeling
Research
Statistics
Perspective (graphical)
Commerce
Biology and Life Sciences
Lipids
Market liquidity
Models, Economic
Public Finance
Physical Sciences
Money Supply and Banking
Medicine
Volatility (finance)
Oils
Mathematics
Finance
Algorithms
Fuel Oils
Software
Research Article
Forecasting
Subjects
Details
- Language :
- English
- ISSN :
- 19326203
- Volume :
- 16
- Issue :
- 11
- Database :
- OpenAIRE
- Journal :
- PLoS ONE
- Accession number :
- edsair.doi.dedup.....a97f63b8ca6adbc102bfc3d346e49990