Parallel Prediction of Stock Volatility
Volatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile st...
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| Format: | Article |
| Language: | English |
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International Institute of Informatics and Cybernetics
2017-10-01
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| Series: | Journal of Systemics, Cybernetics and Informatics |
| Subjects: | |
| Online Access: | http://www.iiisci.org/Journal/CV$/sci/pdfs/SA689HJ17.pdf
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| _version_ | 1818051261304406016 |
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| author | Priscilla Jenq John Jenq |
| author_facet | Priscilla Jenq John Jenq |
| author_sort | Priscilla Jenq |
| collection | DOAJ |
| description | Volatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile stocks are riskier, the returns that they generate for investors can be quite high. Of course, with a riskier stock also comes the chance of losing money and yielding negative returns. In this project, we will use historic stock data to help us forecast volatility. Since the financial industry usually uses S&P 500 as the indicator of the market, we will use S&P 500 as a benchmark to compute the risk. We will also use artificial neural networks as a tool to predict volatilities for a specific time frame that will be set when we configure this neural network. There have been reports that neural networks with different numbers of layers and different numbers of hidden nodes may generate varying results. In fact, we may be able to find the best configuration of a neural network to compute volatilities. We will implement this system using the parallel approach. The system can be used as a tool for investors to allocating and hedging assets. |
| first_indexed | 2024-12-10T11:06:33Z |
| format | Article |
| id | doaj.art-fe37e0ef9a8549bd973ecea5b0fbd800 |
| institution | Directory Open Access Journal |
| issn | 1690-4524 |
| language | English |
| last_indexed | 2024-12-10T11:06:33Z |
| publishDate | 2017-10-01 |
| publisher | International Institute of Informatics and Cybernetics |
| record_format | Article |
| series | Journal of Systemics, Cybernetics and Informatics |
| spelling | doaj.art-fe37e0ef9a8549bd973ecea5b0fbd8002022-12-22T01:51:33ZengInternational Institute of Informatics and CyberneticsJournal of Systemics, Cybernetics and Informatics1690-45242017-10-011557073Parallel Prediction of Stock VolatilityPriscilla JenqJohn JenqVolatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile stocks are riskier, the returns that they generate for investors can be quite high. Of course, with a riskier stock also comes the chance of losing money and yielding negative returns. In this project, we will use historic stock data to help us forecast volatility. Since the financial industry usually uses S&P 500 as the indicator of the market, we will use S&P 500 as a benchmark to compute the risk. We will also use artificial neural networks as a tool to predict volatilities for a specific time frame that will be set when we configure this neural network. There have been reports that neural networks with different numbers of layers and different numbers of hidden nodes may generate varying results. In fact, we may be able to find the best configuration of a neural network to compute volatilities. We will implement this system using the parallel approach. The system can be used as a tool for investors to allocating and hedging assets.http://www.iiisci.org/Journal/CV$/sci/pdfs/SA689HJ17.pdf Artificial Neural NetworkVolatilityParallel Processing |
| spellingShingle | Priscilla Jenq John Jenq Parallel Prediction of Stock Volatility Journal of Systemics, Cybernetics and Informatics Artificial Neural Network Volatility Parallel Processing |
| title | Parallel Prediction of Stock Volatility |
| title_full | Parallel Prediction of Stock Volatility |
| title_fullStr | Parallel Prediction of Stock Volatility |
| title_full_unstemmed | Parallel Prediction of Stock Volatility |
| title_short | Parallel Prediction of Stock Volatility |
| title_sort | parallel prediction of stock volatility |
| topic | Artificial Neural Network Volatility Parallel Processing |
| url | http://www.iiisci.org/Journal/CV$/sci/pdfs/SA689HJ17.pdf
|
| work_keys_str_mv | AT priscillajenq parallelpredictionofstockvolatility AT johnjenq parallelpredictionofstockvolatility |