Corpus ID: 231704286

Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters

@inproceedings{Hui2021AnalysisOS,
  title={Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters},
  author={Xianfei Hui and B. Sun and Hui Jiang and I. Sengupta},
  year={2021}
}
We use the superposition of the Lévy processes to optimize the classic BN-S model. Considering the frequent fluctuations of price parameters difficult to accurately estimate in the model, we preprocess the price data based on fuzzy theory. The price of S&P500 stock index options in the past ten years are analyzed, and the deterministic fluctuations are captured by machine learning methods. The results show that the new model in a fuzzy environment solves the long-term dependence problem of the… Expand

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