• Corpus ID: 221761458

Using Machine Learning and Alternative Data to Predict Movements in Market Risk

@article{Dierckx2020UsingML,
  title={Using Machine Learning and Alternative Data to Predict Movements in Market Risk},
  author={Thomas Dierckx and Jesse Davis and Wim Schoutens},
  journal={arXiv: Computational Finance},
  year={2020}
}
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through extensive investigation. Remarkably, we found no existing research on the prediction of an asset's market implied volatility within this context. This forward-looking measure gauges the sentiment on the future volatility of an asset, and is deemed one of the… 

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