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Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter

https://doi.org/10.2139/ssrn.4626835
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Asymmetric Volatility in Cryptocurrencies
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A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis
inferredcites →https://doi.org/10.1016/j.frl.2019.09.008openalex-extracted
Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
inferredcites →https://doi.org/10.1016/j.frl.2019.101379openalex-extracted
Rough volatility of Bitcoin
inferredcites →https://doi.org/10.1016/j.jbankfin.2022.106467openalex-extracted
On the Performance of Cryptocurrency Funds
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.034openalex-extracted
Volatility forecast comparison using imperfect volatility proxies
inferredcites →https://doi.org/10.1016/j.mlwa.2023.100465openalex-extracted
Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies
inferredcites →https://doi.org/10.1016/j.physa.2022.127158openalex-extracted
Deep learning in predicting cryptocurrency volatility
inferredcites →https://doi.org/10.1016/j.physa.2022.127919openalex-extracted
From rough to multifractal volatility: The log S-fBM model
inferredcites →https://doi.org/10.1016/j.ribaf.2022.101754openalex-extracted
Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales
inferredcites →https://doi.org/10.1080/14697680903266730openalex-extracted
Volatility conditional on price trends
inferredcites →https://doi.org/10.1080/14697688.2015.1099717openalex-extracted
Pricing under rough volatility
inferredcites →https://doi.org/10.1080/14697688.2017.1393551openalex-extracted
Volatility Is Rough
inferredcites →https://doi.org/10.1093/jjfinec/nbaa049openalex-extracted
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
inferredcites →https://doi.org/10.1093/jjfinec/nbp001openalex-extracted
A Simple Approximate Long-Memory Model of Realized Volatility
inferredcites →https://doi.org/10.1109/iiai-aai.2019.00023openalex-extracted
What is Stablecoin?: A Survey on Price Stabilization Mechanisms for Decentralized Payment Systems
inferredcites →https://doi.org/10.1111/jofi.12903openalex-extracted
Is Bitcoin Really Un-Tethered?
inferredcites →https://doi.org/10.1111/mafi.12173openalex-extracted
The characteristic function of rough Heston models
inferredcites →https://doi.org/10.1142/s2382626615500082openalex-extracted
A Million Metaorder Analysis of Market Impact on the Bitcoin
inferredcites →https://doi.org/10.1162/neco.1997.9.8.1735openalex-extracted
Long Short-Term Memory
inferredcites →https://doi.org/10.1186/s40854-021-00321-6openalex-extracted
Cryptocurrency trading: a comprehensive survey
inferredcites →https://doi.org/10.1214/18-aap1408openalex-extracted
Perfect hedging in rough Heston models
inferredcites →https://doi.org/10.1287/mnsc.2021.4095openalex-extracted
Bitcoin: A Natural Oligopoly
inferredcites →https://doi.org/10.1287/mnsc.2021.4271openalex-extracted
Why Bitcoin Will Fail to Scale?
inferredcites →https://doi.org/10.1556/2006.2021.00037openalex-extracted
The psychology of cryptocurrency trading: Risk and protective factors
inferredcites →https://doi.org/10.2139/ssrn.2536001openalex-extracted
A Million Metaorder Analysis of Market Impact on the Bitcoin
inferredcites →https://doi.org/10.2139/ssrn.2846756openalex-extracted
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
inferredcites →https://doi.org/10.2139/ssrn.3267041openalex-extracted
Cryptocurrency Pump-and-Dump Schemes
inferredcites →https://doi.org/10.2139/ssrn.3440802openalex-extracted
Bitcoin: A Peer-to-Peer Electronic Cash System
inferredcites →https://doi.org/10.48550/arxiv.1412.6980openalex-extracted
Adam: A Method for Stochastic Optimization
inferredcites →https://doi.org/10.48550/arxiv.1606.08415openalex-extracted
Gaussian Error Linear Units (GELUs)
inferredcites →https://doi.org/10.48550/arxiv.2107.01611openalex-extracted
Deep calibration of the quadratic rough Heston model
inferredcites →https://doi.org/10.48550/arxiv.2206.14114openalex-extracted
inferredcites →https://doi.org/10.3934/fmf.2024002openalex-snapshot
On the universality of the volatility formation process: When machine learning and rough volatility agree
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