{"title":"Corrected Triple Correction Method, CNN and Transfer Learning for Prediction the Realized Volatility of Bitcoin and E-Mini S&P500","authors":"V. A. Manevich","doi":"10.1134/s1995080224600705","DOIUrl":null,"url":null,"abstract":"<h3 data-test=\"abstract-sub-heading\">Abstract</h3><p>Compares ARMA models, boosting, neural network models, HAR_RV models and proposes a new method for predicting one day ahead realized volatility of financial series. HAR_RV models are taken as compared classical volatility prediction models. In addition, the phenomenon of transfer learning for boosting and neural network models is investigated. Bitcoin and E-mini S&P500 are chosen as examples. The realized volatility is calculated based on intraday (intraday—24 hours) data. The calculation is based on the closing values of the internal five-minute intervals. Comparisons are made both within and between the two intervals. The intervals considered are January 1, 2018–January 1, 2022 and January 1, 2018–April 2, 2023. Since there were structural changes in the markets during these intervals, the models are estimated in sliding windows of 399 days length. For each time series, we compare three-parameter enumeration boosting, about 10 different neural network architectures, ARMA models, the newly proposed CTCM method, and various training transfer and training sample expansion options. It is shown that ARMA and HAR_RV models are generally inferior to other listed methods and models. The CTCM model and neural networks of CNN architecture are the most suitable for financial time series forecasting and show the best results. Although transfer learning shows no improvement in terms of forecast precision and yields little decline. It requires more extensive and detailed study. The smallest MAPEs for Bitcoin and E-mini S&P500 realized volatility forecasts are achieved by the newly proposed CTCM model and are 21.075%, 25.311% on the first interval and 21.996%, 26.549% on the second interval, respectively.</p>","PeriodicalId":46135,"journal":{"name":"Lobachevskii Journal of Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Lobachevskii Journal of Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1134/s1995080224600705","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
Abstract
Compares ARMA models, boosting, neural network models, HAR_RV models and proposes a new method for predicting one day ahead realized volatility of financial series. HAR_RV models are taken as compared classical volatility prediction models. In addition, the phenomenon of transfer learning for boosting and neural network models is investigated. Bitcoin and E-mini S&P500 are chosen as examples. The realized volatility is calculated based on intraday (intraday—24 hours) data. The calculation is based on the closing values of the internal five-minute intervals. Comparisons are made both within and between the two intervals. The intervals considered are January 1, 2018–January 1, 2022 and January 1, 2018–April 2, 2023. Since there were structural changes in the markets during these intervals, the models are estimated in sliding windows of 399 days length. For each time series, we compare three-parameter enumeration boosting, about 10 different neural network architectures, ARMA models, the newly proposed CTCM method, and various training transfer and training sample expansion options. It is shown that ARMA and HAR_RV models are generally inferior to other listed methods and models. The CTCM model and neural networks of CNN architecture are the most suitable for financial time series forecasting and show the best results. Although transfer learning shows no improvement in terms of forecast precision and yields little decline. It requires more extensive and detailed study. The smallest MAPEs for Bitcoin and E-mini S&P500 realized volatility forecasts are achieved by the newly proposed CTCM model and are 21.075%, 25.311% on the first interval and 21.996%, 26.549% on the second interval, respectively.
期刊介绍：
Lobachevskii Journal of Mathematics is an international peer reviewed journal published in collaboration with the Russian Academy of Sciences and Kazan Federal University. The journal covers mathematical topics associated with the name of famous Russian mathematician Nikolai Lobachevsky (Lobachevskii). The journal publishes research articles on geometry and topology, algebra, complex analysis, functional analysis, differential equations and mathematical physics, probability theory and stochastic processes, computational mathematics, mathematical modeling, numerical methods and program complexes, computer science, optimal control, and theory of algorithms as well as applied mathematics. The journal welcomes manuscripts from all countries in the English language.
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