Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01jh343v65h
 Title: Predicting Equity Index Volatility with Text Information Authors: Ding, Patrick Advisors: Kpotufe, Samory Department: Operations Research and Financial Engineering Class Year: 2015 Abstract: We attempt to forecast the volatility of returns of several equity indices using text data. We consider a variety models and methods for incorporating text information with standard volatility forecasting models. We nd that certain representations of the text data can provide some increased accuracy in volatility forecasting. Finally we backtest a trading strategy based on the forecasts of the models for one of the datasets of interest and nd that text information provides better performance for some time periods. Extent: 56 pages URI: http://arks.princeton.edu/ark:/88435/dsp01jh343v65h Type of Material: Princeton University Senior Theses Language: en_US Appears in Collections: Operations Research and Financial Engineering, 2000-2016

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