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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
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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