Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility
Events such as the Financial Crisis of 2007&-2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management function able to implement effective hedging strategies. S...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universidad de Alcalá (UAH) |
| Repositorio: | e_Buah Biblioteca Digital Universidad de Alcalá |
| Idioma: | inglés |
| OAI Identifier: | oai:ebuah.uah.es:10017/59173 |
| Acceso en línea: | http://hdl.handle.net/10017/59173 https://dx.doi.org/10.3390/math9151794 |
| Access Level: | acceso abierto |
| Palabra clave: | deep learning neural networks risk management stock volatility transformer Economía Economics |
| Sumario: | Events such as the Financial Crisis of 2007&-2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management function able to implement effective hedging strategies. Stock volatility forecasts play a key role in the estimation of equity risk and, thus, in the management actions carried out by financial institutions. Therefore, this paper has the aim of proposing more accurate stock volatility models based on novel machine and deep learning techniques. This paper introduces a neural network-based architecture, called Multi-Transformer. Multi-Transformer is a variant of Transformer models, which have already been successfully applied in the field of natural language processing. Indeed, this paper also adapts traditional Transformer layers in order to be used in volatility forecasting models. The empirical results obtained in this paper suggest that the hybrid models based on Multi-Transformer and Transformer layers are more accurate and, hence, they lead to more appropriate risk measures than other autoregressive algorithms or hybrid models based on feed forward layers or long short term memory cells. |
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