Three essays on machine learning and time series applications on finance: Skew index and return predictability
Drawing on insights from three interconnected chapters, this Ph.D. thesis delivers a thorough examination of financial market forecasting and predictability, with a special emphasis on the predictive power of the Skew Index, the application of both traditional econometrics and state-of-the-art deep...
- Autores:
-
Vanegas Herrera, Esteban Nicolás
- Tipo de recurso:
- Doctoral thesis
- Fecha de publicación:
- 2024
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/74576
- Acceso en línea:
- https://hdl.handle.net/1992/74576
- Palabra clave:
- Skew Index
SPY
Forecast
Predictability
Machine Learning
Deep Learning
Dense
LSTM
GRU
CNN
Hybrid-CNN
Administración
- Rights
- License
- http://purl.org/coar/access_right/c_f1cf