Nikita I. Lysenok

WHICH MODEL FAMILIES PAY? ECONOMETRIC, GRADIENT BOOSTING AND RECURRENT NEURAL NETWORK VOLATILITY FORECASTS IN ACTIVE TRADING STRATEGIES ON THE RUSSIAN STOCK MARKET

This paper asks which families of volatility forecasting models create economic value in active trading, and through which integration channel that value is transmitted, and which is governed by the integration channel rather than by the size of the accuracy gain.