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Multi-Step Forecast of the Implied V...

Medvedev, Nikita .

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Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning./
Author:	Medvedev, Nikita .
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
Description:	70 p.
Notes:	Source: Masters Abstracts International, Volume: 81-08.
Contained By:	Masters Abstracts International81-08.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=27666859
ISBN:	9781392652466

Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning.
Medvedev, Nikita .

Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 70 p.

Source: Masters Abstracts International, Volume: 81-08.

Thesis (M.S.)--South Dakota State University, 2019.

This item must not be sold to any third party vendors.

Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can't take advantage of the long term persistence in the volatility series.The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step implied volatility forecasting. The thesis contributes to the literature by modeling the entire implied volatility surface (IVS) using recurrent neural network architectures. I implement Convolutional Long Short Term Memory Neural Network (ConvLSTM) to produce multivariate and multi-step forecasts of the S&P 500 implied volatility surface. The ConvLSTM model is capable of understanding the spatiotemporal relationships between strikes and maturities (term structure), and of modeling volatility surface dynamics non-parametrically.I benchmark the ConvLSTM model against traditional multivariate time series Vector autoregression (VAR), Vector Error Correction (VEC) model, and deep learning-based Long-Short-Term Memory (LSTM) neural network. I find that the ConvLSTM significantly outperforms traditional time series models, as well as the benchmark Long Short Term Memory(LSTM) model in predicting the implied volatility surface for a 1-day, 30-day, and 90-day horizon, for out-of-the-money and at-the-money calls and puts.

ISBN: 9781392652466Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Convolutional LSTM

Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning.
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300 $a 70 p.
500 $a Source: Masters Abstracts International, Volume: 81-08.
500 $a Advisor: Wang, Zhiguang.
502 $a Thesis (M.S.)--South Dakota State University, 2019.
506 $a This item must not be sold to any third party vendors.
520 $a Implied volatility is an essential input to price an option. Machine learning architectures have shown strengths in learning option pricing formulas and estimating implied volatility cross-sectionally. However, implied volatility time series forecasting is typically done using the univariate time series and often for short intervals. When a univariate implied volatility series is forecasted, important implied volatility properties such as volatility skew and the term structure are lost. More importantly, short term forecasts can't take advantage of the long term persistence in the volatility series.The thesis attempts to bridge the gap between machine learning-based implied volatility modeling and multivariate multi-step implied volatility forecasting. The thesis contributes to the literature by modeling the entire implied volatility surface (IVS) using recurrent neural network architectures. I implement Convolutional Long Short Term Memory Neural Network (ConvLSTM) to produce multivariate and multi-step forecasts of the S&P 500 implied volatility surface. The ConvLSTM model is capable of understanding the spatiotemporal relationships between strikes and maturities (term structure), and of modeling volatility surface dynamics non-parametrically.I benchmark the ConvLSTM model against traditional multivariate time series Vector autoregression (VAR), Vector Error Correction (VEC) model, and deep learning-based Long-Short-Term Memory (LSTM) neural network. I find that the ConvLSTM significantly outperforms traditional time series models, as well as the benchmark Long Short Term Memory(LSTM) model in predicting the implied volatility surface for a 1-day, 30-day, and 90-day horizon, for out-of-the-money and at-the-money calls and puts.
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653 $a Convolutional long short term memory neural network
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653 $a Multi-step forecast
653 $a Vector autoregression
653 $a Vector Error Correction
653 $a Long short term memory
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