Predicting Volatility Index According to Technical Index and Economic Indicators on the Basis of Deep Learning Algorithm

Abstract

The Volatility Index (VIX) is a real-time index that has been used as the first measure to quantify market expectations for volatility, which affects the financial market as a main actor of the overall economy that is sensitive to the environmental and social aspects of investors and companies. The VIX is calculated using option prices for the S&P 500 Index (SPX) and is expressed as a percentage. Taking into account that VIX only shows the implicit volatility of the S&P 500 for the next 30 days, the authors develop a model for a near-optimal state trying to avoid uncertainty and insufficient accuracy. The researchers are trying to make a contribution to the theory of socially responsible portfolio management. The developed approach allows potential investments to make decisions regarding such important topics as ethical investing, performance analysis, as well as sustainable investment strategies. The approach of this research allows to use deep probabilistic convolutional neural networks based on conditional variance as a linear function of errors with the aim of estimating and predicting the VIX. For this purpose, the use of technical indicators and economic indexes such as Chicago Board Options Exchange (CBOE) VIX and S&P 500 is considered. The results of estimating and predicting the VIX with the proposed method indicate high precision and create a certainty in modeling to achieve the goals.

Financial Stability in Companies with High ESG Scores: Evidence from North America Using the Ohlson O-Score

“…The independent variables in the context of the conducted regression analysis is, as has been outlined, the ESG scores of corresponding companies, whilst the O s is the dependent variable. The analysis was conducted with regard to the recommended and practiced one-year lag of the independent variables [1][2][3][4][6][7][8][9][10][11]. This is often implemented in order to review the effects of ESG on the company's consequential financial performance regarding the topic of CSR-CFP correlation.…”

“…Some researchers have concluded that the effect of the ESG score on the profitability of assets is positive but relatively insignificant. Evaluating a company's activities based on its ESG score can be observed to have a higher impact on certain industries of the economy [9][10][11][12][13][14][15]. Studies of Chinese markets add to the industry-specific rhetoric by assessing the effects of ESG scores of being more significant in the cases of private property when compared to the impact on state-owned enterprises.…”

Long-term stock price forecast based on PSO-informer model

“…In view of the above problems, this paper proposes a forecasting model PSO-Informer for long-term stock price forecasting. Method First, 43 index factors [8][9] are combined with K-line data to construct input data. The input data is converted into vector form and sent to the PSO-Informer model for long-term series prediction of stock closing price 60 time points in the future.…”

Sustainability of quality of life investments based on the digital transformation

“…[1][2][3] Such institutional investors in the world have a significant impact on the business climate due to the scale of their activities. 4 Over the following decades, they are among the top participants in NYSE (The New York Stock Exchange), SSE (Shanghai Stock Exchange), and LSE (London Stock Exchange) securities markets and stand out on the Tokyo Stock Exchange. This research outlines the methods and results aimed at the digital transformation of methods for forecasting long-term institutional investments.…”

“…Also, from statistical reports regularly maintained by governmental organizations, the parameters of the distribution of the duration of the accumulation phase over the array of people and the time of life in the subsequent period are known. 4 The authors are trying to show that the point of the maximum value of profit is one of the reference indicators. The considered indicator makes the great impact on the relevant investment decision.…”