Incorporating Prior Financial Domain Knowledge into Neural Networks for Implied Volatility Surface Prediction

Zheng, Y., Yang, Y. and Chen, B. (2021) Incorporating Prior Financial Domain Knowledge into Neural Networks for Implied Volatility Surface Prediction. In: 27th ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD ’21), Singapore, 14-18 Aug 2021, pp. 3968-3975. ISBN 9781450383325 (doi: 10.1145/3447548.3467115)

Abstract

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roposed model outperforms the benchmarked models with the option data on the S&P
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• Item Type: Conference Proceedings
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Chen, Dr Bowei
• Authors: Zheng, Y., Yang, Y., and Chen, B.
• College/School: College of Social Sciences > Adam Smith Business School > Management
• ISBN: 9781450383325
• Published Online: 14 August 2021
• Copyright Holders: Copyright © 2021 Association for Computing Machinery
• Publisher Policy: Reproduced in accordance with the publisher copyright policy