Eghbal Rahimikia

University of Manchester - Alliance Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

http://www.rahimikia.com

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

145

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News

Number of pages: 41 Posted: 12 Sep 2020
Eghbal Rahimikia and Ser-Huang Poon
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 73 (367,417)
Citation 1

Abstract:

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Realised Volatility Forecasting, Heterogeneous Auto-regressive (HAR) models, Limit Order Book (LOB) Data, Dow Jones Corporate News, Big Data

2.

Machine Learning for Realised Volatility Forecasting

Number of pages: 51 Posted: 12 Oct 2020
Eghbal Rahimikia and Ser-Huang Poon
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 72 (370,219)

Abstract:

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Realised Volatility Forecasting, Machine Learning, Long Short-Term Memory, Heterogeneous AutoRegressive (HAR) Models, Limit Order Book (LOB) Data, Dow Jones Corporate News, Big Data