Mathias Siggaard

Aarhus University

Nordre Ringgade 1

DK-8000 Aarhus C, 8000

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

3,320

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A Machine Learning Approach To Volatility Forecasting

Number of pages: 47
Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
Aarhus University - CREATES, Aarhus University and Aarhus University
Downloads 1,698

Abstract:

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gradient boosting, high-frequency data, machine learning, neural network, random forest, realized variance, regularization, volatility forecasting

2.

Intraday Market Return Predictability Culled from the Factor Zoo

Number of pages: 119 Posted: 14 Mar 2023 Last Revised: 03 May 2024
Saketh Aleti, Tim Bollerslev and Mathias Siggaard
Duke University, Department of Economics, Duke University - Finance and Aarhus University
Downloads 1,085 (39,297)

Abstract:

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High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital

3.

Double Machine Learning: Explaining the Post-Earnings Announcement Drift

Number of pages: 80 Posted: 30 Jan 2022 Last Revised: 18 Oct 2022
Jacob Hald Hansen and Mathias Siggaard
Aarhus University - Department of Economics and Business Economics and Aarhus University
Downloads 537 (98,629)

Abstract:

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Post-Earnings Announcement Drift, Double Machine Learning, Inference, Lasso, Variable Se- lection