RasLillebo/HighFrequencyEconometrics-HAR-vs.-Neural-Networks

Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performance of the two models (HAR & Neural Networks). - The data used in this project is 2 years worth of intraday 5-minute realized volatility (See: Sheppard, Patton, Liu, 2012) from 20 Dow Jones stocks, that has been scrutinized using bivariate analysis and manipulation into a single dimension.

语言：R · GitHub 星标：18 · Fork：1

话题：heterogeneity · heterogeneous-network · high-frequency-trading · neural-network

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