ektoravlonitis/Implied-Volatility-Prediction
Use of LSTM to predict the implied volatility skew in financial markets
This project helps financial traders and quantitative analysts predict the implied volatility skew in financial markets. By taking options data, particularly from indexes like the Euro STOXX50, it generates more accurate forecasts of future market volatility. The output provides insights that can improve upon traditional Black-Scholes model predictions.
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Use this if you are a quantitative trader or analyst seeking to improve the accuracy of implied volatility skew predictions beyond traditional models for better risk management and trading strategies.
Not ideal if you are looking for a simple, off-the-shelf tool without any need for data preparation or model optimization, or if your primary interest is in historical volatility rather than implied volatility.
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12
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6
Language
Python
License
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Category
Last pushed
Apr 09, 2024
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