From the series: Machine Learning Applications in Risk Management
Kawee Numpacharoen, MathWorks
Volatility forecasting is a common but still very important problem in finance, especially in risk management and quantitative finance. In this demo, you will learn how to apply machine learning (regression) techniques to forecast continuous response variables, such as volatility, using Bitcoin data from Quandl. You will also see how easy it is to use MATLAB® to perform a complicated task like hyperparameter optimization.