Speaker: Prof. Aihua (Eva) Zhang, College of Science, Math & Tech., Wenzhou-Kean University, Wenzhou China Abstract: In order to obtain the optimal portfolio strategy maximizing the accumulated terminal wealth with transaction costs, in this paper, we propose a new prediction-based portfolio method combining with a long short-term memory (in short, LSTM) network which is an […]

Speaker: Prof. Piotr Fiszeder, Dept. Econ. & Stat., Nicolaus Copernicus Univ., Torun, Poland Abstract: Traditional volatility models do not work well when volatility changes rapidly and in the presence of outliers. Therefore, two lines of improvements have been developed separately in the existing literature. Range-based models benefit from efficient volatility estimates based on low and […]