Evaluation of VI Index Forecasting Model by Machine Learning for Yahoo! Stock BBS Using Volatility Trading Simulation

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dc.contributor.authorSasaki, Kodai
dc.contributor.authorSuwa, Hirohiko
dc.contributor.authorOgawa, Yuki
dc.contributor.authorUmehara, Eiichi
dc.contributor.authorYamashita, Tatsuo
dc.contributor.authorTsubouchi, Kota
dc.date.accessioned2020-01-04T07:40:05Z
dc.date.available2020-01-04T07:40:05Z
dc.date.issued2020-01-07
dc.description.abstractThe risk avoidance is very crucial in investment and asset management. One commonly used index as a risk index is the VI index. Suwa et al. (2017) analyzed stock bulletin board messages and predicted it rise. In our study, we developed a simulation of trading Nikkei stock index options using intra-day data and verified the validity of the VI index prediction model proposed by Suwa et al. In a period from November 18, 2014, to June 29, 2016, we conducted a simulation using a long straddle strategy. The profit and loss from trading with the instructions of their model was +3,021 yen. The benchmark's profit and loss was -3,590 yen. The improvement with their model was +6,611 yen. Therefore, we confirmed that Suwa et al.'s VI index prediction model might be effective.
dc.format.extent9 pages
dc.identifier.doi10.24251/HICSS.2020.305
dc.identifier.isbn978-0-9981331-3-3
dc.identifier.urihttp://hdl.handle.net/10125/64047
dc.language.isoeng
dc.relation.ispartofProceedings of the 53rd Hawaii International Conference on System Sciences
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectData Analytics, Data Mining and Machine Learning for Social Media
dc.subjectintra-day data
dc.subjectmachine learning
dc.subjectstock bulletin board
dc.subjecttrading simulation
dc.titleEvaluation of VI Index Forecasting Model by Machine Learning for Yahoo! Stock BBS Using Volatility Trading Simulation
dc.typeConference Paper
dc.type.dcmiText

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