Events such as the Financial Crisis of 2007-2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management function able to implement effective hedging strategies. Stock volatility forecasts play a key role in the estimation of equity risk and, thus, in the management actions carried out by financial institutions. Therefore, this paper has the aim of proposing more accurate stock volatility models based on novel machine and deep learning techniques. This paper introduces a neural network-based architecture, called Multi-Transformer. Multi-Transformer is a variant of Transformer models, which have already been successfully applied in the field of natural language processing. Indeed, this paper also adapts traditional Transformer layers in order to be used in volatility forecasting models. The empirical results obtained in this paper suggest that the hybrid models based on Multi-Transformer and Transformer layers are more accurate and, hence, they lead to more appropriate risk measures than other autoregressive algorithms or hybrid models based on feed forward layers or long short term memory cells.
翻译:2007-2008年金融危机或COVID-19大流行等事件给银行和保险实体造成了重大损失,也表明了使用准确的股本风险模型和风险管理功能以能够实施有效的套期保值战略的重要性;股票波动预测在估计股本风险方面发挥着关键作用,因此,在金融机构开展的管理行动中也发挥着关键作用;因此,本文件的目的是根据新型机器和深层学习技术提出更准确的股票波动模型;本文件介绍了一个以神经网络为基础的结构,称为多变体;多变体是变体模型的一种变体,已经在自然语言处理领域成功应用;事实上,本文还调整了传统的变异体层,以便用于波动预测模型;本文件获得的经验结果表明,基于多变异和变异层的混合模型更为准确,因此,它们比基于前层或长短期记忆细胞的其他自动递增算法或混合模型更适合的风险措施。