Modeling dynamic elasticity on intraday volatility and volume by finding PDEs using machine learning

Document Type

Conference Proceeding

Publication Date

1-1-2024

Abstract

The study proposes a methodology to identify a PDE describing the relationship between trading volume and volatility in securities, focusing on the SPDR S& P 500 ETF (SPY) as a case study. By integrating ML exploration with domain expertise, the study uncovers a simple and interpretable PDE, providing insights into market behavior and enhancing market monitoring capabilities for traders and investors. The approach emphasizes the importance of combining ML methods with domain knowledge to derive meaningful insights and practical applications in financial markets.

Identifier

85198838794 (Scopus)

ISBN

[9798350387803]

Publication Title

2024 IEEE 5th World AI IoT Congress, AIIoT 2024

External Full Text Location

https://doi.org/10.1109/AIIoT61789.2024.10578976

First Page

444

Last Page

450

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