The Use of Machine Learning in Volatility: A Review Using K-Means

Jesus Enrique Molina Muñoz; Ricard Castañeda

doi:10.12804/revistas.urosario.edu.co/empresa/a.11969

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O uso de machine learning na volatilidade: uma revisão usando K-means

DOI: https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.11969

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Publicado: jun. 23, 2023

Edição: v. 25 n. 44 (2023)

Seção Artículo de revisión

Palavras-chave: bibliometric analysis , financial literature , k means , machine learning , volatility análisis bibliometrico , k means , literatura financiera , machine learning , volatilidad análise bibliométrica , k-means , literatura financeira , machine learning , volatilidade

Autores

Jesus Enrique Molina Muñoz Universidad del Rosario

Ricard Castañeda

Resumo

Recentemente, o uso de técnicas de machine learning (ML) em diferentes disciplinas científicas experimentou um aumento sem precedentes. A área das finanças não tem sido exceção. Nos últimos anos, vários artigos foram publicados usando técnicas de ML. Entretanto, um dos temas com menor número de artigos desenvolvidos nesse contexto é a volatilidade. Apesar do exposto, os dados analisados neste artigo sugerem mudanças nesse sentido. Dados obtidos da base de dados Web of Science mostram que entre 2001 e 2010 33 artigos associados a este tópico foram publicados. Surpreendentemente, entre 2019 e 2023, foram publicados 189 manuscritos relacionados a esse tipo de modelo. O objetivo deste artigo é revisar os trabalhos relacionados a aplicações de ml no tópico de volatilidade. Para isso, propõe-se uma classificação das principais propostas sobre este assunto seguindo uma metodologia narrativa, acompanhada de uma análise estatística e bibliométrica em que são utilizadas técnicas inovadoras como o K-means. Os resultados são sugestivos. Embora a maioria dos artigos se concentre na previsão de volatilidade por meio de redes neurais e support vector machines, há uma ausência de artigos relacionados à transmissão de volatilidade, calibração de superfície de volatilidade e finanças corporativas. Além disso, os resultados obtidos indicam que existem lacunas na produção de artigos relacionados a esses temas em periódicos especializados em finanças e economia.

Como Citar

Molina Muñoz, J. E., & Castañeda, R. (2023). O uso de machine learning na volatilidade: uma revisão usando K-means. Revista Universidad Y Empresa, 25(44), 1–28. https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.11969

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