The Relationship Between Efficiency and Volatility of Financial Markets

Student: Rigus Evgenii

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2020

The summary. To final qualification work on a subject: «The Relationship Between Efficiency and Volatility of Financial Markets». Work includes: 30 pages, 18 schedules, 4 tables, 2 appendices, 7 used sources Keywords: financial markets efficiency, volatility, time series, machine leaning, LSTM, Herst measure. Object of research – testing the efficiency of the Russian stock market in segments with moderate and high volatility, searching for volatility clusters, training model for the period with high volatility. The work purpose – using the neural network model to test the market for the ability to predict both a long period of time and a time period with volatility.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses