SPECS-Transformer: A Transformer Architecture for Volatility Forecasting with Signal-Spectrum Dynamics
Year: 2025
Type: article
Abstract: Modeling volatility in financial markets has been a major challenge for many years, playing an essential role in portfolio risk management and in the pricing of derivative products such as options. This project proposes a methodological, theoretical, and practical approach, beginning with feature engineering applied to financial time series. The study is initially based on the use of a Variational Autoencoder (VAE) which, through probabilistic latent modeling, makes it pos- sible to generate the dynamics and potential trajectories of future volatility. As the study progressed, more complex architectures were introduced to improve the models’ sensitivity.
Author: Bizeul, Alexandro
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7084385173
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