Big Data, New Advanced Analysis Tools for Researchers: The Case Study of Forecasted Volatility of the Use ESG Bonds
Big Data, New Advanced Analysis Tools for Researchers: The Case Study of Forecasted Volatility of the Use ESG Bonds

Author(s): Sarah Goldman, Virginia Zhelyazkova
Subject(s): Social Sciences, Economy, Business Economy / Management, Sociology, Methodology and research technology, Social Informatics, ICT Information and Communications Technologies
Published by: Университет за национално и световно стопанство (УНСС)
Keywords: Granularity; Big Data; Machine learning; Neuronal Network; ARMA-GARCH process
Summary/Abstract: The aim of this work is twofold. Firstly, we search to clarify the notion of Big Data (BD) and demonstrate that the taxonomy constitutes one of the fundamental tools to portray the BD characteristics. Secondly, we have shown that the traditional analysis instruments are now relatively obsolete to integrate such outstanding amount of data; consequently, new advanced analysis tools are recommended. Based on a neural network approach, we have found that this methodology improves the forecasting results of high volatility assets compare to a basic GARCH model.

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