most citedHedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model

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q-fin.MF2020★ 1 cited

Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model

Humayra Shoshi, Indranil SenGupta

In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal hedging strategy for commodity markets. The refinement of the BN-S model is o…