Factors, Forecasts, and Simulations of Volatility in the Stock Market Using Machine Learning

Volatility is a risk indicator for the stock market, and its measurement is important for investors’ decisions; however, few studies have investigated it. Only two systematic reviews focusing on volatility have been identified. In addition, with the advance of artificial intelligence, several machine learning algorithms should be reviewed. This article provides a systematic review of the factors, forecasts and simulations of volatility in the stock market using machine learning (ML) in accordance with PRISMA (Preferred Reporting Items for Systematic Review and Meta-Analysis) review selection guidelines. From the initial 105 articles that were identified from the Scopus and Web of Science databases, 40 articles met the inclusion criteria and, thus, were included in the review. The findings show that publication trends exhibit a growth in interest in stock market volatility; fifteen factors influence volatility in six categories: news, politics, irrationality, health, economics, and war; twenty-seven prediction models based on ML algorithms, many of them hybrid, have been identified, including recurrent neural networks, long short-term memory, support vector machines, support regression machines, and artificial neural networks; and finally, five hybrid simulation models that combine Monte Carlo simulations with other optimization techniques are identified. In conclusion, the review process shows a movement in volatility studies from classic to ML-based simulations owing to the greater precision obtained by hybrid algorithms.

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Publication Details

Journal
Journal of risk and financial management
Published
2025-04-24
DOI
https://doi.org/10.3390/jrfm18050227
Citations
6
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
12.64
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article

Factors, Forecasts, and Simulations of Volatility in the Stock Market Using Machine Learning

David Mauricio, Alejandro Narváez, Juan Mansilla-Lopez
6 citations
Journal of risk and financial management
Stock Market Forecasting Methods
12.64
article

Factors, Forecasts, and Simulations of Volatility in the Stock Market Using Machine Learning

David Mauricio, Alejandro Narváez, Juan Mansilla-Lopez
article en
6 citations

Abstract

Volatility is a risk indicator for the stock market, and its measurement is important for investors’ decisions; however, few studies have investigated it. Only two systematic reviews focusing on volatility have been identified. In addition, with the advance of artificial intelligence, several machine learning algorithms should be reviewed. This article provides a systematic review of the factors, forecasts and simulations of volatility in the stock market using machine learning (ML) in accordance with PRISMA (Preferred Reporting Items for Systematic Review and Meta-Analysis) review selection guidelines. From the initial 105 articles that were identified from the Scopus and Web of Science databases, 40 articles met the inclusion criteria and, thus, were included in the review. The findings show that publication trends exhibit a growth in interest in stock market volatility; fifteen factors influence volatility in six categories: news, politics, irrationality, health, economics, and war; twenty-seven prediction models based on ML algorithms, many of them hybrid, have been identified, including recurrent neural networks, long short-term memory, support vector machines, support regression machines, and artificial neural networks; and finally, five hybrid simulation models that combine Monte Carlo simulations with other optimization techniques are identified. In conclusion, the review process shows a movement in volatility studies from classic to ML-based simulations owing to the greater precision obtained by hybrid algorithms.

Journal of risk and financial managementVol. 18(5)
National University of San Marcos (PE), National University of Engineering (PE)
Openalex Percentile: Top 2%
Stock Market Forecasting Methods
12.64
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Factors, Forecasts, and Simulations of Volatility in the Stock Market Using Machine Learning — David Mauricio, Alejandro Narváez, et al. · Journal of risk and financial management (2025) | TGRS Research Map | TGRS