What are you searching for? On the equivalence of proxies for online investor...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Simon Behrendt, Philipp PrangeAbstractGoogle searches for stock tickers and company-specific Wikipedia...
View ArticleIntangible Factor and Idiosycratic Volatility Puzzles
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Xing LI, Keqiang HOU, Chao ZhangAbstractIn this paper, we explore whether intangible capital (IC) can help...
View ArticleA Bayesian Re-Interpretation of ”Significant” Empirical Financial...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Ralf Kellner, Daniel RöschAbstractCurrently, the use of t statistics and p-values is under scrutiny in...
View ArticleFrom bottom ten to top ten: the role of cryptocurrencies in enhancing...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Roman Matkovskyy, Akanksha Jalan, Michael Dowling, Taoufik BouraouiAbstractThis study attempts to analyze...
View ArticleBitcoin volatility, stock market and investor sentiment. Are they connected?
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): M. Ãngeles López-Cabarcos, Ada M. Pérez-Pico, Juan Piñeiro-Chousa, Aleksandar Å eviÄAbstractBitcoin is...
View ArticlePrice Dynamics of Individual Stocks: Jumps and Information
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Yuewen Xiao, Jing ZhaoAbstractThis study examines individual stocksâ price dynamics by separating...
View ArticleFrom SRI to Shariah: A Bridge Not too Far
Usman Hayat, for the CFA Institute has written a provocative paper about the relationship between socially responsible investing on the one hand and Islamic finance on the other. His bottom line is...
View ArticleRelation between non-exchangeability and measures of concordance of copulas....
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker...
View ArticleLearning the dynamics of technical trading strategies. (arXiv:1903.02228v3...
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to...
View ArticleHealthy Access for Healthy Places: A Multidimensional Food Access Measure....
When it comes to preventive healthcare, place matters. It is increasingly clear that social factors, particularly reliable access to healthy food, are as determinant to health and health equity as...
View ArticleQuantifying the Effects of the 2008 Recession using the Zillow Dataset....
This report explores the use of Zillow's housing metrics dataset to investigate the effects of the 2008 US subprime mortgage crisis on various US locales. We begin by exploring the causes of the...
View ArticlePredicting one type of technological motion? A nonlinear map to study the...
In this work we use a proven model to study a dynamic duopolistic competition between an old and a new technology which, through improved technical performance - e.g. data transmission capacity - fight...
View ArticleThe Dynamics of Financial Markets: Fibonacci numbers, Elliott waves, and...
In this paper information theoretical approach is applied to the description of financial markets. A model which is expected to describe the markets dynamics is presented. It is shown the possibility...
View ArticleOnline Quantification of Input Model Uncertainty by Two-Layer Importance...
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model,...
View ArticleA Gated Recurrent Unit Approach to Bitcoin Price Prediction....
In today's era of big data, deep learning and artificial intelligence have formed the backbone for cryptocurrency portfolio optimization. Researchers have investigated various state of the art machine...
View ArticlePricing and hedging American-style options with deep learning....
This paper describes a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price....
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