Related papers: Can Google Trends search queries contribute to ris…
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the…
In this paper we analyze the efficiency of various search results diversification methods. While efficacy of diversification approaches has been deeply investigated in the past, response time and scalability issues have been rarely…
Google Trends reports how frequently specific queries are searched on Google over time. It is widely used in research and industry to gain early insights into public interest. However, its data generation mechanism introduces missing…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
In search and recommendation, diversifying the multi-aspect search results could help with reducing redundancy, and promoting results that might not be shown otherwise. Many previous methods have been proposed for this task. However,…
Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source…
This paper presents a novel application of a clustering algorithm developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation…
We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Principle, providing a solution for the optimal selection of…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science,…
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
We investigate an application of network centrality measures to portfolio optimization, by generalizing the method in [Pozzi, Di Matteo and Aste, \emph{Spread of risks across financial markets: better to invest in the peripheries},…
Scientific discovery is shaped by scientists' choices and thus by their career patterns. The increasing knowledge required to work at the frontier of science makes it harder for an individual to embark on unexplored paths. Yet…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization…
The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio problem based on finding the weights as budget shares that…
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…
The frequency of a web search keyword generally reflects the degree of public interest in a particular subject matter. Search logs are therefore useful resources for trend analysis. However, access to search logs is typically restricted to…