Related papers: Discovering Bayesian Market Views for Intelligent …
In this work, we present our findings and experiments for stock-market prediction using various textual sentiment analysis tools, such as mood analysis and event extraction, as well as prediction models, such as LSTMs and specific…
Public opinion governance in social networks is critical for public health campaigns, political elections, and commercial marketing. In this paper, we addresse the problem of maximizing overall opinion in social networks by strategically…
Financial markets exhibit highly dynamic and complex behaviors shaped by both historical price trajectories and exogenous narratives, such as news, policy interpretations, and social media sentiment. The heterogeneity in these data and the…
We study investor learning and information acquisition in private markets using a large dataset of expert network calls. We develop a sequential Large Language Model (LLM)-Bayesian framework that treats expert interactions as sequential…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
This work considers a Bayesian signal processing problem where increasing the power of the probing signal may cause risks or undesired consequences. We employ a market based approach to solve energy management problems for signal detection…
In the spirit of behavioral finance, we study the process of opinion formation among investors using a variant of the 2D Voter Model with a tunable social temperature. Further, a feedback acting on the temperature is introduced, such that…
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
In recent years, financial sentiment analysis of public opinion has become increasingly important for market forecasting and risk assessment. However, existing methods often struggle to effectively integrate diverse opinion modalities and…
Mean-variance analysis is widely used in portfolio management to identify the best portfolio that makes an optimal trade-off between expected return and volatility. Yet, this method has its limitations, notably its vulnerability to…
To make decisions we are guided by the evidence we collect, as well as the opinions of friends and neighbors. How do we integrate our private beliefs with information we obtain from our social network? To understand the strategies humans…
Despite the prevalence of voting systems in the real world there is no consensus among researchers of how people vote strategically, even in simple voting settings. This paper addresses this gap by comparing different approaches that have…
We explore a new mechanism to explain polarization phenomena in opinion dynamics in which agents evaluate alternative views on the basis of the social feedback obtained on expressing them. High support of the favored opinion in the social…
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…
Mining financial text documents and understanding the sentiments of individual investors, institutions and markets is an important and challenging problem in the literature. Current approaches to mine sentiments from financial texts largely…
The increasing richness in volume, and especially types of data in the financial domain provides unprecedented opportunities to understand the stock market more comprehensively and makes the price prediction more accurate than before.…
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate,…