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Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From…
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock…
This study proposes DisSim-FinBERT, a novel framework that integrates Discourse Simplification (DisSim) with Aspect-Based Sentiment Analysis (ABSA) to enhance sentiment prediction in complex financial texts. By simplifying intricate…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a…
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts…
Senders of messages prefer to communicate uncertainty verbally (e.g., something is likely to happen) rather than numerically (such as 75%), leaving receivers with imprecise information. While it is well established that receivers translate…
Conversation forecasting tasks a model with predicting the outcome of an unfolding conversation. For instance, it can be applied in social media moderation to predict harmful user behaviors before they occur, allowing for preventative…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…
There is a vast body of recent literature on the reliability of communication through noisy channels, the recovery of community structures in the stochastic block model, the limiting behavior of the free entropy in spin glasses and the…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Massive Open Online Courses (MOOCs) bring together thousands of people from different geographies and demographic backgrounds -- but to date, little is known about how they learn or communicate. We introduce a new content-analysed MOOC…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
Automatic depression detection from doctor-patient conversations has gained momentum thanks to the availability of public corpora and advances in language modeling. However, interpretability remains limited: strong performance is often…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We critically assess mainstream accounting and finance research applying methods from computational linguistics (CL) to study financial discourse. We also review common themes and innovations in the literature and assess the incremental…