Related papers: The Value of Information from Sell-side Analysts
Financial disclosure analysis and Knowledge extraction is an important financial analysis problem. Prevailing methods depend predominantly on quantitative ratios and techniques, which suffer from limitations like window dressing and past…
Reliability-oriented sensitivity analysis aims at combining both reliability and sensitivity analyses by quantifying the influence of each input variable of a numerical model on a quantity of interest related to its failure. In particular,…
Armed with a decade of social media data, I explore the impact of investor emotions on earnings announcements. In particular, I test whether the emotional content of firm-specific messages posted on social media just prior to a firm's…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
Explainable AI (XAI) is widely used to analyze AI systems' decision-making, such as providing counterfactual explanations for recourse. When unexpected explanations occur, users may want to understand the training data properties shaping…
Data valuation -- quantifying the contribution of individual data sources to certain predictive behaviors of a model -- is of great importance to enhancing the transparency of machine learning and designing incentive systems for data…
In spite of increased attention on explainable machine learning models, explaining multi-output predictions has not yet been extensively addressed. Methods that use Shapley values to attribute feature contributions to the decision making…
We study expert advice under reputational incentives, with sell-side equity research as the lead application. A long-lived analyst receives a continuous private signal about a binary payoff and recommends a risky (Buy) or safe action.…
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.…
Despite the popularity of Shapley Values in explaining neural text classification models, computing them is prohibitive for large pretrained models due to a large number of model evaluations. In practice, Shapley Values are often estimated…
Shapley values have seen widespread use in machine learning as a way to explain model predictions and estimate the importance of covariates. Accurately explaining models is critical in real-world models to both aid in decision making and to…
Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts. For point forecasts, we show how the effect of…
Shapley value attribution (SVA) is an increasingly popular explainable AI (XAI) method, which quantifies the contribution of each feature to the model's output. However, recent work has shown that most existing methods to implement SVAs…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
As machine learning ascends the peak of computer science zeitgeist, the usage and experimentation with sentiment analysis using various forms of textual data seems pervasive. The effect is especially pronounced in formulating securities…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
Counterfactual explanations are a widely used approach in Explainable AI, offering actionable insights into decision-making by illustrating how small changes to input data can lead to different outcomes. Despite their importance, evaluating…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…
As machine learning models are increasingly considered for high-stakes domains, effective explanation methods are crucial to ensure that their prediction strategies are transparent to the user. Over the years, numerous metrics have been…