统计金融
We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM…
Instead of conducting manual factor construction based on traditional and behavioural finance analysis, academic researchers and quantitative investment managers have leveraged Genetic Programming (GP) as an automatic feature construction…
In this paper, company investment value evaluation models are established based on comprehensive company information. After data mining and extracting a set of 436 feature parameters, an optimal subset of features is obtained by dimension…
This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data. On a 2 second prediction time horizon we achieve 71\% walk-forward accuracy on the popular cryptocurrency exchange coinbase. Our…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…
We have proposed to develop a global hybrid deep learning framework to predict the daily prices in the stock market. With representation learning, we derived an embedding called Stock2Vec, which gives us insight for the relationship among…
We develop a novel temporal complex network approach to quantify the US county level spread dynamics of COVID-19. The objective is to study the effects of the local spread dynamics, COVID-19 cases and death, and Google search activities on…
Since March 25, 2020, India had been under a nation-wide lockdown announced as a response to the spread of SARS-CoV-2 and COVID-19 and has resorted to a process of 'unlocking' the lockdown over the past couple of months. This work attempts…
It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
By significant improvements in modern electrical systems, planning for unit commitment and power dispatching of them are two big concerns between the researchers. Short-term load forecasting plays a significant role in planning and…
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…
Detecting changes in asset co-movements is of much importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in historical correlations. In this article, we propose a…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-series framework. The key steps of our analysis include model…
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates. We demonstrate the instantaneous Epps effect under…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of…