相关论文: Can Google Trends search queries contribute to ris…
Development of efficient business process models and determination of their characteristic properties are subject of intense interdisciplinary research. Here, we consider a business process model as a directed graph. Its nodes correspond to…
The internet has changed the way we live, work and take decisions. As it is the major modern resource for research, detailed data on internet usage exhibits vast amounts of behavioral information. This paper aims to answer the question…
In recent years, the use of databases that analyze trends, sentiments or news to make economic projections or create indicators has gained significant popularity, particularly with the Google Trends platform. This article explores the…
We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the…
Among other macroeconomic indicators, the monthly release of U.S. unemployment rate figures in the Employment Situation report by the U.S. Bureau of Labour Statistics gets a lot of media attention and strongly affects the stock markets. I…
In Web retrieval, there are many cases of competition between authors of Web documents: their incentive is to have their documents highly ranked for queries of interest. As such, the Web is a prominent example of a competitive search…
Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing the detrended cluster entropy approach to estimate the…
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…
Inspired by correlations recently discovered between Google search data and financial markets, we show correlations between Google search data mortality rates. Words with negative connotations may provide for increased mortality rates,…
Pairs trading, a strategy that capitalizes on price movements of asset pairs driven by similar factors, has gained significant popularity among traders. Common practice involves selecting highly cointegrated pairs to form a portfolio, which…
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting…
This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…
Profiling users for the purpose of targeted advertisements or other kinds of personalization is very popular on the internet. But besides the benefits of individually tailored news feeds and shopping recommendation research has shown that…
One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which…
Financial portfolio management describes the task of distributing funds and conducting trading operations on a set of financial assets, such as stocks, index funds, foreign exchange or cryptocurrencies, aiming to maximize the profit while…
For both investors and policymakers, forecasting the stock market is essential as it serves as an indicator of economic well-being. To this end, we harness the power of social media data, a rich source of public sentiment, to enhance the…
Stock trend forecasting, which forecasts stock prices' future trends, plays an essential role in investment. The stocks in a market can share information so that their stock prices are highly correlated. Several methods were recently…
Financial market prediction on the basis of online sentiment tracking has drawn a lot of attention recently. However, most results in this emerging domain rely on a unique, particular combination of data sets and sentiment tracking tools.…
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in…
Portfolio underdiversification is one of the most costly losses accumulated over a household's life cycle. We provide new evidence on the impact of financial inclusion services on households' portfolio choice and investment efficiency using…