Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

no code implementations • 27 Sep 2023 • Nabil Bouamara, Kris Boudt, Sébastien Laurent, Christopher J. Neely

Stock prices often react sluggishly to news, producing gradual jumps and jump delays.

Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications

no code implementations • 23 Mar 2023 • Nabil Bouamara, Sébastien Laurent, Shuping Shi

We introduce a simple tool to control for false discoveries and identify individual signals in scenarios involving many tests, dependent test statistics, and potentially sparse signals.

GAM(L)A: An econometric model for interpretable Machine Learning

no code implementations • 17 Mar 2022 • Emmanuel Flachaire, Gilles Hacheme, Sullivan Hué, Sébastien Laurent

Moreover, the results also suggest that the performance of GAM(L)A is not significantly different from that of random forest and gradient boosting.

BIG-bench Machine Learning Interpretable Machine Learning +1