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Found 34 papers, 7 papers with code
Emoji Driven Crypto Assets Market Reactions
In the burgeoning realm of cryptocurrency, social media platforms like Twitter have become pivotal in influencing market trends and investor sentiments.
Forecasting Cryptocurrency Prices Using Deep Learning: Integrating Financial, Blockchain, and Text Data
Our findings reveal that incorporating NLP data significantly enhances the forecasting performance of our models.
Robustifying Markowitz
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice.
Shapley Curves: A Smoothing Perspective
This paper fills the limited statistical understanding of Shapley values as a variable importance measure from a nonparametric (or smoothing) perspective.
A Data-driven Case-based Reasoning in Bankruptcy Prediction
In addition, we delicately examine the explainability of the CBR system in the decision-making process of bankruptcy prediction.
Risk budget portfolios with convex Non-negative Matrix Factorization
We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF).
Hedging Cryptocurrency Options
We study the hedge behaviour and effectiveness for the class of affine jump diffusion models and infinite activity Levy processes.
Understanding jumps in high frequency digital asset markets
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives.
Cooling Measures and Housing Wealth: Evidence from Singapore
Excessive house price growth was at the heart of the financial crisis in 2007/08.
A Time-Varying Network for Cryptocurrencies
To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities.
Networks of News and Cross-Sectional Returns
We uncover networks from news articles to study cross-sectional stock returns.
Cryptocurrency Dynamics: Rodeo or Ascot?
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates.
K-expectiles clustering
compared to other center based clustering methods, the adaptive $\tau$ cluster centers of pixel data can better capture and describe the features of an image.
Understanding Smart Contracts: Hype or Hope?
Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment.
FRM Financial Risk Meter for Emerging Markets
The FRM-EM is applied to capture systemic risk behavior embedded in the returns of the 25 largest EMs FIs, covering the BRIMST (Brazil, Russia, India, Mexico, South Africa, and Turkey), and thereby reflects the financial linkages between these economies.
Surrogate Models for Optimization of Dynamical Systems
Driven by increased complexity of dynamical systems, the solution of system of differential equations through numerical simulation in optimization problems has become computationally expensive.
Tail-risk protection: Machine Learning meets modern Econometrics
Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived.
An AI approach to measuring financial risk
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy.
lCARE -- localizing Conditional AutoRegressive Expectiles
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model.
A first econometric analysis of the CRIX family
Here we provide a first econometric analysis of the CRIX family within a time-series framework.
Copula-Based Factor Model for Credit Risk Analysis
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties.
A Machine Learning Based Regulatory Risk Index for Cryptocurrencies
The movements for both the VCRIX, a market volatility index, and the CRRIX are synchronous, meaning that the CRRIX could be helpful for all participants in the cryptocurrency market.
A note on the impact of news on US household inflation expectations
Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations.
Pricing Cryptocurrency Options
We show how the proposed pricing mechanism underlines the importance of jumps in cryptocurrency markets.
Distillation of News Flow into Analysis of Stock Reactions
We find there is significant incremental information in the distilled news flow and the sentiment effect is characterized as an asymmetric, attention-specific and sector-specific response of stock reactions.
CRIX an index for cryptocurrencies
A method relying on the AIC is proposed to quickly react to market changes and therefore enable us to create an index, referred to as CRIX, for the cryptocurrency market.
Implied Basket Correlation Dynamics
The IC surface (ICS) is then approximated from the implied volatilities of stocks and the implied volatility of the basket.
Regularization Approach for Network Modeling of German Power Derivative Market
The network analysis of the full German power derivative market helps us to complement a full picture of system risk, and have a better understanding of the German power market functioning and environment.
Model-driven statistical arbitrage on LETF option markets
Extensive econometric analysis of LETF implied volatility process is performed including out-of-sample forecasting based on a semiparametric factor model and uniform confidence bands' study.
Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
The SVR-GARCH-KDE hybrid is compared to standard, exponential and threshold GARCH models coupled with different error distributions.
Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market.
Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies
Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk management.
Editorial: Understanding Cryptocurrencies
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction.
Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years.
