Design of High-Frequency Trading Algorithm Based on Machine Learning....
Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of...
View ArticlePortfolio optimization based on forecasting models using vine copulas: An...
We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009...
View ArticleComparative Study of Two Extensions of Heston Stochastic Volatility Model....
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in...
View ArticleDissecting Ethereum Blockchain Analytics: What We Learn from Topology and...
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions...
View ArticleMining the Automotive Industry: A Network Analysis of Corporate Positioning...
The digital transformation is driving revolutionary innovations and new market entrants threaten established sectors of the economy such as the automotive industry. Following the need for monitoring...
View ArticleWhat are you searching for? On the equivalence of proxies for online investor...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Simon Behrendt, Philipp PrangeAbstractGoogle searches for stock tickers and company-specific Wikipedia...
View ArticleIntangible Factor and Idiosycratic Volatility Puzzles
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Xing LI, Keqiang HOU, Chao ZhangAbstractIn this paper, we explore whether intangible capital (IC) can help...
View ArticleA Bayesian Re-Interpretation of ”Significant” Empirical Financial...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Ralf Kellner, Daniel RöschAbstractCurrently, the use of t statistics and p-values is under scrutiny in...
View ArticleFrom bottom ten to top ten: the role of cryptocurrencies in enhancing...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Roman Matkovskyy, Akanksha Jalan, Michael Dowling, Taoufik BouraouiAbstractThis study attempts to analyze...
View ArticleBitcoin volatility, stock market and investor sentiment. Are they connected?
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): M. Ãngeles López-Cabarcos, Ada M. Pérez-Pico, Juan Piñeiro-Chousa, Aleksandar Å eviÄAbstractBitcoin is...
View ArticlePrice Dynamics of Individual Stocks: Jumps and Information
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Yuewen Xiao, Jing ZhaoAbstractThis study examines individual stocksâ price dynamics by separating...
View Articlehttps://t.co/GoSJRfB1UZ
Research: Design of High-Frequency Trading Algorithm Based on Machine Learning. (arXiv:1912.10343v1 [https://t.co/GoSJRfB1UZ]) https://t.co/KNcO3WrRUQ ââ¦
View ArticleFrom SRI to Shariah: A Bridge Not too Far
Usman Hayat, for the CFA Institute has written a provocative paper about the relationship between socially responsible investing on the one hand and Islamic finance on the other. His bottom line is...
View ArticleRelation between non-exchangeability and measures of concordance of copulas....
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker...
View ArticleLearning the dynamics of technical trading strategies. (arXiv:1903.02228v3...
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to...
View ArticleHealthy Access for Healthy Places: A Multidimensional Food Access Measure....
When it comes to preventive healthcare, place matters. It is increasingly clear that social factors, particularly reliable access to healthy food, are as determinant to health and health equity as...
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