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Jumps in high-frequency data : spurious detections, dynamics, and news
Bajgrowicz, Pierre; Scaillet, Olivier - 2011
jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …
Persistent link: https://www.econbiz.de/10009313027
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The virtue of complexity in machine learning portfolios
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2021
Contrary to conventional wisdom in nance, return prediction R2 and optimal portfolio Sharpe ratio generally increase with model parameterization, even when minimal regularization is used. We theoretically characterize the behavior of return prediction models in the high complexity regime, i.e....
Persistent link: https://www.econbiz.de/10012800453
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Principal portfolios
Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020
We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...
Persistent link: https://www.econbiz.de/10012271188
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …
Persistent link: https://www.econbiz.de/10011762219
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Complexity in Factor Pricing Models
Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - 2023
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best...
Persistent link: https://www.econbiz.de/10014254198
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The Virtue of Complexity Everywhere
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2022
We investigate the performance of non-linear return prediction models in the high complexity regime, i.e., when the number of model parameters exceeds the number of observations. We document a "virtue of complexity" in all asset classes that we study (US equities, international equities, bonds,...
Persistent link: https://www.econbiz.de/10013403787
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013017423
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013026974
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097