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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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Bayesian learning in financial markets : testing for the relevance of information precision in price discovery
Hautsch, Nikolaus; Hess, Dieter - 2004
price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption … detail information besides the widely used headline figures, we extract release-specific precision measures which allow to … test for the claim of Bayesian updating. We find that the price impact of more precise information is significantly …
Persistent link: https://www.econbiz.de/10009524822
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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
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
takers. During bursts, market makers no longer passively impound information from order flow into quotes-a departure from the …
Persistent link: https://www.econbiz.de/10011516027
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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2016 - This version: July 2016
We build a simple diagnostic criterion for approximate factor structure in large panel datasets. Given observable factors, the criterion checks whether the errors are weakly cross-sectionally correlated or share at least one unobservable common factor (interactive effects). A general version...
Persistent link: https://www.econbiz.de/10011518993
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010388611