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Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations
Chang, Chia-Lin; McAleer, Michael - 2014
The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely … journals in the ISI category of "Business - Finance" using quantifiable Research Assessment Measures (RAMs). The analysis … the 89 ISI journals in Finance makes it clear that there are three leading journals in Finance, namely Journal of Finance …
Persistent link: https://www.econbiz.de/10010377232
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Exploiting social media with higher-order Factorization Machines: Statistical arbitrage on high-frequency data of the S&P 500
Knoll, Julian; Stübinger, Johannes; Grottke, Michael - 2017
Over the past 15 years,there have been a number of studies using text mining for predicting stock market data. Two recent publications employed support vector machines and second-order Factorization Machines, respectively, to this end. However, these approaches either completely neglect...
Persistent link: https://www.econbiz.de/10011662951
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Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data
Stübinger, Johannes; Walter, Dominik; Knoll, Julian - 2017
This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data of the S&P 500 constituents from January 2014 to December 2015. The established trading framework predicts future financial markets using Factorization Machines, which...
Persistent link: https://www.econbiz.de/10011746521
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Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500
Stübinger, Johannes - 2018
A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....
Persistent link: https://www.econbiz.de/10011784949
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Big data, computational science, economics, finance, marketing, management, and psychology: Connections
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-29
The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance …
Persistent link: https://www.econbiz.de/10012611003
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Review papers for journal of risk and financial management (JRFM)
McAleer, Michael - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-18
, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and …
Persistent link: https://www.econbiz.de/10012611387
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Management Science, Economics and Finance: A Connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing-Keung - 2016
This paper provides a brief review of the connecting literature in management science, economics and finance, and …
Persistent link: https://www.econbiz.de/10011526117
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Statistical arbitrage with vine copulas
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016
We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant returns of 9.25 percent p.a. and...
Persistent link: https://www.econbiz.de/10011557422
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Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely … journals in the ISI category of “Business – Finance” using quantifiable Research Assessment Measures (RAMs). The analysis … the 89 ISI journals in Finance makes it clear that there are three leading journals in Finance, namely Journal of Finance …
Persistent link: https://www.econbiz.de/10011257606
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Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations
Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely … journals in the ISI category of “Business – Finance” using quantifiable Research Assessment Measures (RAMs). The analysis … the 89 ISI journals in Finance makes it clear that there are three leading journals in Finance, namely Journal of Finance …
Persistent link: https://www.econbiz.de/10010862561