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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

Pairs trading with a mean-reverting jump-diffusion model on high-frequency data

Stübinger, Johannes; Endres, Sylvia - 2017

This paper develops a pairs trading framework based on a mean-reverting jump-diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially,...

Persistent link: https://www.econbiz.de/10011644776

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

Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2018

This paper provides a review of some connecting literature in Decision Sciences, Economics, Finance, Business …, they could then conduct simulations to examine whether the estimators or statistics in the new theories on estimation and …

Persistent link: https://www.econbiz.de/10011819539

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

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

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

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

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

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