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...

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...

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...

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,...

This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...

This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein-Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from1998 to 2015. Our model provides optimal entry and exit signals by maximizing the expected return expressed in terms of...

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....