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Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton - 2008

crucial factor in forecasting performance of the trees. While there exists a standard method of tree pruning, which is based … introduces a novel methodology of nonsymmetric tree pruning called Best Node Strategy (BNS). An important property of BNS is … traditional pruning approach by composing two recursive portfolios out of XETRA DAX stocks. Performance forecasts for each of the …

Persistent link: https://www.econbiz.de/10010263732

Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations

Lan, Hong; Meyer-Gohde, Alexander - 2013

provide rigorous support for the practice of pruning that is becoming widespread. Our recursive representation differs from … state consistent with the order of approximation. We compare our algorithm with six different pruning algorithms at second …

Persistent link: https://www.econbiz.de/10010318747

Recursive portfolio selection with decision trees

Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10010274142

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10010271837

Composite quantile regression for the single-index model

Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - 2013

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...

Persistent link: https://www.econbiz.de/10010330967

CRIX or evaluating blockchain based currencies

Trimborn, Simon; Härdle, Wolfgang Karl - 2016

The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...

Persistent link: https://www.econbiz.de/10011531897

A first econometric analysis of the CRIX family

Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; … - 2016

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...

Persistent link: https://www.econbiz.de/10011580429

The cross-section of crypto-currencies as financial assets: An overview

Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, … - 2016

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information...

Persistent link: https://www.econbiz.de/10011580436