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A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
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The mathematics of financial modeling and investment management
Focardi, Sergio M.; Fabozzi, Frank J. - 2004
Persistent link: https://www.econbiz.de/10001788054
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A review of no arbitrage interest rate models
Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002
Persistent link: https://www.econbiz.de/10001734140
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Incorporating Financial News for Forecasting Bitcoin Prices Based on Long Short-Term Memory Networks
Jakubik, Johannes; Nazemi, Abdolreza; Geyer-Schulz, Andreas - 2021
In this paper we investigate how a deep learning machine learning model can be applied to improve Bitcoin price forecasting and trading by incorporating unstructured information from financial news. The two-stage model we propose outperforms other machine learning models significantly. In the...
Persistent link: https://www.econbiz.de/10013234232
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Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes
Akyildirim, Erdinc - 2019
We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …
Persistent link: https://www.econbiz.de/10012865818
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Analysis of the intraday effects of economic releases on the currency market
Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; … - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10009642597
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Analysis of the intraday effects of economic releases on the currency market
Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10010301730
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Size, value, and momentum in emerging market stock returns
Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging Markets Review 16 (2013) C, pp. 46-65
In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...
Persistent link: https://www.econbiz.de/10010682547
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10008654275
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Investment Management : A Science to Teach or an Art to Learn
Fabozzi, Frank J. - 2015
Following the 2007-09 financial crisis, mainstream finance theory was criticized for failing to forecast the market … crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does … not take reality into account, failed investors? Do we need to reconsider the theory and how it is taught (and practiced …
Persistent link: https://www.econbiz.de/10013027354