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Distillation of news flow into analysis of stock reactions
Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - 2015
News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...
Persistent link: https://www.econbiz.de/10010471736
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...
Persistent link: https://www.econbiz.de/10003636113
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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Tests of financial market contagion : evolutionary cospectral analysis v.s. wavelet analysis
Ftiti, Zied; Tiwari, Aviral Kumar; Belanès, Amél; … - 2014
Persistent link: https://www.econbiz.de/10010430696
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Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? : evidence from transfer entropy
Tiwari, Aviral Kumar; Jena, Sangram Keshari; Abakah, … - In: Applied economics 56 (2024) 2, pp. 186-201
Persistent link: https://www.econbiz.de/10014439885
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …. -- Limit order book ; liquidity risk ; semiparametric model ; factor structure ; prediction …
Persistent link: https://www.econbiz.de/10003881566
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …. -- Limit Order Book ; Liquidity Risk ; Semiparametric Model ; Factor Structure ; Prediction …
Persistent link: https://www.econbiz.de/10003887437
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional … the joint evolution of the liquidity demand and supply curves. In the VFAR framework, we derive a closed-form maximum … in liquidity curves, with R2 values as high as 98.5 percent for insample estimation and 98.2 percent in out …
Persistent link: https://www.econbiz.de/10011518802
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658