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Portfolio decisions and brain reactions via the CEAD method
Majer, Piotr; Mohr, Peter; Heekeren, Hauke R.; Härdle, … - 2014
Decision making can be a complex process requiring the integration of several attributes of choice options … functional magnetic resonance imaging (fMRI) data from an investment decision (ID) study for ID-related effects. We propose a new … technique for identifying activated brain regions: Cluster, Estimation, Activation and Decision (CEAD) method. Our analysis is …
Persistent link: https://www.econbiz.de/10010379977
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Data science & digital society
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2017
Data Science looks at raw numbers and informational objects created by different disciplines. The Digital Society creates information and numbers from many scientiHic disciplines. The amassment of data though makes is hard to Hind structures and requires a skill full analysis of this massive raw...
Persistent link: https://www.econbiz.de/10011657287
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From animal baits to investors' preference : estimating and demixing of the weight function in semiparametric models for biased samples
Ritov, Ya'acov (contributor); Härdle, Wolfgang (contributor) - 2007
We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10003633700
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Statistics of risk aversion
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007
Persistent link: https://www.econbiz.de/10003633711
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Testing monotonicity of pricing Kernels
Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...
Persistent link: https://www.econbiz.de/10003635940
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
so-called decision trees and applying them to XETRA DAX stocks. Using a set of fundamental and technical variables … ; decision trees in finance ; nonlinear decision rules ; asset management portfolio optimisation …
Persistent link: https://www.econbiz.de/10003636039
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Shape invariant modelling pricing kernels and risk aversion
Grith, Maria; Härdle, Wolfgang; Park, Juhyun - 2009
Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...
Persistent link: https://www.econbiz.de/10003871796
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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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Reference dependent preferences and the EPK puzzle
Grith, Maria; Härdle, Wolfgang; Krätschmer, Volker - 2013
Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...
Persistent link: https://www.econbiz.de/10009738233
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A microeconomic explanation of the EPK paradox
Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan - 2009
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10003814462