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Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas : Part A

Dalessandro, Antonio - 2020

We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function to a generalized Gaussian copula function. This...

Persistent link: https://www.econbiz.de/10012855323

Predicting stock returns : the information content of predictors across horizons

Deng, Kaihua; Kim, Chang-jin - In: Annals of financial economics 10 (2015) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011408566

Stock prices prediction via tensor decomposition and links forecast

Spelta, Alessandro - 2016

Many complex systems display fluctuations between alternative states in correspondence to tipping points. These critical shifts are usually associated with generic empirical phenomena such as strengthening correlations between entities composing the system. In finance, for instance, market...

Persistent link: https://www.econbiz.de/10011775882

The stock-bond correlation

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2020 - This version: April 27, 2020

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

Persistent link: https://www.econbiz.de/10012225162

Mid-Price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators

Ntakaris, Adamantios; Kanniainen, Juho; Gabbouj, Moncef; … - 2018

Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative analysis and tested their validity on short-term mid-price...

Persistent link: https://www.econbiz.de/10014112633

Do survey indicators let us see the business cycle? : a frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011610229