Over the past 15 years,there have been a number of studies using text mining for predicting stock market data. Two recent publications employed support vector machines and second-order Factorization Machines, respectively, to this end. However, these approaches either completely neglect...

This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data of the S&P 500 constituents from January 2014 to December 2015. The established trading framework predicts future financial markets using Factorization Machines, which...

Keynes (1911) derived general forms of probability density functions for which the "most probable value" is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

Most software reliability growth models specify the expected number of failures experienced as a function of testing effort or calendar time. However, there are approaches to model the development of intermediate factors driving failure occurrences. This paper starts out with presenting a model...

A number of recent studies have reported the phenomenon of “software aging”, characterized by progressive performance degradation and/or an increased occurrence rate of hang/crash failures of a software system due to the exhaustion of operating system resources or the accumulation of errors....

Many software reliability growth models assume that the time to next failure may be infinite; i.e., there is a chance that no failure will occur at all. For most software products this is too good to be true even after the testing phase. Moreover, if a non-zero probability is assigned to an...

Für die Käufer von Sammelbildern stellt sich häufig die Frage, wie viele Käufe sie tätigen müssen, um eine bestimmte Anzahl von Bildern, die zu Gruppen in Tüten verpackt sind, zu erhalten. Zur Lösung dieser und ähnlicher Fragen untersuchen wir Verallgemeinerungen des Belegungsproblems...

We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, using copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a 12 month formation...

We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant returns of 9.25 percent p.a. and...

This paper develops a pairs trading framework based on a mean-reverting jump-diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially,...