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Chapter 24 Agent-based Computational Finance
LeBaron, Blake - In: Handbook of computational economics : volume 2, …, (pp. 1187-1233). 2006
This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.
Persistent link: https://www.econbiz.de/10014024381
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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
Persistent link: https://www.econbiz.de/10011507027
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Exchange rate predictability, common factors, and applications in carry trade
Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530
Persistent link: https://www.econbiz.de/10012515315
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Exchange rate forecasting and the performance of currency portfolios
Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2017
We examine the potential gains of using exchange rate forecast models and forecast com- bination methods in the management of currency portfolios for three exchange rates, the euro (EUR) versus the US dollar (USD), the British pound (GBP) and the Japanese yen (JPY). We use a battery of...
Persistent link: https://www.econbiz.de/10011581847
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Chapter 13. Forecasting Exchange Rates: an Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10014025235
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How to gauge investor behavior? : a comparison of online investor sentiment measures
Ballinari, Daniele; Behrendt, Simon - In: Digital finance : smart data analytics, investment … 3 (2021) 2, pp. 169-204
Persistent link: https://www.econbiz.de/10012615283
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Can social media marketing lead to abnormal portfolio returns?
Bank, Semra; Yazar, Evrim Erdogan; Sivri, Ugur - In: European research on management and business economics 25 (2019) 2, pp. 54-62
This study tests the impact of usage of Twitter as a microblogging service provider on shareholders' returns and … Twitter account and, if so, their number of followers and tweets and the increase in the number of followers. The returns from … these portfolios indicate that better Twitter performance according to these metrics does not provide any significant …
Persistent link: https://www.econbiz.de/10012016588
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Application of machine learning in quantitative investment strategies on global stock markets
Grudniewicz, Jan; Ślepaczuk, Robert - 2021
Persistent link: https://www.econbiz.de/10012816704
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Neural networks and value at risk
Arimond, Alexander; Borth, Damian S.; Hoepner, Andreas G. F. - 2020
Persistent link: https://www.econbiz.de/10012418364
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Estimation of the ex ante distribution of returns for a portfolio of U.S. treasury securities via deep learning
Foresti, Andrea - 2019
This paper presents different deep neural network architectures designed to forecast the distribution of returns on a portfolio of U.S. Treasury securities. A long short-term memory model and a convolutional neural network are tested as the main building blocks of each architecture. The models...
Persistent link: https://www.econbiz.de/10012008287