Fundaments of classification lie on the interdependences between the features and the labels to classify. For social parameters, this relationships are difficult to model and measure. In this paper, a way of obtaining a social indicator using sentiment analysis in Twitter is explained. With the...

AI in finance broadly refers to the applications of AI techniques in financial businesses. This area has attracted attention for decades with both classic and modern AI techniques applied to increasingly broader areas of finance, economy and society. In contrast to either discussing the...

Financial firms, and banks in particular, rely heavily on complex suites of interrelated statistical models in their risk management and business reporting infrastructures. Statistical model infrastructures are often developed using a piecemeal approach to model building, in which different...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This paper is an attempt to trace the likely implications of rice trade liberalisation by India. The study uses the linkage between domestic and international markets, in the backdrop of price formation mechanism in world rice markets. The analysis is carried out in a structural modelling...

This study attempts to discover and analyze the predictive power of stock messages, posting on financial message boards, on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Our dataset consist of 447,393...

The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on...

This paper establishes nonparametric identification of individual treatment effects in a nonseparable model with a binary endogenous regressor. The outcome variable may be continuous, discrete, or a mixture of both, while the instrumental variable can take binary values. First, we study the case...