The aim of this project is to forecast futures spreads of WTI Crude Oil. The motivation for this project springs from the fact that trading with calendar futures spreads is much more advantageous than trading with many other financial instruments. We make use of the fact that futures prices...

The field of natural language processing (NLP) has evolved significantly in recent years. In this chapter we consider two leading and well-established methodologies, namely, those due to Loughran McDonald, and FinBERT. We then contrast our approach to these two approaches and compare our...

In Decision Modelling And Information Systems: The Information Value Chain the authors explain the interrelationships between the decision support, decision modelling, and information systems. The first two parts of the book focus on the interdisciplinary decision support framework, in which...

chapter Introduction to Quantitative Fund Management -- chapter 1 Trends in Quantitative Equity Management -- chapter 2 Portfolio Optimization under the Value-at-Risk Constraint -- chapter 3 Dynamic Consumption and Asset Allocation with Derivative Securities -- chapter 4 Volatility-Induced...

The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective...