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Risk Budget Portfolios With Convex Non-negative Matrix Factorization

Spilak, Bruno; Härdle, Wolfgang Karl - 2023

-only portfolios. As the NMF factors represent separate sources of risk, they have a quasi-diagonal correlation matrix, promoting …We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization … diversification and presents a better risk profile than hierarchical risk parity (HRP). We assess the robustness of our findings using …

Persistent link: https://www.econbiz.de/10014350054

Weak-form market efficiency and corruption : a cross-country comparative analysis

İcan, Özgür; Çelik, Taha Buğra - In: Journal of capital markets studies 7 (2023) 1, pp. 72-90

relationship between transparency and market efficiency. Design/methodology/approach - Correlation analysis has been conducted … intermediate negative correlation has been found between CPI scores and predictability levels of stock indices. Considering the …

Persistent link: https://www.econbiz.de/10014318195

Realised Volatility Forecasting : Machine Learning via Financial Word Embedding

Rahimikia, Eghbal; Zohren, Stefan; Poon, Ser-Huang - 2021

We develop FinText, a novel, state-of-the-art, financial word embedding from Dow Jones Newswires Text News Feed Database. Incorporating this word embedding in a machine learning model produces a substantial increase in volatility forecasting performance on days with volatility jumps for 23...

Persistent link: https://www.econbiz.de/10013217713

Machine Learning for Realised Volatility Forecasting

Rahimikia, Eghbal; Poon, Ser-Huang - 2021

This paper examines, for the first time, the performance of machine learning models in realised volatility forecasting using big data sets such as LOBSTER limit order books and news stories from Dow Jones News Wires for 28 NASDAQ stocks over a sample period of July 27, 2007, to November 18,...

Persistent link: https://www.econbiz.de/10013222880

How and When are High-Frequency Stock Returns Predictable?

Ait-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013290620

A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing

Mehtab, Sidra; Sen, Jaydip - 2020

Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy...

Persistent link: https://www.econbiz.de/10014094821

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

Persistent link: https://www.econbiz.de/10013362020

Forecasting realized volatility in turbulent times using temporal fusion transformers

Frank, Johannes - 2023

This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on...

Persistent link: https://www.econbiz.de/10013552533

Network-Based Measures As Leading Indicators of Market Instability : The Case of the Spanish Stock Market

Peralta, Gustavo - 2019

This paper studies the undirected partial-correlation stock network for the Spanish market that considers the …

Persistent link: https://www.econbiz.de/10012868892

Network-Based Measures as Leading Indicators of Market Instability : The Case of the Spanish Stock Market

Peralta, Gustavo - 2016

This paper studies the undirected partial-correlation stock network for the Spanish market that considers the …

Persistent link: https://www.econbiz.de/10013005124