If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability...

We empirically explore the role of investor disagreement and news for various types of stock jumps, where the dynamic of stock returns is captured by a contagion model. Our disagreement measure is derived from more than 173 million tweets from a social media investing platform, StockTwits, for...

To facilitate crossing from the "black box" to "glass box" in the application of neural net- works, we extend Horel and Giesecke (2020) and develop a variable/feature significant test for multi-layer perceptrons (MLP). The proposed test permits one to assess the statistical significance of the...

We empirically study sources of abnormal changes, henceforth jumps, simultaneously in investor beliefs and asset prices using 164 million tweets from a social media investing platform, StockTwits. Before the COVID-19 pandemic, we find that on average 4.88% (7.88%) jumps in asset prices (investor...

Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from...