Dissecting Ethereum Blockchain Analytics: What We Learn from Topology and...
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions...
View ArticleMining the Automotive Industry: A Network Analysis of Corporate Positioning...
The digital transformation is driving revolutionary innovations and new market entrants threaten established sectors of the economy such as the automotive industry. Following the need for monitoring...
View ArticleWhat are you searching for? On the equivalence of proxies for online investor...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Simon Behrendt, Philipp PrangeAbstractGoogle searches for stock tickers and company-specific Wikipedia...
View ArticleIntangible Factor and Idiosycratic Volatility Puzzles
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Xing LI, Keqiang HOU, Chao ZhangAbstractIn this paper, we explore whether intangible capital (IC) can help...
View ArticleA Bayesian Re-Interpretation of ”Significant” Empirical Financial...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Ralf Kellner, Daniel RöschAbstractCurrently, the use of t statistics and p-values is under scrutiny in...
View ArticleRelation between non-exchangeability and measures of concordance of copulas....
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker...
View ArticleLearning the dynamics of technical trading strategies. (arXiv:1903.02228v3...
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to...
View ArticleHealthy Access for Healthy Places: A Multidimensional Food Access Measure....
When it comes to preventive healthcare, place matters. It is increasingly clear that social factors, particularly reliable access to healthy food, are as determinant to health and health equity as...
View ArticleQuantifying the Effects of the 2008 Recession using the Zillow Dataset....
This report explores the use of Zillow's housing metrics dataset to investigate the effects of the 2008 US subprime mortgage crisis on various US locales. We begin by exploring the causes of the...
View ArticlePredicting one type of technological motion? A nonlinear map to study the...
In this work we use a proven model to study a dynamic duopolistic competition between an old and a new technology which, through improved technical performance - e.g. data transmission capacity - fight...
View ArticleThe Dynamics of Financial Markets: Fibonacci numbers, Elliott waves, and...
In this paper information theoretical approach is applied to the description of financial markets. A model which is expected to describe the markets dynamics is presented. It is shown the possibility...
View ArticleOnline Quantification of Input Model Uncertainty by Two-Layer Importance...
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model,...
View ArticleA Gated Recurrent Unit Approach to Bitcoin Price Prediction....
In today's era of big data, deep learning and artificial intelligence have formed the backbone for cryptocurrency portfolio optimization. Researchers have investigated various state of the art machine...
View ArticlePricing and hedging American-style options with deep learning....
This paper describes a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price....
View ArticleForecasting Implied Volatility Smile Surface via Deep Learning and Attention...
The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is...
View ArticleReal options games between two competitors: the case of price war
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 92-110, January 2020.
View ArticleEvidence for the globalisation types model integrating different trade theories
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 70-91, January 2020.
View ArticleAn analysis of long-run relationship between ICT sectors and economic growth:...
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 48-69, January 2020.
View ArticleOvervaluation in a non-optimal currency area
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 33-47, January 2020.
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