Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors
Ioannis Chalkiadakis, Gareth W. Peters, Matthew Ames
| Year of publication: |
2023
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| Authors: | Chalkiadakis, Ioannis ; Peters, Gareth ; Ames, Matthew |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 5.2023, 2, p. 295-365
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| Subject: | Econometrics | Gegenbauer long memory | Mixed-data sampling time-series regression (MIDAS) | Multi-scale resolution data | Natural language processing (NLP) | Text sentiment NLP time-series modelling | Time-series | Transformer deep neural network | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Regressionsanalyse | Regression analysis | Neuronale Netze | Neural networks | Ökonometrie |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-023-00079-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014369259