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Lu, Meng-Jou; Horváth, Matúš; Wang, Xingjia; … - 2023

Digital assets (DAs) are a unique asset class that presents investors with opportunities and risksthat are contingent upon their particular characteristics such as volatility, type, and profile, among other factors. Among DAs, cryptocurrencies (CCs) have emerged as the most liquid asset class,...

Persistent link: https://www.econbiz.de/10014355054

Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications

Agakishiev, Ilyas; Härdle, Wolfgang; Kozmik, Karel; … - 2023

A recently introduced approach is extended to probabilistic electricity price forecasting (EPF) utilizing distributional artificial neural networks, based on a regularized distributional multilayer perceptron (DMLP). We develop this technique for a multivariate case EPF with incorporated...

Persistent link: https://www.econbiz.de/10014345888

Hedging cryptos with Bitcoin futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...

Persistent link: https://www.econbiz.de/10012797474

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Hedging Cryptos with Bitcoin Futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2022

Book / Working Paper

Pricing Kernels and Risk Premia implied in Bitcoin Options

Winkel, Julian; Härdle, Wolfgang - 2022

Bitcoin Pricing Kernels (PK) are estimated using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. The PKs improve the understanding of investor sentiment and risk premia. Bootstrap-based confidence bands are estimated in order to validate the results. Investors...

Persistent link: https://www.econbiz.de/10014235978

Shapley Curves : A Smoothing Perspective

Miftachov, Ratmir; Keilbar, Georg; Härdle, Wolfgang - 2022

Originating from cooperative game theory, Shapley values have become one of the most widely used measures for variable importance in applied Machine Learning. However, the statistical understanding of Shapley values is still limited. In this paper, we take a nonparametric (or smoothing)...

Persistent link: https://www.econbiz.de/10014237071