A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, using copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a 12 month formation...

Over the past 15 years,there have been a number of studies using text mining for predicting stock market data. Two recent publications employed support vector machines and second-order Factorization Machines, respectively, to this end. However, these approaches either completely neglect...

This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein-Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from1998 to 2015. Our model provides optimal entry and exit signals by maximizing the expected return expressed in terms of...

This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data of the S&P 500 constituents from January 2014 to December 2015. The established trading framework predicts future financial markets using Factorization Machines, which...

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...