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Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

Persistent link: https://www.econbiz.de/10015260519

Ex-ante Valuation based on Prospect Theory

Fang, Yi; Niu, Hui; Lin, Yuen - 2023

We propose a simple algorithm for the ex-ante valuation based on prospect theory. Our results reveal a strong and … robust pricing effect associated with predicted values based on prospect theory (PV) in the US market, that is, higher ex …

Persistent link: https://www.econbiz.de/10015269514

Forecasting stock market returns over multiple time horizons

Kroujiline, Dimitri; Gusev, Maxim; Ushanov, Dmitry; … - 2015

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we further develop the news-driven analytic model of the stock market derived in Gusev et al. (2015). This enables us to capture market dynamics at...

Persistent link: https://www.econbiz.de/10015248711

Forecasting stock market returns over multiple time horizons

Kroujiline, Dimitri; Gusev, Maxim; Ushanov, Dmitry; … - 2015

Persistent link: https://www.econbiz.de/10015251317

Forecasting stock market returns over multiple time horizons

Kroujiline, Dimitri; Gusev, Maxim; Ushanov, Dmitry; … - 2015

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news‐driven, analytic, agent‐based market model developed in Gusev et al....

Persistent link: https://www.econbiz.de/10015251318

Forecasting stock market returns over multiple time horizons

Kroujiline, Dimitri; Gusev, Maxim; Ushanov, Dmitry; … - 2015

Persistent link: https://www.econbiz.de/10015251439

Can central bankers’ talk predict bank stock returns? A machine learning approach

Katsafados, Apostolos G.; Leledakis, George N.; … - 2024

We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS...

Persistent link: https://www.econbiz.de/10015214576

Financial crisis in The Arcades Project of Walter Benjamin

Estrada, Fernando - 2014

The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems...

Persistent link: https://www.econbiz.de/10015244097

Rescate y costos del riesgo financiero

Estrada, Fernando - 2014

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

Persistent link: https://www.econbiz.de/10015244293

Modern currency exchange rate behaviour and proposed trend-like forecasting model

Tweneboah Senzu, Emmanuel - 2020

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the dataset of the unit currency exchange rate exhibits...

Persistent link: https://www.econbiz.de/10015257976