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Deep learning for asset bubbles detection

Bashchenko, Oksana; Marchal, Alexis - 2020

We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales …

Persistent link: https://www.econbiz.de/10012181227

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012585546

Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

Rachedi, Omar - 2017

Can households' inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and...

Persistent link: https://www.econbiz.de/10012965402

Trading Strategies for Stock Pairs Regarding to the Cross-Impact Cost

Wang, Shanshan - 2017

We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the ratio of their trading periods. By minimizing the...

Persistent link: https://www.econbiz.de/10012965690

Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton - 2017

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10012966264

Investor Sentiment, Profitable Trading Strategies, and Short Sale Constraints

Bulsiewicz, James - 2015

I investigate whether the relation between investor sentiment and profitable trading strategies is due to short sale constraints. I find that the average security in these strategies is not hard-to-short. Furthermore, the short leg does not appear to be harder to short or more overvalued than...

Persistent link: https://www.econbiz.de/10013026746

Portfolio Dynamics and Expected Returns Under Illiquidity

Buchner, Axel - 2015

Using a novel continuous-time framework, this paper explores the effects of illiquidity on portfolio dynamics and expected returns. In summary, the paper makes three key contributions to the existing literature on asset pricing and illiquidity. First, it illustrates that illiquidity leads to...

Persistent link: https://www.econbiz.de/10013030411

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055