Through an implementation of the 2-level-approach due to Vesanto & Alhoniemi (2000), this paper addresses a number of problems typically seen when visualized interpretation of Self Organizing Maps (SOM) are applied to derive a systematic classification system in the hedge fund literature....

German Abstract: Mit der Implementierung des 2-stufigen Ansatzes nach VesantoAlhoniemi (2000) erweitert der vorliegende Artikel das in der Hedge-Fonds Literatur zur Klassifikation mit Self-Organizing Maps üblicherweise gewählte Vorgehen der visiuellen Auswertung der Kohonen-Karten und stellt...

Interest in hedge funds has grown tremendously over the past decade. As the market for hedge funds broadens, academics and practitioners are looking for new ways to examine these new financial vehicles. Currently, to uncover the factors that drive hedge fund returns, analysts either implement...

This paper implements natural language processing (NLP) models and neural networks to predict mutual fund performance using the textual information disclosed in mutual fund shareholder letters. Informed funds identified by the prediction model deliver superior abnormal returns and are more...

We use a deep learning model to extract syntax and context information from mutual fund managers' narrative discussions and measure their risk assessment. We validate the forward-looking nature of the risk measure by showing that more negative (positive) risk assessment in managers' narratives...

The aim of this paper is to observe the group dynamics of mutual fund managers during an interesting period (January 99-July 01); which includes many financial events as financial cracks, high speculation on new technologies.... We defined a strategy as the sensitivity on French stock market...

We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance,...

This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...

Introduction. The objects of investigation of this work are micro-level behaviors in stock markets. We aim at better understanding which strategies of market participants drive stock markets. The problem is that micro-level data from real stock markets are largely unobservable. We take an...

Introduction. The objects of investigation of this work are micro-level behaviors in stock markets. We aim at better understanding which strategies of market participants drive stock markets. The problem is that micro-level data from real stock markets are largely unobservable. We take an...