We gratefully acknowledge support from
the Simons Foundation and member institutions.

Statistical Finance

Authors and titles for recent submissions

[ total of 12 entries: 1-12 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 26 Apr 2024

[1]  arXiv:2404.16449 (cross-list from q-fin.CP) [pdf, other]
Title: Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
Authors: Beier Liu, Haiyun Zhu
Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)
[2]  arXiv:2404.16169 (cross-list from cs.CE) [pdf, other]
Title: Interpretable Machine Learning Models for Predicting the Next Targets of Activist Funds
Authors: Minwu Kim
Comments: 15 pages
Subjects: Computational Engineering, Finance, and Science (cs.CE); Statistical Finance (q-fin.ST)

Thu, 25 Apr 2024

[3]  arXiv:2404.15495 [pdf, other]
Title: Correlations versus noise in the NFT market
Authors: Marcin Wątorek, Paweł Szydło, Jarosław Kwapień, Stanisław Drożdż
Subjects: Statistical Finance (q-fin.ST); Computational Engineering, Finance, and Science (cs.CE); Econometrics (econ.EM); Data Analysis, Statistics and Probability (physics.data-an); Applications (stat.AP)
[4]  arXiv:2404.15478 (cross-list from q-fin.TR) [pdf, other]
Title: Algorithmic Market Making in Spot Precious Metals
Authors: Alexander Barzykin, Philippe Bergault, Olivier Guéant
Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

Tue, 23 Apr 2024

[5]  arXiv:2404.14136 [pdf, ps, other]
Title: Elicitability and identifiability of tail risk measures
Authors: Tobias Fissler, Fangda Liu, Ruodu Wang, Linxiao Wei
Comments: 31 pages
Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST); Risk Management (q-fin.RM); Methodology (stat.ME)

Fri, 12 Apr 2024

[6]  arXiv:2404.07969 [pdf, ps, other]
Title: An End-to-End Structure with Novel Position Mechanism and Improved EMD for Stock Forecasting
Authors: Chufeng Li, Jianyong Chen
Comments: ICONIP 2023
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[7]  arXiv:2404.07298 [pdf, other]
Title: Predicting Mergers and Acquisitions: Temporal Dynamic Industry Networks
Authors: Dayu Yang
Comments: Data Processing Code: this https URL Modeling Code: this https URL
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG); Social and Information Networks (cs.SI); General Finance (q-fin.GN)
[8]  arXiv:2404.07225 [pdf, ps, other]
Title: Unveiling the Impact of Macroeconomic Policies: A Double Machine Learning Approach to Analyzing Interest Rate Effects on Financial Markets
Authors: Anoop Kumar, Suresh Dodda, Navin Kamuni, Rajeev Kumar Arora
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[9]  arXiv:2404.07224 [pdf, other]
Title: Detection of financial opportunities in micro-blogging data with a stacked classification system
Authors: Francisco de Arriba-Pérez, Silvia García-Méndez, José A. Regueiro-Janeiro, Francisco J. González-Castaño
Subjects: Statistical Finance (q-fin.ST); Computational Engineering, Finance, and Science (cs.CE); Information Retrieval (cs.IR); Machine Learning (cs.LG); Social and Information Networks (cs.SI)
[10]  arXiv:2404.07223 [pdf, other]
Title: Stock Recommendations for Individual Investors: A Temporal Graph Network Approach with Diversification-Enhancing Contrastive Learning
Authors: Youngbin Lee, Yejin Kim, Yongjae Lee
Comments: Presented at the ICAIF 2023 Workshop on Machine Learning for Investor Modelling and Recommender Systems (this https URL)
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[11]  arXiv:2404.07222 [pdf, ps, other]
Title: Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
Authors: Qi Deng, Zhong-guo Zhou
Comments: 36 pages all inclusive
Subjects: Statistical Finance (q-fin.ST); Econometrics (econ.EM); General Finance (q-fin.GN)

Thu, 11 Apr 2024

[12]  arXiv:2404.07179 (cross-list from physics.soc-ph) [pdf, other]
Title: Machine learning-based similarity measure to forecast M&A from patent data
Authors: Giambattista Albora, Matteo Straccamore, Andrea Zaccaria
Subjects: Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST)
[ total of 12 entries: 1-12 ]
[ showing up to 25 entries per page: fewer | more ]

Disable MathJax (What is MathJax?)

Links to: arXiv, form interface, find, q-fin, new, 2404, contact, help  (Access key information)