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Machine learning for financial forecasting, planning and analysis: recent developments and pitfalls 用于财务预测、规划和分析的机器学习：最新发展和陷阱
Digital finance Pub Date : 2021-07-10 DOI: 10.1007/s42521-021-00046-2
Helmut Wasserbacher, M. Spindler
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引用次数: 12
Profitability of cryptocurrency Pump and Dump schemes 加密货币泵和转储方案的盈利能力
Digital finance Pub Date : 2021-06-01 DOI: 10.1007/s42521-021-00034-6
Taro Tsuchiya
{"title":"Profitability of cryptocurrency Pump and Dump schemes","authors":"Taro Tsuchiya","doi":"10.1007/s42521-021-00034-6","DOIUrl":"https://doi.org/10.1007/s42521-021-00034-6","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 1","pages":"149 - 167"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00034-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49529046","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Correction to: Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009 更正:抵押贷款风险的违约分析与传统和深度机器学习集中在2008-2009年
Digital finance Pub Date : 2021-06-01 DOI: 10.1007/s42521-021-00039-1
Vikram Ojha, Jeonghoe Lee
{"title":"Correction to: Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008–2009","authors":"Vikram Ojha, Jeonghoe Lee","doi":"10.1007/s42521-021-00039-1","DOIUrl":"https://doi.org/10.1007/s42521-021-00039-1","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 1","pages":"205"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00039-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47484180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CATE meets ML CATE遇见ML
Digital finance Pub Date : 2021-06-01 DOI: 10.1007/s42521-021-00033-7
D. Jacob
{"title":"CATE meets ML","authors":"D. Jacob","doi":"10.1007/s42521-021-00033-7","DOIUrl":"https://doi.org/10.1007/s42521-021-00033-7","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 1","pages":"99 - 148"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00033-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41530758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Replicating market makers 复制做市商
Digital finance Pub Date : 2021-03-26 DOI: 10.1007/s42521-023-00082-0
Guillermo Angeris, A. Evans, Tarun Chitra
{"title":"Replicating market makers","authors":"Guillermo Angeris, A. Evans, Tarun Chitra","doi":"10.1007/s42521-023-00082-0","DOIUrl":"https://doi.org/10.1007/s42521-023-00082-0","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"1 1","pages":"1-21"},"PeriodicalIF":0.0,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46569570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Evaluation of multi-asset investment strategies with digital assets 利用数字资产评估多资产投资策略
Digital finance Pub Date : 2021-03-01 DOI: 10.1007/s42521-021-00031-9
Alla Petukhina, Erin Sprünken
{"title":"Evaluation of multi-asset investment strategies with digital assets","authors":"Alla Petukhina, Erin Sprünken","doi":"10.1007/s42521-021-00031-9","DOIUrl":"https://doi.org/10.1007/s42521-021-00031-9","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 1","pages":"45 - 79"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00031-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49209283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On cointegration and cryptocurrency dynamics 关于协整和加密货币动态
Digital finance Pub Date : 2021-02-17 DOI: 10.1007/s42521-021-00027-5
Georg Keilbar, Yanfen Zhang
{"title":"On cointegration and cryptocurrency dynamics","authors":"Georg Keilbar, Yanfen Zhang","doi":"10.1007/s42521-021-00027-5","DOIUrl":"https://doi.org/10.1007/s42521-021-00027-5","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 1","pages":"1 - 23"},"PeriodicalIF":0.0,"publicationDate":"2021-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00027-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49178934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How to gauge investor behavior? A comparison of online investor sentiment measures. 如何衡量投资者行为？在线投资者情绪测量比较。
Digital finance Pub Date : 2021-01-01 Epub Date: 2021-08-07 DOI: 10.1007/s42521-021-00038-2
Daniele Ballinari, Simon Behrendt
{"title":"How to gauge investor behavior? A comparison of online investor sentiment measures.","authors":"Daniele Ballinari, Simon Behrendt","doi":"10.1007/s42521-021-00038-2","DOIUrl":"10.1007/s42521-021-00038-2","url":null,"abstract":"<p><p>Given the increasing interest in and the growing number of publicly available methods to estimate investor sentiment from social media platforms, researchers and practitioners alike are facing one crucial question - which is best to gauge investor sentiment? We compare the performance of daily investor sentiment measures estimated from Twitter and StockTwits short messages by publicly available dictionary and machine learning based methods for a large sample of stocks. To determine their relevance for financial applications, these investor sentiment measures are compared by their effects on the cross-section of stocks (i) within a Fama and MacBeth (J Polit Econ 81:607-636, 1973) regression framework applied to a measure of retail investors' order imbalances and (ii) by their ability to forecast abnormal returns in a model-free portfolio sorting exercise. Interestingly, we find that investor sentiment measures based on finance-specific dictionaries do not only have a greater impact on retail investors' order imbalances than measures based on machine learning approaches, but also perform very well compared to the latter in our asset pricing application.</p>","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 2","pages":"169-204"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8550489/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39847700","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Special Issue on Artificial Intelligence, Machine Learning and Platform Innovation in Quantitative Finance (MathFinance Conference 2020/2021).
Digital finance Pub Date : 2021-01-01 Epub Date: 2021-11-17 DOI: 10.1007/s42521-021-00043-5
Natalie Packham, Uwe Wystup
{"title":"Special Issue on Artificial Intelligence, Machine Learning and Platform Innovation in Quantitative Finance (MathFinance Conference 2020/2021).","authors":"Natalie Packham,&nbsp;Uwe Wystup","doi":"10.1007/s42521-021-00043-5","DOIUrl":"https://doi.org/10.1007/s42521-021-00043-5","url":null,"abstract":"","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 3-4","pages":"207-208"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8596084/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39645826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cryptocurrency volatility markets. 加密货币波动市场。
Digital finance Pub Date : 2021-01-01 Epub Date: 2021-08-02 DOI: 10.1007/s42521-021-00037-3
Fabian Woebbeking
{"title":"Cryptocurrency volatility markets.","authors":"Fabian Woebbeking","doi":"10.1007/s42521-021-00037-3","DOIUrl":"https://doi.org/10.1007/s42521-021-00037-3","url":null,"abstract":"<p><p>By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to compute volatilities from granular intra-day cryptocurrency options data, which spans over the COVID-19 pandemic period. CVX data therefore capture 'normal' market dynamics as well as distress and recovery periods. The methods yield two cointegrated index series, where the corresponding error correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility dynamics are often disconnected from traditional markets, yet, share common shocks.</p>","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":"3 3-4","pages":"273-298"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-021-00037-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39292053","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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