Financial models induced from auxiliary indices and Twitter data

DOI10.11568/KJM.2014.22.3.529MaRDI QIDQ5217540zbMATH OpenOpenAlexFDO

Authors Jae-Pill Oh

Publication date 24 February 2020

Published in Korean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.11568/kjm.2014.22.3.529

zbMATH Keywords

asset modelLévy processoptimal portfolioSDEutility function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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Cites work

• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Mining associations between web stock news volumes and stock prices
• Multi-type financial asset models for portfolio construction
• Self-similar processes, fractional Brownian motion and statistical inference

Cited in

(1)

• Measuring the impact of financial news and social media on stock market modeling using time series mining techniques

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