Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500

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Publication:5234313

DOI10.1080/14697688.2018.1521002zbMath1420.91548OpenAlexW2745188987MaRDI QIDQ5234313

Julian Knoll, Michael Grottke, Johannes Stübinger

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/162392




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