Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS

DOI10.1007/S10479-020-03757-8zbMATH Open1455.91237OpenAlexW3048946217MaRDI QIDQ827280FDOQ827280

Authors: Betül Kalaycı, Ayşe Özmen, Gerhard-Wilhelm Weber 

Publication date: 7 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03757-8

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zbMATH Keywords

parameter estimationeconomicsMARSstochastic differential equationsbehavioral financeinvestor sentimentneurofinance

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• The elements of statistical learning. Data mining, inference, and prediction
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• Mathematical methods for financial markets.
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• Financial regression and organization
• A new approach to multivariate adaptive regression splines by using Tikhonov regularization and continuous optimization
• Preface: Operations research in neuroscience
• Voxel-MARS: a method for early detection of Alzheimer's disease by classification of structural brain MRI
• Numerical solution of stochastic differential equations in finance

Cited In (9)

• Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
• A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
• A boundary control problem for stochastic 2D-Navier-Stokes equations
• Stochastic asset flow equations: interdependence of trend and volatility
• An explorative analysis of sentiment impact on S\&P 500 components returns, volatility and downside risk
• Collective dynamics of fluctuating-damping coupled oscillators in network structures: stability, synchronism, and resonant behaviors
• Revisiting Islamic banking efficiency using multivariate adaptive regression splines
• Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
• Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market

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