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

DOI10.1007/S10479-020-03757-8MaRDI QIDQ827280zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 52588 (Why is no real title available?)
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• Mathematical methods for financial markets.
• Numerical solution of stochastic differential equations in finance
• Preface: Operations research in neuroscience
• Stochastic differential equations. An introduction with applications.
• The elements of statistical learning. Data mining, inference, and prediction
• Voxel-MARS: a method for early detection of Alzheimer's disease by classification of structural brain MRI

Cited in

(9)

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• 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

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