2 papers
q-fin.GN2019
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
Jozef Barunik, Cathy Yi-Hsuan Chen, Jan Vecer
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets random…
math.PR2017
Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts
Jörg Kampen, Jan Vecer
For linear multivariate purely second order highla degenerated parabolic equations with univariate convex data, monotonicity of the coefficent matrices implies monotonicity of the…