165 citations · 501 across the 8 of their papers we have counts for
10 papers
Linking microblogging sentiments to stock price movement: An application of GPT-4
Rick Steinert, Saskia Altmann
This paper investigates the potential improvement of the GPT-4 Language Learning Model (LLM) in comparison to BERT for modeling same-day daily stock price movements of Apple and Te…
Company classification using machine learning
Sven Husmann, Antoniya Shivarova, Rick Steinert
The recent advancements in computational power and machine learning algorithms have led to vast improvements in manifold areas of research. Especially in finance, the application o…
Sparsity and Stability for Minimum-Variance Portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weigh…
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covarianc…
Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
Philipp Otto, Rick Steinert
In this paper, we propose a two-step lasso estimation approach to estimate the full spatial weights matrix of spatiotemporal autoregressive models. In addition, we allow for an unk…
Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures
Rick Steinert, Florian Ziel
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing chal…
Probabilistic Mid- and Long-Term Electricity Price Forecasting
Florian Ziel, Rick Steinert
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an incr…
Electricity Price Forecasting using Sale and Purchase Curves: The X-Model
Florian Ziel, Rick Steinert
Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights o…
Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
Florian Ziel, Rick Steinert, Sven Husmann
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on…
Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel, Rick Steinert, Sven Husmann
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econom…