4 papers
Predicting Market Troughs: A Machine Learning Approach with Causal Interpretation
Peilin Rao, Randall R. Rojas
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specificati…
Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints
Zihan Lin, Haojie Liu, Randall R. Rojas
This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock…
Enhancing Trading Performance Through Sentiment Analysis with Large Language Models: Evidence from the S&P 500
Haojie Liu, Zihan Lin, Randall R. Rojas
This study integrates real-time sentiment analysis from financial news, GPT-2 and FinBERT, with technical indicators and time-series models like ARIMA and ETS to optimize S&P 500 t…
TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio
Joseph Lu, Randall R Rojas, Fiona C. Yeung +1
We design a portfolio construction framework and implement an active investment strategy utilizing momentum and trend-following signals across multiple asset classes and asset clas…