Finanzmarktprognosen

Testing Stylized Facts of Bitcoin Limit Order Books (2019) Schnaubelt M, Rende J, Krauss C Journal article Pairs trading with the persistence-based decomposition model (2019) Rende J Journal article Statistical arbitrage with vine copulas (2018) Stübinger J, Mangold B, Krauss C Journal article, Original article Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. (2018) Stübinger J, Endres S Journal article, Original article Deep learning with long short-term memory networks for financial market predictions (2018) Fischer T, Krauß C Journal article, Original article An Extended Likelihood Framework for Modeling Discretely Observed Credit Rating Transitions (2018) Pfeuffer M, Möstel L, Fischer M Journal article, Original article Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100. (2017) Krauss C, Stübinger J Journal article, Original article Statistical arbitrage pairs trading strategies: Review and outlook (2017) Krauß C Journal article, Original article Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017) Krauß C, Do XA, Huck N Journal article, Original article Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. (2017) Fischer M, Kraus D, Pfeuffer M, Czado C Journal article, Original article