Option‐Implied Ambiguity and Equity Return Predictability
Y Liu, C Liu, Y Chen, X Sun - Journal of Futures Markets, 2024 - Wiley Online Library
We propose a model‐guided option‐implied ambiguity measure to capture uncertainty
regarding the return distribution of a risky asset underlying a set of options, and investigate …
regarding the return distribution of a risky asset underlying a set of options, and investigate …
Semantics matter: An empirical study on economic policy uncertainty index
CC Chen, YL Huang, F Yang - International Review of Economics & …, 2024 - Elsevier
When dealing with textual data, previous studies mainly used a keyword-based matching
method to construct indices. The economic policy uncertainty (EPU) index proposed by …
method to construct indices. The economic policy uncertainty (EPU) index proposed by …
Sentiment-semantic word vectors: A new method to estimate management sentiment
TM Phan - Swiss Journal of Economics and Statistics, 2024 - Springer
This paper introduces a novel method to extract the sentiment embedded in the
Management's Discussion and Analysis (MD &A) section of 10-K filings. The proposed …
Management's Discussion and Analysis (MD &A) section of 10-K filings. The proposed …
Emoji Driven Crypto Assets Market Reactions
In the burgeoning realm of cryptocurrency, social media platforms like Twitter have become
pivotal in influencing market trends and investor sentiments. In our study, we leverage GPT …
pivotal in influencing market trends and investor sentiments. In our study, we leverage GPT …
LongFinBERT: A Language Model for Very Long Financial Documents
MT Phan, E Senn - Available at SSRN 5011898, 2024 - papers.ssrn.com
This paper introduces LongFinBERT, a modern language model specialized for very long
financial documents. LongFinBERT shows remarkable efficiency, requiring significantly less …
financial documents. LongFinBERT shows remarkable efficiency, requiring significantly less …
Emoji-Driven Sentiments in Cryptocurrency Markets: Integrating Visual and Textual Contexts
In the burgeoning realm of cryptocurrency, social media platforms like Twitter have become
pivotal in influencing market trends and investor sentiments. In our study, we leverage GPT …
pivotal in influencing market trends and investor sentiments. In our study, we leverage GPT …
[BOOK][B] A Topic Model for 10-K Management Disclosures
M Fengler, TM Phan - 2023 - ux-tauri.unisg.ch
We investigate the topics discussed in the Management's Discussion and Analysis (MD&A)
section of 10-K filings from January 1994 to December 2018. In our modeling approach, we …
section of 10-K filings from January 1994 to December 2018. In our modeling approach, we …
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective
MR Fengler, MT Phan - Available at SSRN 4994935, 2024 - papers.ssrn.com
We investigate the topics in the Management's Discussion and Analysis (MD&A) section of
10-K filings. Our approach extracts MD&A topics by clustering words around anchor words …
10-K filings. Our approach extracts MD&A topics by clustering words around anchor words …
News-Driven Uncertainty and Volatility Feedback
This paper presents a two-factor model of asset returns that depends on uncertainty and
volatility. To infer the uncertainty from news data, we propose a machine learning …
volatility. To infer the uncertainty from news data, we propose a machine learning …
[PDF][PDF] LongFinBERT: A Language Model for Long Financial Documents
TM Phana, EJ Senna - alexandria.unisg.ch
This paper introduces LongFinBERT, a modern language model specialized for processing
long financial documents. Due to an adaptation in model architecture, LongFin-BERT …
long financial documents. Due to an adaptation in model architecture, LongFin-BERT …