Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS

DOI10.1007/S10479-020-03757-8zbMath1455.91237OpenAlexW3048946217MaRDI QIDQ827280

Ayşe Özmen, Betül Kalaycı, Gerhard-Wilhelm Weber

Publication date: 7 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03757-8

zbMATH Keywords

parameter estimationstochastic differential equationseconomicsMARSbehavioral financeinvestor sentimentneurofinance

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (4)

Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market ⋮ A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI) ⋮ Stochastic asset flow equations: interdependence of trend and volatility ⋮ Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise

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