Fatouros, Georgios Makridis, Georgios Kotios, Dimitrios Soldatos, John Filippakis, Michael Kyriazis, Dimosthenis
Published in
Digital finance
Determining and minimizing risk exposure pose one of the biggest challenges in the financial industry as an environment with multiple factors that affect (non-)identified risks and the corresponding decisions. Various estimation metrics are utilized towards robust and efficient risk management frameworks, with the most prevalent among them being th...
Chen, Yuting Bredin, Don Potì, Valerio Matkovskyy, Roman
Published in
Digital finance
In this paper, we study the role of narratives in stock markets with a particular focus on the relationship with the ongoing COVID-19 pandemic. The pandemic represents a natural setting for the development of viral financial market narratives. We thus treat the pandemic as a natural experiment on the relation between prevailing narratives and finan...
Packham, Natalie Wystup, Uwe
Published in
Digital finance
Ballinari, Daniele Behrendt, Simon
Published in
Digital finance
Given the increasing interest in and the growing number of publicly available methods to estimate investor sentiment from social media platforms, researchers and practitioners alike are facing one crucial question - which is best to gauge investor sentiment? We compare the performance of daily investor sentiment measures estimated from Twitter and ...
Woebbeking, Fabian
Published in
Digital finance
By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to compute volatilities from gran...
Agosto, Arianna Giudici, Paolo
Published in
Digital finance
Digital finance is going to be heavily affected by the COVID-19 outbreak. We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19, so that its impact on finance can possibly be anticipated, and digitally monitored. The model is a Poisson autoregression of the daily new observed cases, and considers ...
