no code implementations • 29 Sep 2023 • Paul Glasserman, Caden Lin
This bias can take two forms: a look-ahead bias, in which the LLM may have specific knowledge of the stock returns that followed a news article, and a distraction effect, in which general knowledge of the companies named interferes with the measurement of a text's sentiment.
no code implementations • 11 Sep 2023 • Paul Glasserman, Harry Mamaysky, Jimmy Qin
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year.
no code implementations • 27 Jul 2022 • Paul Glasserman, Mike Li
Regulatory stress tests have become one of the main tools for setting capital requirements at the largest U. S. banks.
no code implementations • 10 Jun 2021 • Paul Glasserman, Mike Li
We study the behavior of linear discriminant functions for binary classification in the infinite-imbalance limit, where the sample size of one class grows without bound while the sample size of the other remains fixed.
no code implementations • 14 Oct 2020 • Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
We analyze methods for selecting topics in news articles to explain stock returns.