Browsing by Author "Goncu, A."

Now showing items 1-2 of 2

    • Prediction of cryptocurrency returns using machine learning 

      Akyildirim, E.; Goncu, A.; Sensoy, Ahmet (Springer, 2021-02)
      In this study, the predictability of the most liquid twelve cryptocurrencies are analyzed at the daily and minute level frequencies using the machine learning classification algorithms including the support vector machines, ...

    • Statistical arbitrage in jump-diffusion models with compound poisson processes 

      Akyildirim, E.; Fabozzi, J.F.; Goncu, A.; Sensoy, Ahmet (Springer Nature, 2021-02-26)
      We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the ...