Browsing by Author "Sensoy, Ahmet"

Now showing items 1-6 of 6

    • Interest rate uncertainty and the predictability of bank revenues 

      Cepni, O.; Demirer, R.; Gupta, R.; Sensoy, Ahmet (John Wiley & Sons, Ltd, 2022-06-24)
      This paper examines the predictive power of interest rate uncertainty over pre-provision net revenues (PPNR) in a large panel of bank holding companies (BHC). Utilizing a linear dynamic panel model based on Bayes predictor, ...

    • Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment 

      Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet (Elsevier, 2022-12)
      The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 ...

    • Other people's money: A comparison of institutional investors 

      Eraslan, V.; Omole, John; Sensoy, Ahmet; Ozdamar, Melisa (Elsevier, 2022-12)
      Using unique equity ownership data, we investigate the stock picking preferences and return forecasting performances of institutional investors that manage their own money against those that manage others’. We reveal that ...

    • 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, ...

    • Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis 

      Mensi, Walid; Sensoy, Ahmet; Vo, Xuan Vinh; Kang, Sang Hoon (Elsevier, 2022-11-10)
      We examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic ...

    • 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 ...