Sergey Nasekin

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

564

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 29 Posted: 08 Jan 2019 Last Revised: 18 Feb 2020
Sergey Nasekin and Cathy Yi‐Hsuan Chen
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Glasgow, Adam Smith Business School
Downloads 283 (113,074)
Citation 1

Abstract:

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sentiment analysis, lexicon, social media, word embedding, deep learning, LSTM

2.

Leveraged ETF Options Implied Volatility Paradox: A Statistical Study

SFB 649 Discussion Paper 2016-004, Economic Risk, Berlin
Number of pages: 42 Posted: 27 Jun 2016 Last Revised: 14 Nov 2016
Wolfgang K. Härdle, Sergey Nasekin and Zhiwu Hong
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 116 (250,802)
Citation 1

Abstract:

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exchange-traded funds, options, moneyness scaling, stochastic volatility, bootstrap, dynamic factor models

3.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 55 Posted: 07 Sep 2019
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 111 (258,726)

Abstract:

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Options Data, High Frequency Data, Market Microstructure

4.

Tail Event Driven ASset Allocation: Evidence from Equity and Mutual Funds’ Markets

SFB 649 Discussion Paper 2015-045
Number of pages: 26 Posted: 05 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nanyang Technological University (NTU) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 54 (393,325)
Citation 1

Abstract:

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adaptive lasso, portfolio optimisation, quantile regression, Valueat- Risk, tail events