Sergey Nasekin

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

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

319

CITATIONS

0

Scholarly Papers (3)

1.

Deep Learning-Based Cryptocurrency Sentiment Construction

Number of pages: 20 Posted: 08 Jan 2019
Sergey Nasekin and Cathy Yi‐Hsuan Chen
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt Universität zu Berlin
Downloads 170 (171,920)

Abstract:

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

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 99 (261,173)

Abstract:

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

3.

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 50 (379,698)

Abstract:

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