School of Business
17 May 2022
Zoom

How does market respond to sentiment jumps?

Mini-lecture with Dr. Steve Yang

News sentiment is different from the true investor sentiment, and there is a conductive process of information flow from news sentiment to the latent investor sentiment and vice versa. The aim of this study is to develop a methodology to estimate the latent effect between the investor sentiment jumps and the market return jumps using a multivariate Hawkes process along with a deep reinforcement learning algorithm. We achieve this goal through a three-step process:

  • identify the baseline intensity among the events of news sentiment and market return by a multivariate Hawkes process
  • estimate the hidden effect that drives the movement of events of news sentiment and market return from the baseline intensity via deep reinforcement learning
  • reveal the interaction mechanism among the true investor sentiment and the market return that is responsible to the latent investor sentiment.

This approach can be broadly applied to analyzing many phenomena in finance and economics where latent events are non-stationary and cannot be observed directly.

Tuesday May 17, 2022
9 am EST
Zoom

 

Speaker Bio
Dr. Steve Yang is an Associate Professor of the School of Business at Stevens Institute of Technology and the Director of the Center for Research toward Advancing Financial Technologies (CRAFT). He holds a Ph.D. in Systems and Information Engineering from University of Virginia with concentration on Financial Engineering. His research has been focused on understanding markets’ irrationality and its impact on trading, portfolio, risk management, and systemic risk using decision science tools such as Markov decision processes, reinforcement learning, and other artificial intelligence (AI) methods. His research has also been founded by a variety of NGOs, government agencies and industry firms such as, NSF, SWIFT, IRRC, IAAER, CFTC, DoD, Accenture, Northrop Grumman, KPMG, etc. He has worked with several major federal financial regulators such as, the Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission (CFTC) and Treasury in the capacity as either a research consultant or visiting scholar. He is an Associate Editor for Expert Systems With Applications (ESWA) journal and an Associate Editor for European Journal of Finance, and he also served as a guest editor for Quantitative Finance journal and NSF review panelist. His research has been published on journals such as Quantitative Finance, Decision Sciences, Journal of Banking & Finance, Expert Systems with Applications, European Journal of Finance, Neurocomputing, etc.

Tuesday May 17, 2022
9 am EST
Zoom

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