arXiv subjects

Simon Trimborn

Publications and source records attributed to Simon Trimborn.

5 recordsLinked to original sources

arXiv2026

Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes

Modeling the joint distribution of extreme values in high-dimensional financial time series is challenging because extremes are sparse and locally extreme observations are not necessarily extreme relative to their full marginal distribution. To address this, we introduce a time-dependent network H\"usler-Reiss model in which market-informed adjacency matrices determine how strongly observations contribute to the estimation. We propose binary and weighted specifications, including the Joint Extremes Adjacency Matrix (JEAM) which combines information about individual extremeness with historical patterns of joint extreme movements. In the forecasting evaluation part, covering one-minute stock returns from three sectors of the S&P 100, JEAM achieves the best out-of-sample log scores for both tail directions; improving scores by 12.5-13.6% in the lower tail and 11.4-14.9% in the upper tail. The results show that incorporating market-informed network structures in the estimation, improves forecast evaluation of extremes across time series.

stat.ME↗

arXiv2024

Domain-Informed Negative Sampling Strategies for Dynamic Graph Embedding in Meme Stock-Related Social Networks

Social network platforms like Reddit are increasingly impacting real-world economics. Meme stocks are a recent phenomena where price movements are driven by retail investors organizing themselves via social networks. To study the impact of social networks on meme stocks, the first step is to analyze these networks. Going forward, predicting meme stocks' returns would require to predict dynamic interactions first. This is different from conventional link prediction, frequently applied in e.g. recommendation systems. For this task, it is essential to predict more complex interaction dynamics, such as the exact timing. These are crucial for linking the network to meme stock price movements. Dynamic graph embedding (DGE) has recently emerged as a promising approach for modeling dynamic graph-structured data. However, current negative sampling strategies, an important component of DGE, are designed for conventional dynamic link prediction and do not capture the specific patterns present in meme stock-related social networks. This limits the training and evaluation of DGE models in such social networks. To overcome this drawback, we propose novel negative sampling strategies based on the analysis of real meme stock-related social networks and financial knowledge. Our experiments show that the proposed negative sampling strategies can better evaluate and train DGE models targeted at meme stock-related social networks compared to existing baselines.

cs.SI↗

arXiv2024

Social Network Datasets on Reddit Financial Discussion

Stock markets are impacted by a large variety of factors including news and discussions among investors about investment opportunities. With the emergence of social media, new opportunities for having financial discussions arose. The market frenzy surrounding GameStop (GME) on the Reddit subreddit Wallstreetbets, caused financial discussion forums to receive widespread attention and it was established that Wallstreetbets played a leading role in the stock market movements of GME. Here, we present a new data set for exploring the effect of social media discussion forums on the stock market. The dataset consists of posts published on various Reddit subreddits concerning the popular meme stocks GameStop (GME), American Multi-Cinema Entertainment Holdings (AMC), and BlackBerry (BB). We document the data collection and processing steps and show that the posts and comments about these meme stocks are related to their market movements.

cs.SI↗

arXiv2020

CRIX an index for cryptocurrencies

The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency markets, the IMF offers the index SDR and, prior to the EUR, the ECU existed, which was an index representing the development of European currencies. Index providers decide on a fixed number of index constituents which will represent the market segment. It is a challenge to fix a number and develop rules for the constituents in view of the market changes. In the frequently changing CC market, this challenge is even more severe. A method relying on the AIC is proposed to quickly react to market changes and therefore enable us to create an index, referred to as CRIX, for the cryptocurrency market. CRIX is chosen by model selection such that it represents the market well to enable each interested party studying economic questions in this market and to invest into the market. The diversified nature of the CC market makes the inclusion of altcoins in the index product critical to improve tracking performance. We have shown that assigning optimal weights to altcoins helps to reduce the tracking errors of a CC portfolio, despite the fact that their market cap is much smaller relative to Bitcoin. The codes used here are available via www.quantlet.de.

q-fin.ST↗

arXiv2020

Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies

Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk management. We investigate the utility gains for different types of investors when they consider cryptocurrencies as an addition to their portfolio of traditional assets. We consider risk-averse, return-seeking as well as diversificationpreferring investors who trade along different allocation frequencies, namely daily, weekly or monthly. Out-of-sample performance and diversification benefits are studied for the most popular portfolio-construction rules, including mean-variance optimization, risk-parity, and maximum-diversification strategies, as well as combined strategies. To account for low liquidity in CC markets, we incorporate liquidity constraints via the LIBRO method. Our results show that CCs can improve the risk-return profile of portfolios. In particular, a maximum-diversification strategy (maximizing the Portfolio Diversification Index, PDI) draws appreciably on CCs, and spanning tests clearly indicate that CC returns are non-redundant additions to the investment universe. Though our analysis also shows that illiquidity of CCs potentially reverses the results.

q-fin.PM↗