Using sentiment information in the analysis of financial markets has attracted much attention. Natural language processing methods can be used to extract market sentiment information from texts such as news articles. The objective of this paper is to extract financial market sentiment information from news articles and use the estimated sentiment scores to predict the […]

In recent years, data science methods have been developed considerably and have consequently found their way into many business processes in banking and finance. One example is the review and approval process of credit applications, where they are employed with the aim to reduce rare but costly credit defaults in portfolios of loans. But there […]

In this article, the authors construct a pipeline to benchmark hierarchical risk parity (HRP) relative to equal risk contribution (ERC) as examples of diversification strategies allocating to liquid multi-asset futures markets with dynamic leverage (volatility target). The authors use interpretable machine learning concepts (explainable AI) to compare the robustness of the strategies and to back […]