ZORA Publication List

Publications

• 2023

  • Akyildirim, Erdinc; Cepni, Oguzhan; Corbet, Shaen; Uddin, Gazi Salah (2023). Forecasting mid-price movement of Bitcoin futures using machine learning. Annals of Operations Research, 330(1-2):553-584.
  • Akyildirim, Erdinc; Corbet, Shaen; Tiniç, Murat; Sensoy, Ahmet (2023). Adverse selection in cryptocurrency markets. The journal of financial research, 46(2):497-546.
  • Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet; Sikic, Mario (2023). Forecasting high‐frequency excess stock returns via data analytics and machine learning. European financial management, 29(1):22-75.

• 2022

  • Akyildirim, Erdinc; Cepni, Oguzhan; Pham, Linh; Uddin, Gazi Salah (2022). How connected is the agricultural commodity market to the news-based investor sentiment?. Energy Economics, 113:106174.
  • Dogru, Tarik; Akyildirim, Erdinc; Cepni, Oguzhan; Ozdemir, Ozgur; Sharma, Abhinav; Yilmaz, Muhammed Hasan (2022). The effect of environmental, social and governance risks. Annals of Tourism Research, 95:103432.
  • Akyildirim, Erdinc; Bariviera, Aurelio F; Nguyen, Duc Khuong; Sensoy, Ahmet (2022). Forecasting high-frequency stock returns: a comparison of alternative methods. Annals of Operations Research, 313:639-690.
  • Akyildirim, Erdinc; Fabozzi, Frank J; Göncü, Ahmet; Sensoy, Ahmet (2022). Statistical arbitrage in jump-diffusion models with compound Poisson processes. Annals of Operations Research, 313:1357-1371.
  • Akyildirim, Erdinc; Cepni, Oguzhan; Molnár, Peter; Uddin, Gazi Salah (2022). Connectedness of energy markets around the world during the COVID-19 pandemic. Energy Economics, 109:105900.

• 2021

  • Akyildirim, Erdinc; Yao, Shouyu; Kong, Xiaoran; Sensoy, Ahmet; Cheng, Feiyang (2021). Investor attention and idiosyncratic risk in cryptocurrency markets. The European journal of finance:Epub ahead of print.
  • Akyildirim, Erdinc; Sensoy, Ahmet; Gulay, Guzhan; Corbet, Shaen; Salari, Hajar Novin (2021). Big data analytics, order imbalance and the predictability of stock returns. Journal of Multinational Financial Management, 62:100717.
  • Akyildirim, Erdinc; Aysan, Ahmet Faruk; Cepni, Oguzhan; Darendeli, S Pinar Ceyhan (2021). Do investor sentiments drive cryptocurrency prices?. Economics Letters, 206:109980.
  • Akyildirim, Erdinc; Corbet, Shaen; O'Connell, John F; Sensoy, Ahmet (2021). The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks. International Review of Financial Analysis, 74:101630.
  • Akyildirim, Erdinc; Göncü, Ahmet; Sensoy, Ahmet (2021). Prediction of cryptocurrency returns using machine learning. Annals of Operations Research, 297(1-2):3-36.

• 2020

  • Akyildirim, Erdinc; Corbet, Shaen; Sensoy, Ahmet; Yarovaya, Larisa (2020). The impact of blockchain related name changes on corporate performance. Journal of Corporate Finance, 65:101759.
  • Akyildirim, Erdinc; Corbet, Shaen; Cumming, Douglas; Lucey, Brian; Sensoy, Ahmet (2020). Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements. Technological Forecasting and Social Change, 159:120191.
  • Akyildirim, Erdinc; Corbet, Shaen; Nguyen, Duc Khuong; Sensoy, Ahmet (2020). Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework. International Review of Law and Economics, 63:105907.
  • Akyildirim, Erdinc; Corbet, Shaen; Efthymiou, Marina; Guiomard, Cathal; O'Connell, John F; Sensoy, Ahmet (2020). The financial market effects of international aviation disasters. International Review of Financial Analysis, 69:101468.
  • Akyildirim, Erdinc; Corbet, Shaen; Katsiampa, Paraskevi; Kellard, Neil; Sensoy, Ahmet (2020). The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. Finance Research Letters, 34:101234.
  • Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian; Sensoy, Ahmet; Yarovaya, Larisa (2020). The relationship between implied volatility and cryptocurrency returns. Finance Research Letters, 33:101212.

• 2019

  • Akyildirim, Erdinc; Corbet, Shaen; Ekinci, Cumhur (2019). Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets. Finance Research Letters, 31:155-164.

Pagination