Related papers: Exact prediction of S&P 500 returns
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a…
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility of the S&P 500 index, after introducing the theoretical…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
We analyze cross-correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
We analyze and develop a quantitative model describing the evolution of personal income distribution, PID, for males and females in the U.S. between 1930 and 2014. The overall microeconomic model, which we introduced ten years ago,…
The paper focuses on predicting the Nifty 50 Index by using 8 Supervised Machine Learning Models. The techniques used for empirical study are Adaptive Boost (AdaBoost), k-Nearest Neighbors (kNN), Linear Regression (LR), Artificial Neural…
The brain's white matter (WM) undergoes developmental and degenerative processes during the human lifespan. To investigate the relationship between WM anatomical regions and age, we study diffusion magnetic resonance imaging tractography…
This paper examines the influence of low-frequency macroeconomic variables on the high-frequency returns of copper futures and the long-term correlation with the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The…
In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated,…
The prediction of a stock price has always been a challenging issue, as its volatility can be affected by many factors such as national policies, company financial reports, industry performance, and investor sentiment etc.. In this paper,…
Using new annual data of 16 developed countries across bond, equity, and housing markets, I study the return predictability using the payout-price ratios, i.e., coupon price, dividend price, and rent price. None of the 48 country-asset…
The accumulation of knowledge required to produce economic value is a process that often relates to nations economic growth. Such a relationship, however, is misleading when the proxy of such accumulation is the average years of education.…
The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…
We study the complexity of the stock market by constructing $\epsilon$-machines of Standard and Poor's 500 index from February 1983 to April 2006 and by measuring the statistical complexities. It is found that both the statistical…