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Shareholders' expectations of stock returns and fluctuations are constantly changing due to restrictions in financial status and undesirable capital structure, which constrain managers to limit the changes in price trends in order to cover…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…
The energy market, and specifically the renewable sector carries volatility and risks, similar to the financial market. Here, we leverage on a well-established, return-risk approach, commonly used by equity portfolio-managers and apply it…
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where…
Maintaining energy balance and economical operation is significant for multi-energy systems such as the energy hub. However, it is usually challenged by the frequently changing and unpredictable uncertainties at different timescales. Under…
The study focuses on the Impact of Environmental Accounting on the Profitability of Companies listed on the Bombay Stock Exchange. The study has considered the Amount spent on Environmental protection as an Independent variable and Return…
The empirical results have shown that firstly, with one-week holding period and reinvesting, for SSE Composite Index stocks, the highest p-ratio investment strategy produces the largest annualized rate of return; and for NYSE Composite…
We develop an empirical procedure to qunatify future company performance based on top management promises. We find that the number of future tense sentence occurrences in 10-K reports is significantly negatively correlated with the return…
Considering the level of competition prevailing in Business-to-Consumer (B2C) E-Commerce domain and the huge investments required to attract new customers, firms are now giving more focus to reduce their customer churn rate. Churn rate is…
One major hurdle in the road toward a low carbon economy is the present entanglement of developed economies with oil. This tight relationship is mirrored in the correlation between most of economic indicators with oil price. This paper…
Against the backdrop of the global green transition and "dual carbon" goals, mining industry chain enterprises are pivotal entities in terms of resource consumption and environmental impact. Their environmental performance directly affects…
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the…
In using multiple regression methods for prediction, one often considers the linear combination of explanatory variables as an index. Seeking a single such index when here are multiple responses is rather more complicated. One classical…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
Understanding the performance of a pool of servers is crucial for proper dimensioning. One of the main challenges is to take into account the complex interactions between servers that are pooled to process jobs. In particular, a job can…