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We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE…
Ranked enumeration is a query-answering paradigm where the query answers are returned incrementally in order of importance (instead of returning all answers at once). Importance is defined by a ranking function that can be specific to the…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
We present a model of an economy inspired by individual based model approaches in evolutionary ecology. We demonstrate that evolutionary dynamics in a space of companies interconnected through a correlated interaction matrix produces time…
We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the…
We investigate how the relationship between managerial stock incentives and the dividend payout policy is impacted by the business cycle by using the data of S&P 1500 companies during 2000-2018. We find a strong negative relationship…
We examine the problem of making reconciled forecasts of large collections of related time series through a behavioural/Bayesian lens. Our approach explicitly acknowledges and exploits the 'connectedness' of the series in terms of…
This chapter presents a calendar rebalancing approach to portfolios of stocks in the Indian stock market. Ten important sectors of the Indian economy are first selected. For each of these sectors, the top ten stocks are identified based on…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
Ranking temporal data has not been studied until recently, even though ranking is an important operator (being promoted as a firstclass citizen) in database systems. However, only the instant top-k queries on temporal data were studied in,…
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a…
This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to make investment strategy decisions through…
This paper presents a carbon-energy coupling management framework for an industrial park, where the carbon flow model accompanying multi-energy flows is adopted to track and suppress carbon emissions on the user side. To deal with the…
Based on interactions between individuals and others and references to social norms, this study reveals the impact of heterogeneity in time preference on wealth distribution and inequality. We present a novel approach that connects the…
The growing share of intermittent renewable energy sources, storage technologies, and the increasing degree of so-called sector coupling necessitates optimization-based energy system models with high temporal and spatial resolutions, which…
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to…
We introduce a dynamic approach to probabilistic forecast reconciliation at scale. Our model differs from the existing literature in this area in several important ways. Firstly we explicitly allow the weights allocated to the base…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…