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We introduce TechRank, a recursive algorithm based on a bi-partite graph with weighted nodes. We develop TechRank to link companies and technologies based on the method of reflection. We allow the algorithm to incorporate exogenous…
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the…
The paper presents new machine learning methods: signal composition, which classifies time-series regardless of length, type, and quantity; and self-labeling, a supervised-learning enhancement. The paper describes further the implementation…
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…
Enterprise Resource Planning (ERP) is a integration of various resources of any organization. It is computer software. All kinds of organization data that is relating to each and every function of the organization are available in ERP. So…
The US economy is transitioning away from fossil fuels toward sources of green energy. California policymakers have adopted the goal of carbon neutrality by 2045 or earlier. Within California, Kern County accounts for over 70 percent of oil…
This study investigates the relationship between bank efficiency and stock market valuation using an unbalanced panel dataset of 42 listed banks in China from 2006 to 2023. We employ a non-radial and non-oriented slack based…
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate…
Achievement. We introduce LORE, a systematic framework for Large Generative Model-based relevance in e-commerce search. Deployed and iterated over three years, LORE achieves a cumulative +27\% improvement in online GoodRate metrics. This…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We introduce AvalancheBench, a benchmark for evaluating enterprise data agents through \emph{latent world recovery}. AvalancheBench improves on existing benchmarks in three ways. First, it evaluates analytical understanding rather than…
The efficiency of pension schemes in Kenya invites elevated interest owing to the increasing pension contribution amounts and the expectation that benefits paid out of these schemes would protect members from old age poverty. The study…
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by…
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical…
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly…
This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from…