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The relevance of Adam Smith for understanding human morality and sociality is recognized in the growing interest in his work on moral sentiments among scholars of various academic backgrounds. But, paradoxically, Adam Smith's theory of…
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data…
A method is presented for evaluating authors on the basis of citations. It assigns to each author a citation score which depends upon the number of times he is cited, and upon the scores of the citers. The scores are found to be the…
In the IEEE Investment ranking challenge 2018, participants were asked to build a model which would identify the best performing stocks based on their returns over a forward six months window. Anonymized financial predictors and semi-annual…
We establish general criteria for a countable group $\Gamma$ to have fixed price 1 depending on a choice of left-invariant proper metric on $\Gamma$. We apply this criterion to show that if $\Gamma_1,\Gamma_2$ are two countable groups…
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically…
We present significantly advanced studies of the previously introduced physical growth mechanism and unite it with biochemical growth factors. Obtained results allowed formulating the general growth law which governs growth and evolutional…
Stock market indices serve as fundamental market measurement that quantify systematic market dynamics. However, accurate index price prediction remains challenging, primarily because existing approaches treat indices as isolated time series…
Random butterfly matrices were introduced by Parker in 1995 to remove the need for pivoting when using Gaussian elimination. The growing applications of butterfly matrices have often eclipsed the mathematical understanding of how or why…
Predicting future direction of stock markets using the historical data has been a fundamental component in financial forecasting. This historical data contains the information of a stock in each specific time span, such as the opening,…
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be described by a scaling approach. Here, we…
Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.
We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays the maximum of the second-highest bid and a seller specified starting price. For many such auctions, the seller does not see all the…
Traditional genetic programming (GP) often struggles in stock alpha factor discovery due to its vast search space, overwhelming computational burden, and sporadic effective alphas. We find that GP performs better when focusing on promising…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility…
In the paper, a problem of forecasting promotion efficiency is raised. The authors propose a new approach, using the gradient boosting method for this task. Six performance indicators are introduced to capture the promotion effect. For each…
A random Fibonacci sequence is defined by the relation g_n = | g_{n-1} +/- g_{n-2} |, where the +/- sign is chosen by tossing a balanced coin for each n. We generalize these sequences to the case when the coin is unbalanced (denoting by p…
Predicting trends in stock market prices has been an area of interest for researchers for many years due to its complex and dynamic nature. Intrinsic volatility in stock market across the globe makes the task of prediction challenging.…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…