Related papers: The Tech Decoupling
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on…
This paper analyses how Time Series Analysis techniques can be applied to capture movement of an exchange traded index in a stock market. Specifically, Seasonal Auto Regressive Integrated Moving Average (SARIMA) class of models is applied…
There are different views in the literature regarding economic growth and development. Growth and development hypotheses have been addressed from many different perspectives. It is aimed to examine the view of production with the Heavy…
All economies require physical resource consumption to grow and maintain their structure. The modern economy is additionally characterized by private debt. The Human and Resources with MONEY (HARMONEY) economic growth model links these…
In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…
This paper updates Currie, Kleven, and Zwiers (2020) by examining the credibility revolution across fields, including finance and macroeconomics, using NBER working papers up to May 2024. While the growth in terms related to identification…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
One of the emerging technologies, which is expected to have tremendous effects on community development, is the Internet of Things technology. Given the prospects for this technology and the country's efforts to its development,…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we…
Technology was created to support and grow Business. Modern business that uses technology efficiently, grows at a phenomenal rate (Statista.com, 2018). The assumption therefore is that businesses that utilize insufficient technology, or use…
We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate…
This study analyzes the transmission of market uncertainty on key European financial markets and the cryptocurrency market over an extended period, encompassing the pre, during, and post-pandemic periods. Daily financial market indices and…
We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile real-time net loads -- i.e., loads minus renewable outputs…
In this paper we present a kinetic model with stochastic game-type interactions, analyzing the relationship between the level of political competition in a society and the degree of economic liberalization. The above issue regards the…
A network time series is a multivariate time series augmented by a graph that describes how variables (or nodes) are connected. We introduce the network autoregressive (integrated) moving average (NARIMA) processes: a set of flexible models…
The coronavirus is a global event of historical proportions and just a few months changed the time series properties of the data in ways that make many pre-covid forecasting models inadequate. It also creates a new problem for estimation of…