Related papers: Macroeconomic factors and Stock exchange return: A…
Stock prices, as an economic indicator, reflect changes in economic development and market conditions. Traditional stock price prediction models often only consider time-series data and are limited by the mechanisms of the models…
This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its…
Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use…
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and agent's risk ratings play role of their…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
There is an important literature focused on profit warnings and its impact on stock returns. We provide evidence from Moroccan stock market which aims to become an African financial hub. Despite this practical improvement, academic…
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we investigate the financial cross correlation…
Classic studies of the probability density of price fluctuations $g$ for stocks and foreign exchanges of several highly developed economies have been interpreted using a {\it power-law} probability density function $P(g) \sim…
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic…
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…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
This research investigates the multifaceted relationship underlying capital structure dynamics along with financial performance as a result of mergers and acquisitions, or M&As, in Indian banks. In the face of increasing competition, banks…
We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Reducing wealth inequality and increasing utility are critical issues. This study reveals the effects of redistribution and consumption morals on wealth inequality and utility. To this end, we present a novel approach that couples the…
We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration.…
Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…