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The rapid growth of the stock market has attracted many investors due to its potential for significant profits. However, predicting stock prices accurately is difficult because financial markets are complex and constantly changing. This is…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
Wind energy has been rapidly gaining popularity as a means for combating climate change. However, the variable nature of wind generation can undermine system reliability and lead to wind curtailment, causing substantial economic losses to…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
Forex trading is the largest market in terms of qutantitative trading. Traditionally, traders refer to technical analysis based on the historical data to make decisions and trade. With the development of artificial intelligent, deep…
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are…
The relatedness between a country or a firm and a product is a measure of the feasibility of that economic activity. As such, it is a driver for investments at a private and institutional level. Traditionally, relatedness is measured using…
The conventional detectors tend to make imbalanced classification and suffer performance drop, when the distribution of the training data is severely skewed. In this paper, we propose to use the mean classification score to indicate the…
The external validity of regression discontinuity designs is crucial for informing policy but is rarely examined in applied work. To advance empirical practice, we propose a joint inference procedure for the treatment effect and its local…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
Intra-firm trade describes the trade between affiliated firms and is increasingly important as global production is fragmented. However, statistics and data on global intra-firm trade patterns are widely unavailable. This study proposes a…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number of variations in holdings between consecutive reporting…
The objective of this paper is to find the existence of a relationship between stock market prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression (VAR) model comprising of nine major macroeconomic indicators…
Share valuations are known to adjust to new information entering the market, such as regulatory disclosures. We study whether the language of such news items can improve short-term and especially long-term (24 months) forecasts of stock…
This work is concerned with autoregressive prediction of turning points in financial price sequences. Such turning points are critical local extrema points along a series, which mark the start of new swings. Predicting the future time of…