Related papers: Economic Forces in Stock Returns
The economic and financial variables of economic agents determine macroeconomic variables. Current models consider agents' variables that are determined by the sums of values and volumes of agents' trades during some time interval {\Delta}.…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
System dynamics is a methodology that is widely used in many academic fields. It explains the behavior of social and economic systems with models that capture complex causality and feedback effects. This 'practice paper' discusses the…
The increasing richness in volume, and especially types of data in the financial domain provides unprecedented opportunities to understand the stock market more comprehensively and makes the price prediction more accurate than before.…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
With the widespread engineering applications ranging from artificial intelligence and big data decision-making, originally a lot of tedious financial data processing, processing and analysis have become more and more convenient and…
Stock return forecasting is of utmost importance in the business world. This has been the favourite topic of research for many academicians since decades. Recently, regularization techniques have reported to tremendously increase the…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
We systematically investigate the links between price returns and Environment, Social and Governance (ESG) scores in the European equity market. Using interpretable machine learning, we examine whether ESG scores can explain the part of…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Human decision making by professionals trading daily in the stock market can be a daunting task. It includes decisions on whether to keep on investing or to exit a market subject to huge price swings, and how to price in news or rumors…