Related papers: Evolving efficiency of the BRICS markets
Financial markets are complex adaptive systems, and are commonly studied as complex networks. Most of such studies fall short in two respects: they do not account for non-linearity of the studied relationships, and they create one network…
We present four methods of assessing the diversification potential within a stock market, two of these are based on principal component analysis. They were applied to the Australian stock exchange for the years 2000 to 2014 and all show a…
Existing studies show that regulation is a major barrier to global economic integration. Nonetheless, identifying and measuring regulatory barriers remains a challenging task for scholars. I propose a novel approach to quantify regulatory…
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are…
We consider the problem of learning time-varying functions in a distributed fashion, where agents collect local information to collaboratively achieve a shared estimate. This task is particularly relevant in control applications, whenever…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain information on that drift by observing stock returns. Moreover, expert…
This study investigates the efficiency of some select stock markets. Using an improved wavelet estimator of long range dependence, we show evidence of long memory in the stock returns of some emerging Asian economies. However, developed…
This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one…
We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behavior close to what is observed in real markets. In…
This paper investigates waveform estimation (tracking) of the time-varying force in a two-level optomechanical system with backaction noise by Kalman filtering. It is assumed that the backaction and measurement noises are Gaussian and…
Based on administrative data of unemployed in Belgium, we estimate the labour market effects of three training programmes at various aggregation levels using Modified Causal Forests, a causal machine learning estimator. While all programmes…
This working paper uses a Dynamic Factor Model ('the model') to identify underlying factors contributing to the debt-induced economic crisis in the People's Democratic Republic of Laos ('Laos'). The analysis aims to use the latent…
To measure the impacts on U.S. rail and intermodal freight by economic disruptions of the 2007-09 Great Recession and the COVID-19 pandemic, this paper uses time series analysis with the AutoRegressive Integrated Moving Average (ARIMA)…
This paper extends the canonical model of epidemiology, SIRD model, to allow for time varying parameters for real-time measurement of the stance of the COVID-19 pandemic. Time variation in model parameters is captured using the generalized…
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII…
In this work, we consider a sensor selection drawn at random by a sampling with replacement policy for a linear time-invariant dynamical system subject to process and measurement noise. We employ the Kalman filter to estimate the state of…