Related papers: Evolving efficiency of the BRICS markets

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…

Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…

Energy efficiency gains in production and consumption are undisputed economic and environmental goals. However, potential energy savings derived from efficiency innovations may have short-lasting effects due to increased demand for more…

We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…

In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…

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…

In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…

In this paper, we study the trending behaviour of COVID-19 data at country level, and draw attention to some existing econometric tools which are potentially helpful to understand the trend better in future studies. In our empirical study,…

We introduce a practical method for incorporating equality and inequality constraints in global optimization methods based on stochastic interacting particle systems, specifically consensus-based optimization (CBO) and ensemble Kalman…

The long duration of the COVID-19 pandemic allowed for multiple bursts in the infection and death rates, the so-called epidemic waves. This complex behavior is no longer tractable by simple compartmental model and requires more…

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…

In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…

We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations before, during…

This study examined the relationship between trade facilitation and economic growth among the middle-income countries from 2010 to 2020 using 94 countries made up of 48 lower-middle-income countries and 46 upper-middle-income countries. The…

There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's surprise victory in the US presidential…

Since the COVID-19 pandemic, the number of investors in the Indonesia Stock Exchange has steadily increased, emphasizing the importance of portfolio optimization in balancing risk and return. The classical mean-variance optimization model,…

The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion consistent with the traditional requirements of the…

The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemic. Secondary data of…