Related papers: Evolving efficiency of the BRICS markets
As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years…
We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of…
More and more countries show a significant slowdown in the number of new COVID-19 infections due to effective governmentally instituted lockdown and social distancing measures. We have analyzed the growth behavior of the top 25 most…
State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially for large systems with stochastic volatility. To tackle the…
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…
We study the effect of globalization of world economy between 1980 and 2010 by using network analysis technics on trade and GDP data of 71 countries in the world. We draw results distinguishing relatively developing and relatively developed…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
This study investigates the efficacy of Conditional Restricted Boltzmann Machines (CRBMs) for modeling high-dimensional financial time series and detecting systemic risk regimes. We extend the classical application of static Restricted…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the…
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…