Related papers: Evolving efficiency of the BRICS markets
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different…
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to…
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
A novel spatiotemporal framework using diverse econometric approaches is proposed in this research to analyze relationships among eight economy-wide variables in varying market conditions. Employing Vector Autoregression (VAR) and Granger…
Simulations with an adaptive time-dependent bias, such as metadynamics, enable an efficient exploration of the conformational space of a system. However, the dynamic information of the system is altered by the bias. With infrequent…
The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-and-trade mechanism as a financial market. Analyzing the…
The empirical literature provides mixed results on the relationship between inflation and unemployment, therefore, there is no consensus on validity and stability of the Phillips Curve. It also seems to be closely related with…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
We formulate a recursive estimation problem for multiple dynamical systems coupled through a low dimensional stochastic input, and we propose an efficient sub-optimal solution. The suggested approach is an approximation of the Kalman filter…
This research aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market, and evaluate its return and risk by applying three different scenarios. We…
We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $\psi_1=\lambda_{\max}/N$ of S\&P 500 60-day rolling…
This study examines the relationship between trade openness, logistics performance, and economic growth within G20 economies. Using a Bootstrap Autoregressive Distributed Lag (ARDL) model augmented by a dynamic error correction mechanism…
Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and…
The COVID-19 pandemic has generated disruptive changes in many fields. Here we focus on the relationship between the anxiety felt by people during the pandemic and the trust in the future performance of financial markets. Precisely, we move…
The market efficiency hypothesis has been proposed to explain the behavior of time series of stock markets. The Black-Scholes model (B-S) for example, is based on the assumption that markets are efficient. As a consequence, it is…
We investigate the relationship between market efficiency of rice futures transaction in Osaka and the Japanese government intervention in rice distributions by directly buying and selling rice during the interwar period, from the middle…
Our paper presents a methodology to study the heterogeneous effects of economy-wide shocks and applies it to the case of the impact of the COVID-19 crisis on exports. This methodology is applicable in scenarios where the pervasive nature of…
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…
We introduce the Dynamic Conditional SKEPTIC (DCS), a semiparametric approach for efficiently and robustly estimating time-varying correlations in multivariate models. We exploit nonparametric rank-based statistics, namely Spearman's rho…