Related papers: Interdependence between Green Financial Instrument…
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the S&P 500 index beating the Buy and Hold…
Accompanying rapid industrialization, humans are suffering from serious air pollution problems. The demand for air quality prediction is becoming more and more important to the government's policy-making and people's daily life. In this…
Across the Artificial Intelligence (AI) lifecycle - from hardware to development, deployment, and reuse - burdens span energy, carbon, water, and embodied impacts. Cloud provider tools improve transparency but remain heterogeneous and often…
We review the main tools which allow for the statistical characterization of weighted networks. We then present two case studies, the airline connection network and the scientific collaboration network, which are representative of critical…
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are…
We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…
Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this…
We consider two applications where we study how dependence structure between many variables is linked to external network data. We first study the interplay between social media connectedness and the co-evolution of the COVID-19 pandemic…
We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence…
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the…
We propose a statistical tool to compare the scaling behaviour of turbulence in pairs of molecular cloud maps. Using artificial maps with well defined spatial properties, we calibrate the method and test its limitations to ultimately apply…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
In the 20th century, individual technology products like the generator, telephone, and automobile were connected to form many of the large-scale, complex, infrastructure networks we know today: the power grid, the communication…
Rare earth elements (REEs) are critical to a wide range of clean and high-tech applications, yet global trade dependencies expose countries to vulnerabilities across production networks. Here, we construct a multi-tiered input-output trade…
This paper examines the pivotal role central banks play in advancing sustainable finance, a crucial component in addressing global environmental and social challenges. As supervisors of financial stability and economic growth, central banks…
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and…
Financial literature consists of ample research on similarity and comparison of financial assets and securities such as stocks, bonds, mutual funds, etc. However, going beyond correlations or aggregate statistics has been arduous since…
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible…
We propose an evolutionary competition model to investigate the green transition of firms, highlighting the role of adjustment costs, dynamically adjusted transition risk, and green technology progress in this process. Firms base their…