Related papers: Continuous Risk Factor Models: Analyzing Asset Cor…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
The purpose of this study is to estimate the correlation structure between multiple assets using financial text analysis. In recent years, as the background of elevating inflation in the global economy and monetary policy tightening by…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
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…
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s. Since then, many different financial series have been…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that…
We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
We introduce a novel covariance estimator for portfolio selection that adapts to the non-stationary or persistent heteroskedastic environments of financial time series by employing exponentially weighted averages and nonlinearly shrinking…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…