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The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…
Deciding when to buy or sell a stock is not an easy task because the market is hard to predict, being influenced by political and economic factors. Thus, methodologies based on computational intelligence have been applied to this…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
This paper explores the application of Sample Entropy (SampEn) as a sophisticated tool for quantifying and predicting volatility in international oil price returns. SampEn, known for its ability to capture underlying patterns and predict…
Predicting stock price movements during Earnings Announcements (EAs) is a significant challenge due to market noise and high-impact price discontinuities. In this study, we evaluate whether pre-announcement news sentiment, firm…
Earth System Models (ESMs) are the state of the art for projecting the effects of climate change. However, longstanding uncertainties in their ability to simulate regional and local precipitation extremes and related processes inhibit…
The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
The stock market prediction has always been crucial for stakeholders, traders and investors. We developed an ensemble Long Short Term Memory (LSTM) model that includes two-time frequencies (annual and daily parameters) in order to predict…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…
Financial markets are an intriguing place that offer investors the potential to gain large profits if timed correctly. Unfortunately, the dynamic, non-linear nature of financial markets makes it extremely hard to predict future price…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…