Related papers: Breaking news
In 2018, allowance prices in the EU Emission Trading Scheme (EU ETS) experienced a run-up from persistently low levels in previous years. Regulators attribute this to a comprehensive reform in the same year, and are confident the new price…
When a quantity reaches a value higher (or lower) than its value at any time before, it is said to have made a record. We numerically study the statistical properties of records in the time series of order parameters in different models…
Recent research finds that forecasting electricity prices is very relevant. In many applications, it might be interesting to predict daily electricity prices by using their own lags or renewable energy sources. However, the recent turmoil…
Critical transitions, ubiquitous in nature and technology, necessitate anticipation to avert adverse outcomes. While many studies focus on bifurcation-induced tipping, where a control parameter change leads to destabilization, alternative…
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains inadequately explored, particularly at the minute-level…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale…
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction.…
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through…
The paper algorithmizes the problem of regime change point identification for data measured in a system exhibiting impulsive behaviors. This is a fundamental challenge for annotation of measurement data relevant, e.g., for designing…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
Over the last few years, machine learning based methods have been applied to extract information from news flow in the financial domain. However, this information has mostly been in the form of the financial sentiments contained in the news…
When models are inaccurate, the performance of model-based control will degrade. For linear quadratic control, an event-triggered learning framework is proposed that automatically detects inaccurate models and triggers the learning of a new…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
We examine how uncertain veracity of external news influences investor beliefs, market prices and corporate disclosures. Despite assuming independence between the news' veracity and the firm's endowment with private information, we find…
This article introduces a novel method for detecting distinctive structural changes in economic data, particularly within frequency distribution tables. The approach identifies significant shifts in the distribution of a variable over time…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
To understand the emergence of Ultrafast Extreme Events (UEEs), the influence of algorithmic trading or high-frequency traders is of major interest as they make it extremely difficult to intervene and to stabilize financial markets. In an…
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…