Related papers: A Levered ETF Anomaly Explained
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
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…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
In this paper, the ARMA(0,6)-GARCH(1,1) and ARMA(2,6)-eGARCH(1,1) models are constructed by applying ARMA and GARCH models to daily data of the CSI 300 and S&P 500 indices from 2018 to 2021, and the forecasts for the next 7 steps and the…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility of the S&P 500 index, after introducing the theoretical…
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of…
Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the underlying processes driving market movements.…
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who…
Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the (log)-volatilities of factors and residuals are themselves…
This study explores the relationship between R&D intensity, as a measure of innovation, and financial performance among S&P 500 companies over 100 quarters from 1998 to 2023, including multiple crisis periods. It challenges the conventional…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…