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In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated,…
We create a ranking algorithm, the naive Bayes asset ranker. Our algorithm computes the posterior probability that individual assets will be ranked higher than other portfolio constituents. Unlike earlier algorithms, such as the weighted…
Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
This paper proposes a governing equation for stock market indexes that accounts for non-stationary effects. This is a linear Fokker-Planck equation (FPE) that describes the time evolution of the probability distribution function (PDF) of…
This paper compares and contrasts stationarity between the conventional stock market and cryptocurrency. The dataset used for the analysis is the intraday price indices of the S&P500 from 1996 to 2023 and the intraday Bitcoin indices from…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or…
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number of variations in holdings between consecutive reporting…
Systematic Investment Plans (SIPs) are a primary vehicle for retail equity participation in India, yet the impact of their intra-month timing remains underexplored. This study offers a 22-year (2003--2024) comparative analysis of SIP…
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…
A phenomenon of the financial log-periodicity is discussed and the characteristics that amplify its predictive potential are elaborated. The principal one is self-similarity that obeys across all the time scales. Furthermore the same…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC,…
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on their greenhouse gas emission levels, we find that, on average,…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
We show that the frequent claim that the implied tree prices exotic options consistently with the market is untrue if the local volatilities are subject to change and the market is arbitrage-free. In the process, we analyse -- in the most…
Earnings announcements (EADs) are corporate events that provide investors with fundamentally important information. The prospect of stock price rises may also contribute to EADs increased volatility. Using data on extremely short term…
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…