统计金融
Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-over-threshold (2T-POT) Hawkes model that is adapted for…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
Assessing the predictive power of both data and models holds paramount significance in time-series machine learning applications. Yet, preparing time series data accurately and employing an appropriate measure for predictive power seems to…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
The ARIMA (Autoregressive Integrated Moving Average model) has extensive applications in the field of time series forecasting. However, the predictive performance of the ARIMA model is limited when dealing with data gaps or significant…
Firm disclosures about future prospects are crucial for corporate valuation and compliance with global regulations, such as the EU's MAR and the US's SEC Rule 10b-5 and RegFD. To comply with disclosure obligations, issuers must identify…
This study investigates the influence of monetary policy and monetary policy uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from July 2010 to August 2023, and employing the Markov Switching Means VAR (MSM-VAR)…
This paper presents a multi-label topic model for financial texts like ad-hoc announcements, 8-K filings, finance related news or annual reports. I train the model on a new financial multi-label database consisting of 3,044 German ad-hoc…
The European debt purchase market as measured by the total book value of purchased debt approached 25bn euros in 2020 and it was growing at double-digit rates. This is an example of how big the debt collection and debt purchase industry has…
Bitcoin as a cryptocurrency has been one of the most important digital coins and the first decentralized digital currency. Deep neural networks, on the other hand, has shown promising results recently; however, we require huge amount of…
Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce…
The rise of ChatGPT has brought a notable shift to the AI sector, with its exceptional conversational skills and deep grasp of language. Recognizing its value across different areas, our study investigates ChatGPT's capacity to predict…
Calculating true volatility is an essential task for option pricing and risk management. However, it is made difficult by market microstructure noise. Particle filtering has been proposed to solve this problem as it favorable statistical…
Financial performance management is at the core of business management and has historically relied on financial ratio analysis using Balance Sheet and Income Statement data to assess company performance as compared with competitors. Little…
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…
Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most…
Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the…
The stock market has been established since the 13th century, but in the current epoch of time, it is substantially more practicable to anticipate the stock market than it was at any other point in time due to the tools and data that are…
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed,…
Kardemir Karabuk Iron Steel Industry Trade & Co. Inc., ranked as the 24th largest industrial company in Turkey, offers three distinct stocks listed on the Borsa Istanbul: KRDMA, KRDMB, and KRDMD. These stocks, sharing the sole difference in…