统计金融
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
We give emphasis on the use of chaos-based rigorous nonlinear technique called Visibility Graph Analysis, to study one economic time series - gold price of USA. This method can offer reliable results with fiinite data. This paper reports…
The accuracy of the household electricity consumption forecast is vital in taking better cost effective and energy efficient decisions. In order to design accurate, proper and efficient forecasting model, characteristics of the series have…
The cohomology theory for financial market can allow us to deform Kolmogorov space of time series data over time period with the explicit definition of eight market states in grand unified theory. The anti-de Sitter space induced from a…
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of…
We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have implemented an evolutionary algorithm for the…
In this paper, we search whether the Benford's law is applicable to monitor daily changes in sovereign Credit Default Swaps (CDS) quotes, which are acknowledged to be complex systems of economic content. This test is of paramount importance…
Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach…
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a…
This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in…
An extension of the nonlinear feedback (NLF) formalism to describe regimes of hyper- and high-inflation in economy is proposed in the present work. In the NLF model the consumer price index (CPI) exhibits a finite time singularity of the…
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using…
In this survey, a short introduction in the recent discovery of log-normally distributed market-technical trend data will be given. The results of the statistical evaluation of typical market-technical trend variables will be presented. It…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
This study extends and evaluates the forecasting performance of the Singular Spectrum Analysis (SSA) technique using a general non-linear form for the re- current formula. In this study, we consider 24 series measuring the monthly…
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$ in the market. We need a fortune of $M$…
We derive an explicit formula for likelihood function for Gaussian VARMA model conditioned on initial observables where the moving-average (MA) coefficients are scalar. For fixed MA coefficients the likelihood function is optimized in the…
Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated…
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in…