相关论文: Coal Enterprise Management and Asynchronism of Ret…

We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…

There are several ideas being used today for Web information retrieval, and specifically in Web search engines. The PageRank algorithm is one of those that introduce a content-neutral ranking function over Web pages. This ranking is applied…

Cross-temporal forecast reconciliation aims to ensure consistency across forecasts made at different temporal and cross-sectional levels. We explore the relationships between sequential, iterative, and optimal combination approaches, and…

Co-branding has become a widely used marketing strategy, yet little attention has been paid to its impact on a firm's stock value. Prior literature has shown that using a co-branding strategy properly helps firms leverage the brand value…

Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and…

The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…

We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

This study presents a unified, distribution-aware, and complexity-informed framework for understanding equity return dynamics in the Indian market, using 34 years (1990 to 2024) of Nifty 50 index data. Addressing a key gap in the…

There is a great need to stock materials for production, but storing materials comes at a cost. Lack of organization in the inventory can result in a very high cost for the final product, in addition to generating other problems in the…

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…

Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in explaining stock returns when the analysis is allowed to…

The study focuses on the Impact of Employment Benefit Cots on the Profitability of Companies listed in the National Stock Exchange. The study has considered the Amount spent on Employment Benefit Cots as an Independent variable and Profit…

This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…

In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…

The internet has changed the way we live, work and take decisions. As it is the major modern resource for research, detailed data on internet usage exhibits vast amounts of behavioral information. This paper aims to answer the question…

Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…

In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by…

Applying a network analysis to stock return correlations, we study the dynamical properties of the network and how they correlate with the market return, finding meaningful variables that partially capture the complex dynamical processes of…

Firms with different ownership structures could be argued to have different levels of efficiency.Highly concentrated firms are expected to be more efficient as this type of ownership structure may alleviate the conflict of interest between…