相关论文: Time and Frequency Structure of Causal Correlation…

This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality…

Traditionally, statistical and causal inference on human subjects rely on the assumption that individuals are independently affected by treatments or exposures. However, recently there has been increasing interest in settings, such as…

Relationship lending is broadly interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify the strength of a lending relationship, while simple statistics such as the…

The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…

In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…

This paper proposes novel inferential procedures for discovering the network Granger causality in high-dimensional vector autoregressive models. In particular, we mainly offer two multiple testing procedures designed to control the false…

The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the…

Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here,…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

This study employs the annual unbalanced panel data of 42 listed banks in China from 2006 to 2021, adopts the non-radial and non-oriented super-efficiency Data envelopment analysis (Super-SBM-UND-VRS based DEA) model considering NPL as…

Causal inference is a critical research topic across many domains, such as statistics, computer science, education, public policy and economics, for decades. Nowadays, estimating causal effect from observational data has become an appealing…

Financial crises often occur without warning, yet markets leading up to these events display increasing volatility and complex interdependencies across multiple sectors. This study proposes a novel approach to predicting market crises by…

This paper addresses the structure and dynamics of an open market economy and its relations with the real interest rate. In this respect, the paper is situated within a broad conventional literature. However, it departs from the standard…

Financial markets are complex adaptive systems, and are commonly studied as complex networks. Most of such studies fall short in two respects: they do not account for non-linearity of the studied relationships, and they create one network…

We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock…

In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…

We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…

In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…

Weather conditions significantly influence the formation and dispersion of pollution variations. Here we study networks of pollution as well as climate networks and find that pollutants may not only have an impact close to their source but…

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…