相关论文: Interdependence between Green Financial Instrument…

The amount of software running on mobile devices is constantly growing as consumers and industry purchase more battery powered devices. On the other hand, tools that provide developers with feed- back on how their software changes affect…

This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the…

Connectivity patterns of ecological elements are often the core concern of ecologists working at multiple levels of organization (e.g., populations, ecosystems, and landscapes) because these patterns often reflect the forces shaping the…

Measurement and management of credit concentration risk is critical for banks and relevant for micro-prudential requirements. While several methods exist for measuring credit concentration risk within institutions, the systemic effect of…

The behavior of complex systems is determined not only by the topological organization of their interconnections but also by the dynamical processes taking place among their constituents. A faithful modeling of the dynamics is essential…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

The extensive adoption of web technologies in the finance and investment sectors has led to an explosion of financial data, which contributes to the complexity of the forecasting task. Traditional machine learning models exhibit limitations…

We propose an evolutionary model to study the transition toward green technology under the influence of innovation. Clean and dirty technologies are selected according to their profitability under an environmental tax, which depends on the…

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…

Incorporating environmental, social, and governance (ESG) considerations into systematic investments has drawn numerous attention recently. In this paper, we focus on the ESG events in financial news flow and exploring the predictive power…

We analyse a multiplex of networks between OECD countries during the decade 2002-2010, which consists of five financial layers, given by foreign direct investment, equity securities, short-term, long-term and total debt securities, and five…

Financial technology (FinTech) has drawn much attention among investors and companies. While conventional stock analysis in FinTech targets at predicting stock prices, less effort is made for profitable stock recommendation. Besides, in…

We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using potentially skewed distributions, allowing for asymmetric…

We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…

This manuscript introduces deep learning models that simultaneously describe the dynamics of several yield curves. We aim to learn the dependence structure among the different yield curves induced by the globalization of financial markets…

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family…

We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…

This work addresses the intrinsic relationship between trees and networks (i.e. graphs). A complete (invertible) mapping is presented which allows trees to be mapped into weighted graphs and then backmapped into the original tree without…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…