A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Analyzes how inclusion/exclusion from STOXX Europe 600 Index affects company prices.
Dataset for rainfall modeling in central Europe from 1981-2011.
The DAO Report led to a significant shift of ICO activity to Europe.
We propose a methodological framework to study the dynamics of inter-regional investment flow in Europe from a Complex Networks perspective, an approach with recent proven success in many fields including economics. In this work we study the network of investment stocks in Europe at two different levels: first, we comp…
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
The 2007--2008 financial crisis has paved the way for the use of macroprudential policies in supervising the financial system as a whole. This paper views macroprudential oversight in Europe as a process, a sequence of activities with the ultimate aim of safeguarding financial stability. To conceptualize a process in t…
Modeling tech transfer to explain convergence in Central and Eastern Europe.
The study analyzes pricing and hedging of STCDOs using an affine model with a catastrophic risk component.
Study examines short-term stress of COVID-19 on major global stock indices.
Python tool assesses European agricultural production resilience.
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and pitfalls of SMA such as …
This summarizes the study of the financial and economic crisis in Europe. The starting questions were: 1) Why do we have a crisis? Unde venis? 2) What will be the outcome? Quo vadis? Here is the reasoning which touches many areas, ranging from financial to politics and from psychology and economy.
BESS shows potential in European markets for frequency support, but not for energy arbitrage.
Study identifies key drivers and spatio-temporal trends of extreme Mediterranean wildfires.
Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countri…
For long time the measurement of innovation has been in the forefront of policy makers' and researchers' agenda worldwide. Therefore, there is an ongoing debate about which indicators should be used to measure innovation. Recent approaches have favoured the use of composite innovation indicators. However, there is no c…
We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior o…
Data describing historical growth of income per capita [Gross Domestic Product per capita (GDP/cap)] for the world economic growth and for the growth in Western Europe, Eastern Europe, Asia, former USSR, Africa and Latin America are analysed. They follow closely the linearly-modulated hyperbolic distributions represent…
Historical economic growth in Latin America is analysed using the data of Maddison. Unified Growth Theory is found to be contradicted by these data in the same way as it is contradicted by the economic growth in Africa, Asia, former USSR, Western Europe, Eastern Europe and by the world economic growth. Paradoxically, U…
Paper uses HPCA for better stock correlation modeling.
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market…
Thanks to the recent availability of comprehensive and detailed online databases of startup companies, it has become possible to more directly investigate startup ecosystems i.e. startup populations in specific regions. In this paper, we analyze the emergence of 20+ such ecosystems in Europe and the USA, with a specifi…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to the relation between artificial insymmetrised patterns (AIP) and time series, st…
Study finds long memory in some emerging Asian stocks but not in developed markets.
Generative neural networks improve insurance market risk modeling.
Examines financial market patterns across 150 years and regions.
EnScale learns to downscale climate models efficiently, capturing both spatial and temporal consistency.
Electricity accounts for 25% of global greenhouse gas emissions. Reducing emissions related to electricity consumption requires accurate measurements readily available to consumers, regulators and investors. In this case study, we propose a new real-time consumption-based accounting approach based on flow tracing. This…
Paper evaluates different models for predicting credit default swap volatility.
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad r…
Research finds investors may lose from more diverse workplaces.
This paper studies the problem of learning clusters which are consistently present in different (continuously valued) representations of observed data. Our setup differs slightly from the standard approach of (co-) clustering as we use the fact that some form of `labeling' becomes available in this setup: a cluster is …
Study uses Kalman-Filter to assess market efficiency in major stock markets.
HSBC grew from colonial China through wars, surviving unethical practices.
In order to adapt to the liberalization of the financial sphere started in the Eighties, marked in particular by the end of the framing of credit, the disappearance of the various forms of protection of the State whose profited the banks, and the privatization of the near total of the establishments in Europe, the bank…
In this work, we introduce a recently developed early classification mechanism to satellite-based agricultural monitoring. It augments existing classification models by an additional stopping probability based on the previously seen information. This mechanism is end-to-end trainable and derives its stopping decision s…
We analyze the time series of the power loads of the 35 separated countries publicly sharing hourly data through ENTSO-E platform for more than 5 years. We apply the Multifractal Detrended Fluctuation Analysis for the demonstration of the multifractal nature, autocorrelation and the distribution function fundamentals. …
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using bilateral data on foreign claims between them. Banking statistics of consolidated…
Model predicts urban population using mobile data traffic.
Data mining revealed a cluster of economic, psychological, social and cultural indicators that in combination predicted corruption and wealth of European nations. This prosperity syndrome of self-reliant citizens, efficient division of labor, a sophisticated scientific community, and respect for the law, was clearly di…
Financial markets are extremely data-driven and regulated. Participants rely on notifications about significant events and background information that meet their requirements regarding timeliness, accuracy, and completeness. As one of Europe's leading providers of financial data and regulatory solutions vwd processes a…
DAUM networks improve weather forecasting with attention and multistream features.
The sharp decline in Ireland's economic performance in recent years has coincided with a recent fall in asylum applications. Simultaneously countries such as Switzerland are seeing increases in asylum numbers with evidence for greater numbers of Nigerian applicants, a group that have for some time been the largest nati…
This paper presents first steps toward robust models for crisis prediction. We conduct a horse race of conventional statistical methods and more recent machine learning methods as early-warning models. As individual models are in the literature most often built in isolation of other methods, the exercise is of high rel…
This paper models short rates with jumps using PDEs.
A new framework predicts stock movements using news sentiment and relational data.