With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the return-volatility correlation of the time series, while other characteristics, such as the…
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48 results for “Financial Returns”
Flexible Tails for Normalising Flows, with Application to the Modelling of Financial Return Datastat.ML
Proposes a method to model financial returns with extreme shocks using flexible tail transformations.
problem Capturing extreme shocks in financial return data.
method Introduces a transformation layer in normalizing flows to model heavy-tailed distributions.
result Trained models can generate synthetic sets of extreme returns.
The paper examines how randomness in forex returns increases during financial crises.
problem Measuring randomness in forex returns during financial crises.
method Approximate Entropy and Sample Entropy statistics.
result Randomness in forex returns decreases during financial crises, as evidenced by lower entropy values.
A new method models financial returns by separating sign and magnitude, improving forecasting accuracy.
problem Capturing nonlinear predictability in financial return dynamics.
method Decomposes returns into sign and magnitude components, using a joint distribution model.
result Significantly outperforms traditional linear models in forecasting U.S. stock market returns.
The study explains stock return distributions using reaction functions.
problem Stock return distributions often deviate from normal distributions.
method Assumes normal event/information effects, financial over/underreaction, proposes reaction function model.
result Financial markets often underreact to minor events, overreact to significant ones, and react stronger to positive events.
Model predicts risk-adjusted returns across various financial markets.
problem Stationary models fail in predicting risk-adjusted returns due to market regime changes.
method Asset-independent regime-switching model using hidden Markov models.
result Accurately detects bull, bear, and high volatility periods for improved risk-adjusted returns.
Study compares various non-Gaussian models for financial returns.
problem Leptokurtic, heavy-tailed financial returns defy Gaussian assumptions.
method Compared and simulated various non-Gaussian models using Monte Carlo.
result Consistency in modeling scaling properties of large price changes.
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin fi…
The thesis models financial returns using mixtures of generalized normal distributions.
problem Estimation issues in financial return analysis.
method Mixtures of generalized normal distributions (MGND), ECM/GEM algorithms, constrained mixture models (CMGND), GND-HMMs.
result Enhanced accuracy and interpretability in financial return modeling.
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
problem Regulation of insider trading before and after the UK Financial Services Act 2012.
method Event study methodology using abnormal returns analysis.
result Abnormal returns were reduced after the FCA took over from the FSA.
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and "systemic", "productive", and "nonproductive" risk. Generally, when the number of funds does not exceed the number of periods, the expected return of a portfolio is an affine function of its pr…
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and in the risk dynamics. The model is simulated and the results are compared with …
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market volatility is considered in the proposed model as a long-range memory stochastic vari…
Complex network analysis reveals dominant stocks in financial stock returns correlations.
problem Inferring financial stock returns correlations from complex network analysis.
method Simulated geometric Brownian motion for stocks, complex network analysis, eigenvector centrality, clustering.
result Returns correlation matrix is dominated by stocks with high eigenvector centrality and clustering.
An artificial agent for financial risk and returns' prediction is built with a modular cognitive system comprised of interconnected recurrent neural networks, such that the agent learns to predict the financial returns, and learns to predict the squared deviation around these predicted returns. These two expectations a…
A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GAR…
Quantum walks model financial returns with flexibility and asymmetry.
problem Accurate modeling of financial asset price dynamics.
method Discrete-time quantum walks to model asset price evolution.
result Quantum walk models can generate asymmetric return distributions and higher probabilities for extreme events.
Study introduces a new copula-based measure for financial asset cointegration.
problem Traditional correlation coefficient's limitations in measuring financial asset relationships.
method Utilizes copulas to measure dependence among financial asset returns.
result Enhanced stability and informativeness in measuring financial asset relationships.
Deep neural networks forecast financial return distributions accurately.
problem Forecasting probability distributions of financial returns.
method Used 1D CNN and LSTM architectures with custom loss functions to optimize distribution parameters.
result LSTM with skewed Student's t distribution outperformed classical models in multiple evaluation metrics.
Characterizing asymmetric and bimodal long-term financial return distributions through quantum walksq-fin.ST
Quantum walk model captures asymmetry and bimodality in long-term financial returns.
problem Inadequate classical models for long-term financial return distributions.
method Discrete-time quantum walk model.
result Captures bimodal and asymmetric probability distributions.
New financial dataset and model detect claims affecting market returns.
problem Detecting analyst claims' impact on financial markets.
method Constructed new dataset, used weak-supervision model with SME knowledge.
result Outperformed existing models in claim detection and market analysis.
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large fluctuations within the financial…
Study finds investor sentiment has a significant positive relationship with stock returns in Moroccan and Tunisian markets.
problem Investor sentiment and stock returns relationship in Moroccan and Tunisian markets.
method Used indirect measures of investor sentiment (SENT and ARMS) and Granger causality tests.
result Sentiment has a significant positive relationship with stock returns, but not the other way around.
Modeling stylized facts for financial time seriescond-mat.other
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an approximate scaling and heavy tails of the return distributions, long-ranged volat…
New model uses financial news to predict stock returns.
problem Predicting stock returns based on financial news.
method Derive company embedding vectors from news, select basis assets, and use statistical methods.
result NEUS model outperforms Fama-French 5-factor model.
The article models financial asset returns using Gaussian mixtures and EVT-based copulas to price equity options.
problem Modeling financial asset returns and pricing equity options considering extreme values.
method Modeling marginal distributions with Gaussian mixtures and joint dependence structure with EVT-based copulas.
result The approach accurately prices various equity options on Atos and Dassault Systems actions.
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are challenged to distinguish actual financial market returns from random temporal permut…
VAIOM models financial returns using continuous input and categorical output.
problem Modeling continuous, noisy, and heterogeneous financial data.
method VAIOM is a decoder-only Transformer that separates input representation from output likelihood.
result VAIOM models outperform fixed single-bar LightGBM baseline in both Test halves.
Simulations of financial markets in a Potts-like modelcond-mat.other
A three-state model based on the Potts model is proposed to simulate financial markets. The three states are assigned to "buy", "sell" and "inactive" states. The model shows the main stylized facts observed in the financial market: fat-tailed distributions of returns and long time correlations in the absolute returns. …
Study detects signal in financial stock correlations using phase-ordering kinetics.
problem Detecting meaningful signals in financial stock return correlations.
method Stochastic field theory model to establish a detection threshold.
result Detection of a signal in the largest eigenvalues of the stock return correlation matrix.
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical methodology to financial uninterrupted daily trends returns and to other derive…
New method uses impact IRR to assess impact investments.
problem Determining financial returns of impact investments remains challenging.
method Adapts modern portfolio theory and financial tools to evaluate impact investments.
result Demonstrates the feasibility and utility of impact IRR for optimizing impact investments.
A new model captures financial asset returns' tail behaviors and outperforms GARCH family.
problem Capturing the dynamic tail behaviors of financial asset returns.
method Combines LSTM with a novel parametric quantile function.
result Out-of-sample forecasts of conditional quantiles or VaR outperform GARCH family.
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. This especially occurs on s…
Modeling financial returns as conditionally independent random variables explains power-law tails.
problem Understanding the distribution of financial returns and their relation to volatility.
method Assuming returns are conditionally independent given volatility, which varies randomly over time.
result Returns distribution can be described by the sum of conditionally independent random variables, showing scaling and power-law tails.
Study forecasts cryptocurrency returns using LOB data and Hawkes model.
problem Predicting cryptocurrency returns due to their chaotic nature.
method Hawkes model applied to LOB data with COE model.
result Outperforms benchmarks in cryptocurrency return sign forecasting.
In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is possible to get a new f…
The paper introduces a new method for forecasting financial risk using quantile-based modeling.
problem Forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) for financial returns.
method Semiparametric approach using restricted quantile regression to model the conditional scale of financial returns.
result The method provides robust, distribution-free estimates of extreme losses and captures risk dynamics.
The paper models financial returns data with measurement error.
problem Modeling measurement error in financial returns data.
method Develops a stochastic model using a Lévy process and approximates the joint transition density via a stick-breaking representation. Implements MCMC and multilevel MCMC algorithms.
result Provides an approximation and sampling methods for Bayesian parameter estimation of the model.
Firm financials are well established as return predictors, being the inspiration for a large set of anomalies in the asset pricing literature. Employing topological data analysis we revisit the question of association between seven of the most commonly studied financial ratios and stock returns. Specifically the TDA Ba…
We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolu…
A3T-GCN model forecasts FTSE100 stock prices using technical indicators and financial ratios.
problem Forecasting closing stock prices of FTSE100 constituents.
method Hybrid A3T-GCN architecture using technical indicators, financial ratios, and sector correlations.
result A3T-GCN model improves prediction accuracy with annualized log-returns and shorter sequence lengths.
CSHT predicts financial returns from news using a novel transformer model on a sphere.
problem Financial forecasting from news and sentiment.
method Granger-causal hypergraph structure, Riemannian geometry, causally masked Transformer attention.
result CSHT outperforms baselines in return prediction, regime classification, and asset ranking.
Modeling financial market dynamics with noise and fundamentalist agents.
problem Understanding opinion formation and market behavior in financial markets.
method Agent-based model with Erdös-Rényi random graph structure, incorporating anxiety parameter.
result Model accurately reproduces key market features like fat-tailed returns and volatility clustering.
Model captures asymmetric extreme events in financial returns.
problem Capturing asymmetric extreme events in financial returns.
method Two-tailed peak-over-threshold Hawkes model.
result Extreme losses contribute twice as much as gains but decay more quickly.
GARCH-UGH improves VaR estimation for financial risk management.
problem Dynamic estimation of extreme VaR in financial time series.
method AR-GARCH filtering followed by a bias-reduced extreme value estimator.
result GARCH-UGH estimates are more accurate than conventional methods.
Study examines how disturbances affect financial returns in Austrian forests.
problem Financial impact of disturbances on timberland returns in Austria.
method Applied probability theory to analyze two management regimes: even-aged and semi-stationary.
result Severe disturbances can lead to a shift from continuous-cover to even-aged forestry, affecting financial sensitivity.
Online learning rbfnet improves multi-horizon returns forecasts for financial time series.
problem Nonstationarity and concept drift in financial time series.
method Combines feature representation transfer with sequential optimisation.
result Online learning rbfnet outperforms random-walk and batch learners.