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.
Gold prices show seasonal behavior, with January and July having opposite returns.
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhi…
We give emphasis on the use of chaos-based rigorous nonlinear technique called Visibility Graph Analysis, to study one economic time series - gold price of USA. This method can offer reliable results with fiinite data. This paper reports the result of such an analysis on the times series depicting the fluctuation of go…
There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Ex…
The paper analyzes gold, oil, and bitcoin futures volatility and basis.
Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold p…
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality go…
Introduces a new stationary GE-process for gold price analysis.
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under different gold market conditions, while considering the nuances of uncertainty levels. …
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based on that week's closing exchange rate. Though a good correlation was obtained duri…
Bi-LSTM with attention predicts gold and bitcoin prices accurately.
We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying asset price difference can be derived as ARMA(1,1) process. For validation of the…
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In revisiting the role of gold, our study proposes new insights into the literature. First, our empirical design relaxes the as…
Achilles predicts Gold vs USD with a profitable trading bot.
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active…
This paper clarifies Bitcoin's volatility and predictability across daily, weekly, and monthly scales.
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but also to ``anti-bubbles'' with decelerating market devaluations following all-time highs. For this, we propose a simple marke…
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable timing of the "burst of the gold bubble" is April - June 2011. The obtained resul…
Study compares Bitcoin, gold, and gas price complexity using multifractal and multiscale entropy methods.
This study compares Bitcoin and Litecoin using cryptocurrency metrics and trading strategies.
Study of the forecasting models using large scale microblog discussions and the search behavior data can provide a good insight for better understanding the market movements. In this work we collected a dataset of 2 million tweets and search volume index (SVI from Google) for a period of June 2010 to September 2011. We…
This article continues our analysis of the gold price dynamics that was published in December 2010 (abs/1012.4118) and forecasted the possibility of the "burst of the gold bubble" in April - June 2011. Our recent analysis suggests the possibility of one more substantial fluctuation before the final collapse in July 201…
Improved MF-DFA model analyzes precious metals market efficiency and multifractality.
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013. Various multifractal variables, such as the generaliz…
Study examines Bitcoin's price history and identifies recurring events.
Study shows adding correlated features doesn't improve LSTM model interpretability for oil stocks.
Crypto-assets perform better than gold as safe-havens during market crashes.
Study predicts stock prices using historical data and sentiment analysis.
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental, macroeconomic, financial, speculative and technical determinants as well as the 2016 event…
Study compares altcoins to Bitcoin, analyzing their features and market performance.
Study uses BNs to predict cryptocurrency prices, improving accuracy with discretisation.
We devise a USDCHF trading strategy using the dynamics of gold as a filter. Our strategy involves modelling both USDCHF and gold using a coupled hidden Markov model (CHMM). The observations will be indicators, RSI and CCI, which will be used as triggers for our trading signals. Upon decoding the model in each iteration…
By elaborating on the notion of linear belief functions (Dempster 1990; Liu 1996), we propose an elementary approach to knowledge representation for expert systems using linear belief functions. We show how to use basic matrices to represent market information and financial knowledge, including complete ignorance, stat…
Investment strategies involving cryptocurrencies and VIX INDEX show positive impact in market performance.
Study reduces financial dynamics complexity using PCA for NASDAQ, oil, gold, and USD.
Forecast-to-fill strategy generates durable alpha in gold futures.
Conditional generative adversarial networks (cGANs) have gained a considerable attention in recent years due to its class-wise controllability and superior quality for complex generation tasks. We introduce a simple yet effective approach to improving cGANs by measuring the discrepancy between the data distribution and…
PPI++ outperforms gold-standard labels only if pseudo-labels are highly correlated.
Meta-Router optimizes LLM selection using gold-standard and preference-based data.
The private car license plates issued in Shanghai are bestowed the title of "the most expensive sheet iron all over the world", more expensive than gold. A citizen has to bid in an monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the mini…
Hybrid GARCH-GRU model improves volatility forecasting for financial assets.
Pairs trading strategy fails to outperform market benchmarks, but performs well during bear markets.
Our study proposes a new currency system to protect wealth from over-issued fiat and stablecoins.
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investmen…
Long-range correlation and fluctuation in the gold market time series of world's two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985-2013 we observe a long-range persistence of memory in the sequences of maxima (minima) of returns in successive ti…
During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on…
We show that the behaviour of Bitcoin has interesting similarities to stock and precious metal markets, such as gold and silver. We report that whilst Litecoin, the second largest cryptocurrency, closely follows Bitcoin's behaviour, it does not show all the reported properties of Bitcoin. Agreements between apparently …
Unified framework for learning with indirect supervision signals.