arXiv research

The study finds significant financial sector volatility and tail risk spillovers to real economy sectors.

Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always yield easily interpretable results. In this study, we develop improved factor mo…

Proposes a two-stage sector rotation method using machine learning and deep learning.

Framework ranks sectors influenced by Indian Union Budgets.

For a finitely generated discrete group $Γ$, the $Γ$-sectors of an orbifold $Q$ are a disjoint union of orbifolds corresponding to homomorphisms from $Γ$ into a groupoid presenting $Q$. Here, we show that the inertia orbifold and $k$-multi-sectors are special cases of the $Γ$-sectors, and that the $Γ$-sectors are orbif…

Study compares information flow between Chinese and US stock sectors.

Market sectors play a key role in the efficient flow of capital through the modern Global economy. We analyze existing sectorization heuristics, and observe that the most popular - the GICS (which informs the S&P 500), and the NAICS (published by the U.S. Government) - are not entirely quantitatively driven, but rather…

Study uses multidimensional SE-NBD process to analyze default portfolios and identify shock amplification.

This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are violated. The characterist…

Study validates capital structure theories in Indian public sector banks.

Kurdistan Region is a tourist hub. This research analyzes other Non-Oil Sectors that have huge attractions of Foreign Direct Investments into the Kurdistan Region from 2005 to 2013. Comparative analysis was carried out between Iraq and the Region, and among influential Sectors of the Economy. T-test and ANOVA are stati…

Identifies key industrial sectors in S&P 500 states.

With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the business sectors (subsectors) are mainly contained in the sector mode. In the secto…

Time series analysis and forecasting of stock market prices has been a very active area of research over the last two decades. Availability of extremely fast and parallel architecture of computing and sophisticated algorithms has made it possible to extract, store, process and analyze high volume stock market time seri…

Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try to uncover the risk spreading channels by means of volatility spillovers within …

This study analyzes information flow networks in Chinese stock sectors using transfer entropy.

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default cor…

The paper analyzes Indian stock sectors using multifractal analysis for long and short-term investment.

This paper models default data to capture dynamic dependence across sectors.

Enhanced indexation with sector constraints using SSD for better portfolio performance.

Deep learning LSTM predicts stock prices for portfolio design in Indian sectors.

In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we consider separately life and non-life companies. To achieve this goal we apply …

Study develops sector rotation models using factor and fundamental analysis.

The purpose of this study is to measure the Total Factor Productivity (TFP) growth and determine the share of each of the economic growth sources in the mining sector of Iran. The time period of this study is 1355-1385 of the Solar Hijri calendar (roughly overlaying with the time period of 1976-2006 of the Gregorian ca…

Derivatives impact U.S. banking sector's systemic risk, but loan and leverage ratios are more significant.

In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the m…

This paper optimizes portfolios of thematic sector stocks using LSTM models.

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…

A classification of companies into sectors of the economy is important for macroeconomic analysis and for investments into the sector-specific financial indices and exchange traded funds (ETFs). Major industrial classification systems and financial indices have historically been based on expert opinion and developed ma…

Model predicts S&P 500 IT sector index prices with high accuracy.

This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…

The paper translates economic models into a field formalism to study capital accumulation and its fluctuations.

Paper uses LLMs for sector allocation, showing better returns.

Temporal coarse-graining of multi-sector default count data generates effective correlation matrices and rank copulas.

Statistical fields model explains capital allocation and accumulation among firms and investors.

New techniques identify shifts in financial market sectors.

The paper uses LSTM to predict stock prices and analyzes sector profitability.

We consider finite area convex Euclidean circular sectors. We prove a variational Polyakov formula which shows how the zeta-regularized determinant of the Laplacian varies with respect to the opening angle. Varying the angle corresponds to a conformal deformation in the direction of a conformal factor with a logarithmi…

The paper models financial markets and real economy interactions using a large agent framework.

Gradient-free ensemble learns sector forecasts from diverse models.

Bangladesh's banking sector improved through financial reforms, but challenges remain.

GARCH models predict stock volatility in Indian sectors.

Generative AI models enhance sector-based investment portfolios, but performance varies by market conditions.

We consider the sectoral composition of a country's GDP, i.e. the partitioning into agrarian, industrial, and service sectors. Exploring a simple system of differential equations we characterize the transfer of GDP shares between the sectors in the course of economic development. The model fits for the majority of coun…

Tech sector decouples from non-tech sectors post-2015, predicting economic growth.

We apply the recently developed reduced Google matrix algorithm for the analysis of the OECD-WTO world network of economic activities. This approach allows to determine interdependences and interactions of economy sectors of several countries, including China, Russia and USA, properly taking into account the influence …

The purpose of this study is to estimate the production function and examine the structure of production in the mining sector of Iran. Several studies have already been conducted in estimating production functions of various economic sectors; however, less attention has been paid to mining sectors. After examining the …

We consider the isoperimetric problem in planar sectors with density $r^{p}$, and with density $a>1$ inside the unit disk and $1$ outside. We characterize solutions as a function of sector angle. We also solve the isoperimetric problem in $\mathbb{R}^{n}$ with density $r^{p},\; p<0$.