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.
Study forecasts stock returns on JSE using SGDLMs capturing cross-series dependencies.
Researchers validate LMF order-splitting theory using public JSE data.
Long short-term memory network outperforms seasonal model in JSE Top 40 forecasting.
The paper uses deep learning to detect financial market regimes from correlation matrices.
Study compares market microstructure between two South African exchanges.
We consider and extend the adversarial agent-based learning approach of Gy{ö}rfi {\it et al} to the situation of zero-cost portfolio selection implemented with a quadratic approximation derived from the mutual fund separation theorems. The algorithm is applied to daily sampled sequential Open-High-Low-Close data and se…
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we arg…
In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and we emphasize our models performance in distinct sub-periods. Our results are com…
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidence for the existence of a master curve for price impact on the Johannesburg Stock Exchange (JSE). On attempting to re-estimate a master curve…
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators. We show the existence of the Epps effect in the top 10 stocks from the Johannesburg Stock Exchange (JSE) by various methods of aggregating Trade …
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C against ra…
We investigate serial correlation, periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. Periodic, or calendar, components are dete…
The study uses machine learning to predict financial market trends.