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 analyzes fluctuations in Mexican financial market index.
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. The st…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indices…
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dyna…
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribu…
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results sh…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial insti…
In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively as…
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally…
The paper proposes a new portfolio allocation method combining RMT and machine learning.
Study the Mexican stock market's interdependency structure from 2000-2019.
It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market index (IPC) for different periods of its historical daily data, showing evidence…
Financial markets are systems with the complex behavior, that can be hardly analyzed by means of linear methods. Recurrence Quantification Analysis (RQA) is a nonlinear methodology, which is able to work with the nonstationary and short data series. Thus, we apply RQA for the studying of the critical events on financia…
In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), s…
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivativ…
The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in particular the counterparty credit risk began to to be considered and quantified. Cons…
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…
Kernel extreme learning machine (KELM) is a novel feedforward neural network, which is widely used in classification problems. To some extent, it solves the existing problems of the invalid nodes and the large computational complexity in ELM. However, the traditional KELM classifier usually has a low test accuracy when…
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form from empirical d…
Proposes LSTM for financial market trend forecasting.
K-means algorithm improves financial market risk prediction accuracy.
This study evaluates prewar Japanese financial market efficiency using time-varying models.
MarS simulates financial markets using generative models.
This study uses AI to analyze financial market coverage from YouTube videos.
This paper measures financial market resilience in China and identifies key uncertainties.
Study completes financial markets in complex models without external probabilities.
Study compares financial and gambling markets, finding similarities and potential applications.
Study systemic risk measures adjusted to financial markets.
Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, New…
The paper introduces a new financial market for environmental indices to attract investors.
Financial models shape markets through performativity, creating self-fulfilling prophecies.
Study financial market graphs with Laplacian constraints.
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, ma…
FININ predicts financial markets by modeling news interactions and influence.
Financial markets modeled like brain networks using dMNC.
Model financial markets with social media influences using hierarchical networks.
Examines financial market patterns across 150 years and regions.
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals a…
Study shows financial value of weak information converges in discrete vs continuous markets.
Study evaluates cryptocurrency markets, focusing on Bitcoin.
Simulation reveals relationships in stock market pyramid schemes.
Market-GAN adds context control to financial market data generation.
SHIFT simulates realistic financial markets for research and industry.
Empirical evidence supports new financial market definitions.
Enhanced stock market strategy using stress index and financial news sentiment analysis.
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and side effects. A computer simulation using an agent-based model can directly treat…
Modeling financial chaos with market makers' risk appetite.
Study explores financial market linkages between Japan and US markets.