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.
The paper uses machine learning to predict the impact of the Ukraine crisis on financial markets.
Study uses high-frequency data to predict ruble depreciation during crisis.
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
Investor attention predicts global equity market volatility during Ukraine invasion.
Study financial crises using mathematical techniques to compare equity performance.
Unified framework maps financial market dynamics using TE and KM, revealing directional information flow.
Study reveals clusters of resilient and vulnerable Spanish agri-food firms post-Ukraine-Russia war.
Russia-Ukraine conflict impacts global agricultural futures and spot markets' extreme risks.
Study examines how war impacts financial entropy.
Study examines grain futures connectedness during Russia-Ukraine conflict.
Smooth functions on manifolds with degenerate singular submanifolds
Study analyzes crude oil futures markets using visibility graphs to understand their structure and dynamics.
Novel approach predicts long-term seasonal component of electricity prices for improved forecasting.
The paper investigates non-linear and heavy-tailed predictability in transition-energy financial markets.
Mathematical model predicts international trade and global economy dynamics.
This study proposes an equal-weight portfolio strategy to reduce risk compared to traditional ETFs.
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks gen…
Defines crisis transitions in pure exchange economies rigorously.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
Machine learning predicts US stock market crashes.
Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a result, appearance of economic crisis is determined by two points; that is, (a). …
We present a model of worldwide crisis contagion based on the Google matrix analysis of the world trade network obtained from the UN Comtrade database. The fraction of bankrupted countries exhibits an \textit{on-off} phase transition governed by a bankruptcy threshold related to the trade balance of the countries. …
We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest ei…
The study examines cross-border lending behavior from G7 countries, showing changes in driving factors after the 2008 financial crisis.
Python tool detects economic crises from S&P500 correlation data.
Study improves early warning models for currency and stock market crises.
This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.
Study reveals structural differences in financial networks near and far from crises using balance theory.
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of dynamic systems and the calculation of permutation entropy are used. It is shown th…
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using…
The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD 3.4 trillion losses from financial institutions around the world between 2007 and …
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective behaviour of markets during a financial crisis through cross-correlations between typi…
Corporate bond factor research is flawed due to measurement errors and ex-post filtering.
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
In an informal way, a number of thoughts on the financial crisis 2008 are presented from a physicist's viewpoint, considering the problem as a nonergodicity transition of a spin-glass type of system. Some tentative suggestions concerning the way out of the crisis are also discussed, concerning Keynesian "deficit spendi…
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution given the so-called crisis event. By consi…
Model shows how confidence feedback can lead to different crisis outcomes.
Support Vector Machine (SVM) is powerful classification technique based on the idea of structural risk minimization. Use of kernel function enables curse of dimensionality to be addressed. However, proper kernel function for certain problem is dependent on specific dataset and as such there is no good method on choice …
Decomposes financial networks to reveal cause-effect hierarchies during crises.
This paper intends to present the opportunities emerging for the national economy, out of the financial crisis. In particular the management of those, which arise from the commercial real estate owned property sector, defined by the author as crisis heritage management. On one hand, as real estate property prices are s…
The global financial crisis, beginning in 2008, took an historic toll on national economies around the world. Following equity market crashes, unemployment rates rose significantly in many countries: Italy was among those. What will be the impact of such large shocks on Italian healthcare finances? An empirical model f…
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This means that it is pertinent to understand the efficiency of these markets. This …
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investiga…
We prove that the refined approach -- our extension of the Yakovenko et al. formalism -- is universal in the sense that it describes well both household incomes in the European Union and the individual incomes in the United States for social classes of any income. This formalism allowed the study of the impact of the r…
In this work, the time chart of Dow Jones Industrial Average (DJIA) index is analyzed and approach of recession time term is predicted, which may be hallmark of a worldwide economic crisis. However, the methods used for the prediction will be disclosed a few years from now. On the other hand, this work will be updated …
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and topological changes is still poorly understood. Here we analyze the quarterly inter…
The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and the other global. Depending on the original source of the crisis, the overall siz…
During the onset of a disaster event, filtering relevant information from the social web data is challenging due to its sparse availability and practical limitations in labeling datasets of an ongoing crisis. In this paper, we hypothesize that unsupervised domain adaptation through multi-task learning can be a useful f…