We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify th…
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48 results for “interest rate announcements”
Investigates how 'green' labels affect bond market dynamics.
problem Understanding the impact of 'green' labels on bond market trading activity.
method Used Hawkes processes and a moving average model to analyze high-frequency bond price dynamics.
result Differences in bond market dynamics emerge during periods with interest rate announcements, especially for energy market issuers.
Information Content of Financial Youtube Channel: Case Study of 3PROTV and Korean Stock Marketq-fin.PM
Study finds financial YouTube channel 3PROTV predicts stock market performance and sentiment changes.
problem Determining the informational value of financial YouTube channels.
method Analyzing 3PROTV's content and its impact on stock market performance and sentiment.
result 3PROTV's content, particularly negative sentiment, predicts stock market performance and sentiment changes.
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quanti…
Examines SOFR derivatives pricing and hedging post-LIBOR discontinuation.
problem Pricing and hedging of SOFR derivatives post-LIBOR discontinuation.
method One-factor model based on Vasicek's equation for overnight interest rates dynamics.
result Arbitrage-free pricing and hedging of SOFR derivatives instruments.
Investor emotions predict earnings announcements, but excitement lowers returns.
problem The impact of investor emotions on earnings announcements and their returns.
method Social media data analysis over a decade to test the relationship between investor emotions and earnings announcements.
result Excitement about earnings announcements is associated with lower announcement returns.
Bitcoin Does Not Hedge Inflationq-fin.PR
Bitcoin reacts negatively to inflation surprises, contrary to belief.
problem Bitcoin's ability to hedge inflation is questioned.
method Examined cryptocurrency responses to macroeconomic news announcements.
result Bitcoin's price decreases by 24 bps in response to inflationary surprises.
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily complex hypotheses in a computationally efficient way. We simulate return time series using a common factor model, and sho…
DeFi Lending During The Mergeq-fin.GN
DeFi lending protocols faced challenges during Ethereum's merge, but avoided major liquidations.
problem Ethereum's merge caused volatility and potential liquidations in DeFi lending.
method Analyzed AAVE and Compound lending protocols during the merge and hard fork.
result Borrowing rates spiked but no significant liquidations occurred.
This study examines how earnings announcements affect option volatility and pricing.
problem The impact of earnings announcements on option volatility and pricing.
method Analysis of extremely short-term options data to study bimodality and concavity in IV curves.
result Investors pay a premium to hedge against extreme volatility during earnings announcements in the presence of concave IV smiles.
Agol's announcement proved a full classification of certain Kleinian groups.
problem Classifying non-free Kleinian groups generated by two parabolic transformations.
method Full proof of Agol's announcement.
result Classification of non-free Kleinian groups generated by two parabolic transformations.
The study classifies policy announcements' impact on stock market volatility.
problem Evaluating the impact of Central Bank announcements on stock market volatility.
method Proposed a model-based classification method using Markov Switching dynamics and Multiplicative Error Model.
result Successful classification of 144 European Central Bank announcements on stock market volatility.
New drugs and stock market: how to predict pharma market reaction to clinical trial announcementsq-fin.ST
Predicts stock price changes based on clinical trial announcements.
problem Forecasting the impact of clinical trial results on pharma stock prices.
method BERT for sentiment analysis, Temporal Fusion Transformer for forecasting, graph convolution network for event relationships, gradient boosting for price change prediction.
result Identifies two crucial factors: drug portfolio size and network effect of related events.
This an announcement for the generalized asymptotic expansion of Tian-Yau-Zeldtich.
Media tone around earnings announcements predicts stock returns.
problem Determining if media tone around earnings announcements provides useful information for stock prices.
method Conducted an event study on media tone around earnings announcements for nonfinancial S&P 500 firms.
result Media tone around earnings announcements predicts abnormal stock returns.
Co-branding improves stock performance for firms.
problem Little research on co-branding's impact on firm stock value.
method Developed a conceptual framework and tested hypotheses.
result Co-branding events lead to positive abnormal returns.
This article is an exposition of a body of existing results, together with an announcement of recent results. We discuss a theory of polytopes associated to bipartite graphs and trinities, developed by Kálmán, Postnikov and others. This theory exhibits a variety of interesting duality and triality relations, and extend…
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 …
The above title is the same, but with "semisimple" instead of "simple," as that of a notice by N. Kowalsky. There, she announced many theorems on the subject of actions of simple Lie groups preserving a Lorentz structure. Unfortunately, she published proofs for essentially only half of the announced results before her …
Study uses Viber and street polls to estimate Belarus election ratings and turnout.
problem Obtaining accurate ratings of candidates in Belarus's banned polls.
method Bayesian multilevel regression with poststratification.
result Estimated ratings and turnout contradict official election results.
This study analyzes how the Indian stock market reacts to budget announcements using fractal methods.
problem Understanding the impact of Union Budget announcements on the Indian stock market.
method Utilizes fractal interpolation function and fractal dimensional analysis to study the NIFTY50 index over -15 to +15 days post-budget day.
result The budget announcements significantly affect the Indian stock market, as evidenced by average abnormal return and cumulative abnormal return.
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to earnings. We consider different…
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which has several advantages …
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is …
This thesis identifies share buybacks and predicts their impact on stock performance.
problem Recognizing and predicting the impact of share buybacks on stock performance.
method NLP approaches for automated detection of share buybacks, machine learning models for prediction.
result Most companies underperform after a share buyback, but some significantly outperform.
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock…
Study predicts stock price direction on earnings announcement days using multi-modal deep learning.
problem Predicting stock price movements during earnings announcements is challenging due to market noise and discontinuities.
method Constructed a multi-modal feature space combining fundamental metrics, technical indicators, and sentiment scores from financial news articles. Evaluated LSTM and Transformer models against a baseline.
result Transformer model outperforms LSTM in identifying volatile movements, achieving higher macro F1-score.
Study examines how COVID-19 affected India's exchange rates and stock market.
problem Impact of COVID-19 on India's financial markets during and after lockdown.
method Secondary data analysis using VAR models across different phases of lockdown and unlock.
result Increase in confirmed cases does not significantly affect exchange rate and stock market.
New framework predicts earnings announcements using press release content, surpassing earnings surprises.
problem Predicting stock returns based on earnings press releases.
method Compared traditional and BERT-based embeddings of press releases, finding content as informative as earnings surprises.
result FinBERT yields highest predictive power for earnings announcement returns.
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free short rate is a constant and the default event occurs in an expected manner whe…
Regulatory compliance is an organization's adherence to laws, regulations, guidelines and specifications relevant to its business. Compliance officers responsible for maintaining adherence constantly struggle to keep up with the large amount of changes in regulatory requirements. Keeping up with the changes entail two …
Comparing Alternatives to Measure the Impact of DDoS Attack Announcements on Target Stock Pricesq-fin.ST
The attack intensity of distributed denial of service (DDoS) attacks is increasing every year. Botnets based on internet of things (IOT) devices are now being used to conduct DDoS attacks. The estimation of direct and indirect economic damages caused by these attacks is a complex problem. One of the indirect damage of …
Configuration spaces of distinct labeled points on the plane are of practical relevance in designing safe control schemes for Automated Guided Vehicles (robots) in industrial settings. In this announcement, we consider the problem of the construction and classification of configuration spaces for graphs. Topological da…
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event occurs in an expected manner when the firm value reaches a given default barrie…
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
problem Understanding stock market reactions to macroeconomic news under varying levels of monetary uncertainty.
method Decomposes stock market response into cash flow and risk-free rate channels, analyzing time-varying effects.
result High monetary uncertainty weakens the positive stock market response to macroeconomic news.
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
NAPLES resolves lead-lag analysis challenges in non-synchronous high-frequency data.
problem Challenges in analyzing lead-lag effects due to non-synchronous observations and high-frequency data.
method NAPLES (Negative And Positive lead-lag EStimator) resolves these challenges.
result NAPLES has a strong correlation with actual lead-lag effects, including those triggered by macroeconomic announcements.
Endogenous Current Couponsq-fin.PR
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the cu…
Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approachq-fin.ST
This paper quantifies the impact of Dow Jones Sustainability Index listing on stock returns.
problem Measuring the impact of listing on the Dow Jones Sustainability Index.
method A matching portfolio approach to analyze pre- and post-listing returns.
result Cumulative abnormal returns are significantly positive in the weeks leading to the official announcement.
Green bond leaks impact equity markets, altering investor reactions.
problem Green bond leaks affect equity market reactions.
method Identified 259 instances of pre-announcement leaks in 2,036 green bond headlines.
result News leaks significantly alter equity trading dynamics and investor reactions.
Orbifold Quantum Cohomologymath.AG
This is a research announcement of the theory of orbifold quantum cohomology.
This is the first in a series of four papers (with research announcement posted on this arXiv) that together develop a decomposition theory for subgroups of Out(F_n). In this paper we develop further the theory of geometric EG strata of relative train track maps originally introduced in the work of Bestvina, Feighn, an…
This research improves DeFi interest rates using a PID control system.
problem Lack of adaptive interest rates in DeFi money markets.
method Introduces a time-weighted PID control system for interest rate management.
result Adaptive interest rates improve risk mitigation and market utilization.
Study shows monetary policy impacts digital assets like BTC and ETH.
problem Impact of monetary policy on digital assets and DeFi.
method Event study regressions and high-frequency price analysis.
result Monetary policy surprises negatively affect BTC and ETH but not other digital assets.
Interest rates mappingq-fin.ST
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Geostatistical models and machine le…
Study proposes optimal risk-aware interest rates for crypto lending protocols.
problem Determining optimal interest rates for decentralized lending protocols to maximize profit and minimize risk.
method Agent-based model, Riccati-type ODEs for linear behaviors, Monte-Carlo estimator and deep learning for nonlinear behaviors.
result Calibrated model shows superior risk-adjusted performance compared to industry-standard interest rate models.
The paper identifies key macroeconomic events affecting exchange rate volatility.
problem Understanding which macroeconomic events impact exchange rate volatility.
method Data-driven approach to select relevant macroeconomic events using sparsity-based methods.
result The identified macroeconomic events significantly impact exchange rate volatility.