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 improves stock price prediction by integrating international markets using deep learning.
Paper examines quantile dependence and volatility forecasting between US and international markets.
Paper uses neural networks to analyze oil price impact on Iranian stock and industry indices.
Proposes a framework to predict stock movements by integrating multi-order and internal dynamics.
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences …
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-…
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1…
In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When th…
The study measures home bias in stock portfolios of emerging and developed markets.
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…
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of…
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new h…
China's stock market reacts positively to PMI news but not to negative news.
One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which combines generalised autoregressive score copula functions with high frequency dat…
Modeling time-varying extreme value dependence in European stock markets.
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed…
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock …
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare …
Study uses AI to predict changes in international public finances based on US markets.
The paper limits the profitability of technical trading rules and finds they are not better than random trading.
The study improves stock market valuation using volatility and earnings data.
Combines SV and RNN models for stock market volatility.
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical …
This study analyzes stock trading networks to quantify price impacts based on trader positions.
Matrix H-theory models stock market fluctuations using hierarchical multivariate distributions.
Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An ``anti-bubble'' is defined as a self-fulfilling decreasing price created by positive price-to-price feedbacks feeding overal…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and ar…
In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking independent agents who gain from the market with a rate which depends on their current gain. We argue that this simple realistic rate generates a scale free distribution even though intr…
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (…
Co-branding improves stock performance for firms.
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supp…
Forecast stock return distributions using neural networks.
Model predicts stock market trends for better investment decisions.
The study reveals asymmetries in US financial shocks' international impacts.
Study reveals signatures of market crashes through eigenvalue analysis of stock return matrices.
Machine learning models show intermarket data can predict stock market performance better than expected.
Paper combines LSTM and Random Forest for better stock market predictions.
The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the period of rapid transformation of the market following liberalization. The eigenvalue…
Nowadays, when crashes and crises are rather frequent events, an effective monitoring system for the international financial market is needed. Modern nonlinear methods, such as Recurrence Quantification Analysis (RQA), demonstrate the ability to reveal the regularities of the system behavior. Thus, they can be useful f…
Investment risk on a regulated market is influenced by gold prices and oil trading.
Method detects phase transitions in financial markets using eigenvalue decomposition.
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently he…
Market crowd trading behavior and volume impact stock prices in China.
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends …
No significant cointegration found between Indian stock index, gold, and crude prices.
CNNs identify stock market trend endpoints based on expert opinion.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
Optimized execution model using interbank and internal liquidity.