Develops a method to improve price prediction algorithms using macro-financial indicators.
problem Tackles issues with small data-sets in price predictive algorithms.
method Trains separate classifiers on datasets from various countries, develops a three-level MLA, and creates an ASG transform.
result Shows that a predictive algorithm using macro-financial indicators can outperform one using only price statistics.
This paper analyses the relationship between BitCoin price and supply-demand fundamentals of BitCoin, global macro-financial indicators and BitCoin attractiveness for investors. Using daily data for the period 2009-2014 and applying time-series analytical mechanisms, we find that BitCoin market fundamentals and BitCoin…
Study analyzes crypto asset risk exposures using a divide-and-conquer approach.
problem Lack of high-frequency macro-financial proxies for estimating risk.
method Two-stage divide-and-conquer approach: first stage estimates idiosyncratic and market risk, second stage identifies latent economy-wide factors.
result Heterogeneous exposures to idiosyncratic and systematic risk across crypto assets.
Study assesses impact of CBDC on financial stability in dual-currency economy.
problem Impact of CBDC on financial stability in dual-currency economy (Romania).
method Integrated analytical framework combining econometrics, machine learning, and behavioural modelling. CBDC adoption probabilities estimated using XGBoost and logistic regression models. Liquidity stress simulations and VAR, MSVAR, SVAR models capture macro-financial transmission.
result CBDC uptake would be moderate, primarily driven by digital readiness and trust in the central bank.
The paper investigates non-linear and heavy-tailed predictability in transition-energy financial markets.
problem Incomplete representation of dependence structure in Gaussian-linear forecasting frameworks.
method Develops a hybrid forecasting framework combining Student-t Vector Autoregressions with nonlinear recurrent residual learning architectures.
result The proposed framework consistently improves predictive accuracy relative to conventional models, especially during macro-financial stress.
Study finds market inefficiencies vary by time scale, with news uncertainty key.
problem Evaluating scale-dependent informational efficiency of stock markets.
method Tensor-eigenvalue-based Financial Chaos Index, Granger causality, network analysis.
result Semi-strong form of EMH rejected at daily frequency, but not at monthly.
LLM generates coherent macroeconomic stress scenarios for portfolio risk assessment.
problem Macro-financial stress testing and portfolio risk assessment using traditional methods.
method Hybrid prompt-RAG pipeline combining structured prompting and retrieval of country fundamentals and news.
result LLM-generated scenarios yield stable tail-risk amplification with limited sensitivity to retrieval choices.
Model explains stock price bubbles through debt crises and financial crashes.
problem Analyzing financial fragility and stock price bubbles.
method Stock-flow consistent model integrating macroeconomic and financial market dynamics.
result Model demonstrates how credit expansion and crash risk lead to recurrent boom-bust cycles.
Neural ARFIMA model improves exchange rate forecasting for BRIC economies.
problem Forecasting exchange rates for emerging markets with long-term memory and nonlinear dynamics.
method Integrates ARFIMA for long-memory with neural networks for nonlinear approximation.
result NARFIMA model outperforms benchmarks in BRIC exchange rate forecasting.
Study uses BNs to predict cryptocurrency prices, improving accuracy with discretisation.
problem Predicting price movements in volatile cryptocurrency markets.
method Discretisation-aware Bayesian Networks with three methods and multiple bin counts.
result Equal interval with two bins provides best predictive performance.
How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment, but also significant differences across older and younger generations. We formalize experience-based …
The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic data post-statistical-data analysis and micro-simulation analysis. Theoretical exploration is carried out by using comparisons of some usual financial economy syste…
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures in a way…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes represent financial institutions, and links capture the size and maturity of assets (l…
SMC analysis reveals key transient effects in macroeconomic ABM.
problem Analysis of complex ABMs is challenging and often relies on ad hoc methods.
method Statistical model checking (SMC) implemented through MultiVeStA.
result Clear contrast across parameter families in macro-financial and structural sweeps.
Paper compares econometric models with machine learning for energy forecasting.
problem Tackles the trade-off between predictive accuracy and interpretability in energy markets.
method Integrates TVP-SVAR with copulas for forecasting energy--macro dynamics.
result Copula-enhanced econometric models provide interpretable insights while matching machine learning accuracy.
HANET combines LSTM and attention mechanisms for better financial forecasting.
problem Lack of distinct macroeconomic regimes in financial datasets.
method Hierarchical Cross-Attention mechanism integrating long-run macro contexts with high-frequency market dynamics.
result HANET outperforms neural forecasters, especially during turbulent periods.
This study examines financial spillovers in critical minerals investing, revealing ESG scores impact and role of energy and carbon markets.
problem Investment risks in critical minerals and their spillovers to energy and carbon markets.
method Time-varying parameter vector autoregression (TVP-VAR) model, split data into pre- and post-COVID-19 samples.
result ESG scores significantly impact spillovers, and specific ETFs act as net givers or receivers of volatility.
New composite indicators reveal hidden relationships between indicators.
problem Subjective aggregation of indicators leads to missed information.
method Used dimensionality reduction techniques (PCA, filtering, clustering) to reveal hidden relationships.
result Cluster-driven composite indicators outperform traditional ones in data reconstruction.
Optimal text-based indices track VIX and inflation.
problem Maximizing contemporaneous relation or predictive performance with target variables.
method Optimizing text-based indices focusing on VIX and inflation expectations.
result Superior performance compared to existing indices.
Indices of vector fields and 1-forms studied for singular varieties and actions.
problem Understanding indices of vector fields and 1-forms in various contexts.
method Generalization to singular varieties and actions of finite groups.
result New insights into indices of vector fields and 1-forms.
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…
This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were calculated. The results showed that although the average correlations of the global indice…
Financial market created for wellbeing indices to mitigate socioeconomic risks.
problem Risk mitigation in financial indices of socioeconomic wellbeing.
method Developed new quantitative measure, created financial market, and implemented insurance instruments.
result Optimal portfolio weights and efficient frontiers for wellbeing indices.
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations between principal components (PCs) and each asset, known as PC coefficients. A …
Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes …
The paper analyzes indices based on counting object pairs for assessing partition agreement in unsupervised learning.
problem The difficulty in interpreting overall indices like Rand and adjusted Rand indices.
method Analysis of three families of indices based on counting object pairs, decomposing overall indices into cluster-level indices.
result Overall indices based on pair-counting approach are sensitive to cluster size imbalance and provide limited information on smaller clusters.
The paper shows how reducible complexes affect local indicability.
problem The local indicability of subcomplexes in reducible complexes.
method Characterization of diagrammatic reducibility and application to local indicability.
result Injective labeled oriented trees are locally indicable if reducible of degree 2.
New Monte Carlo method outperforms existing strategy for estimating Sobol' indices.
problem Estimating first-and total-orders Sobol' indices accurately.
method Comparing two Monte Carlo estimators for Sobol' indices.
result New method outperforms current approach in accuracy.
Invariants for virtual and twisted links using affine indices.
problem Computing invariants for virtual and twisted links.
method Using affine indices to define invariants for virtual and twisted links.
result Invariants for virtual and twisted links computed using affine indices.
Paper simplifies Gittins indices calculation for bandits.
problem Difficulty in calculating Gittins indices for multi-armed bandits.
method Accessible general methodology for calculating Gittins indices.
result Removes computation barrier for Gittins indices.
Ranking stock indices based on causal influence using directed information graphs.
problem Identifying which countries exert the most economic influence in a subset of the global economy.
method Representing indices as nodes in a directed graph, estimating causal influences using directed information functional, ranking indices based on net-flow.
result Indices representing smaller economies can exert significant influence on larger economies.
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
Investigates local indicability of groups with circle homology presentations.
problem Conditions for local indicability in groups with circle homology presentations.
method Generalizes results for two-relator presentations to circle homology presentations.
result Extends results on local indicability to LOT groups and non-cycle-free Adian presentations.
Novel approach detects early warning indicators in complex systems.
problem Detecting abrupt transitions in complex systems.
method Directed anisotropic diffusion map and latent stochastic dynamical systems.
result Early warning indicators can detect tipping points in state transitions.
New algorithm forecasts health indicators for better equipment lifespan prediction.
problem Improving equipment lifespan prediction through health indicator forecasting.
method Generative + scenario matching approach using Gaussian Process.
result Superior performance compared to existing methods.
The paper studies topological indices of geometric operators on manifolds with fibered boundaries.
problem Investigating indices of geometric operators on manifolds with fibered boundaries.
method Defining K-groups relative to pushforward for boundary fibration, using groupoid deformation techniques to prove properties of indices.
result Indices of twisted geometric operators can be understood as index pairings over K-groups.
Research uses Sutte Indicator to predict stock market movements.
problem Predicting stock market movements accurately.
method Applied Sutte Indicator alongside SMA and MACD for comparison.
result Sutte Indicator shows better reliability in predicting stock movements.
New indices for determining cluster compactness and separability.
problem Challenges in identifying true clusters in data sets.
method Developed absolute cluster indices to measure compactness and separability.
result Demonstrated improved performance compared to existing indices.
Study fragility in global financial indices using network analysis.
problem Monitor fragility in global financial indices.
method Network-based approach to analyze daily closing prices of global financial indices.
result Network-centric measures reveal fragility in global financial indices.
We define analytic indices which involve the eta form and the analytic torsion form. We show that these indices are independent of the geometric choices made in their definitions, and hence are topological in nature.
Study shows HFT improves market liquidity indicators.
problem Impact of high-frequency trading on market liquidity.
method Agent-based simulations comparing HFT and non-HFT markets.
result All liquidity indicators improved in markets with HFTs.
This research simplifies computation of feature attribution methods under certain conditions.
problem Computational complexity of feature attribution methods, especially power indices.
method Identifying conditions for polynomial computation and introducing new indices.
result Conditions for efficient computation of feature attribution methods are identified.
The paper introduces a new financial market for environmental indices to attract investors.
problem Inherent risks and sustainability concerns in environmental investments.
method Quantitative measures, econometric analysis, dynamic asset pricing tools, and financial options.
result Monetization and construction of country-specific environmental indices as dollar-denominated assets.
This research finds three meta-indicators for university rankings.
problem Complexity in university ranking systems.
method Interpretable machine learning approach.
result Identified three meta-indicators: time, space, and relationships.
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We derive a representation theorem for dynamic coherent risk measures in terms of …
The study analyzes performance indices for class-imbalanced data and identifies conditions they must meet.
problem Distortions in performance indices under class imbalance.
method Identified two conditions for performance indices and analyzed four binary and five multi-class indices.
result Recommended appropriate indices for evaluating classifiers in class-imbalanced scenarios.
Extends coherence results to one-relator products of locally indicable groups.
problem Coherence in one-relator products of locally indicable groups.
method Developed new methods to extend results of Helfer, Wise, Louder, Wilton, and Brodsky.
result New proof of a theorem by Brodsky.