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 (…
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48 results for “market integrity”
This paper examines the integration process of the Japanese major rice markets (Tokyo and Osaka) from 1881 to 1932. Using a non-Bayesian time-varying vector error correction model, we argue that the process strongly depended on the government's policy on the network system of the telegram and telephone; rice traders wi…
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…
Stock market integration in the Latin American markets: further evidence from nonlinear modelingq-fin.ST
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these …
Forecasting day-ahead electricity prices in Europe: the importance of considering market integrationq-fin.ST
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we propose a deep neural network that considers features from connected markets to improv…
Study forward investment performance in semimartingale markets with stochastic factors.
problem Investigate forward investment performance in incomplete semimartingale markets with power risk preferences and stochastic integrated factors.
method Develop necessary and sufficient conditions for FIPP existence, use integral representations, and solve ill-posed HJB equations.
result Explicit constructions for time-monotone FIPPs in semimartingale models, generalizing from Brownian to semimartingale markets.
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metrop…
Although recent studies have shown that electricity systems with shares of wind and solar above 80% can be affordable, economists have raised concerns about market integration. Correlated generation from variable renewable sources depresses market prices, which can cause wind and solar to cannibalise their own revenues…
Integrates CNN and GRU for precise stock market risk alerts.
problem Predicting future stock market risks and providing early warnings.
method Uses CNN for feature extraction and GRU for time series analysis.
result Effective early warnings of future stock market risks.
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, w…
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
problem Improving factor model evaluation in low-dimensional spaces.
method Lifts pricing errors into a bridge-alpha curve along the market-capitalization rank axis.
result The cap-axis norm is distinct from Sharpe gain and size exposure.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
problem Improving factor model evaluation for low-dimensional models.
method Lifts pricing errors into a bridge-alpha curve along the market-capitalization rank axis.
result The cap-axis norm is distinct from Sharpe gain and size exposure.
Integrating the implied regularity into implied volatility models: A study on free arbitrage modelq-fin.CP
Study integrates implied Hurst exponent into IV models for better market efficiency.
problem Capturing market efficiency in IV models based on moneyness.
method Developed an IV model integrating implied Hurst exponent H, optimizing across multiple indexes.
result Model outperforms SABR and fSABR in accuracy, capturing IV-H dynamics.
We consider a market with fractional Brownian motion with stochastic integrals generated by the Riemann sums. We found that this market is arbitrage free if admissible strategies that are using observations with an arbitrarily small delay. Moreover, we found that this approach eliminates the discontinuity of the stocha…
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bustq-fin.PM
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing markets. Results reveal a hi…
Established PFPPs in complete markets, solving integral equations.
problem Existence of Predictable Forward Performance Processes in complete markets.
method Solving a one-period integral equation using Fourier transform for tempered distributions.
result Closed-form solutions for PFPPs with inverse marginal functions that are completely monotonic.
Paper solves a complex portfolio selection problem with time-inconsistent preferences.
problem Time-inconsistent preferences in portfolio selection.
method Unified framework with minimal assumptions, proving existence and uniqueness of solution.
result Existence and uniqueness of square-integrable solution for the integral equation.
Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effectsq-fin.ST
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard s…
DGRCL integrates dynamic and static graph relations for financial market prediction.
problem Capturing the evolving nature of stock markets while considering both temporal changes and static relational structures.
method Dynamic Graph Representation with Contrastive Learning (DGRCL) framework, including Embedding Enhancement (EE) and Contrastive Constrained Training (CCT) modules.
result DGRCL significantly outperforms state-of-the-art TGL baselines on NASDAQ and NYSE datasets.
Institutional Adoption and Correlation Dynamics: Bitcoin's Evolving Role in Financial Marketsq-fin.PM
Bitcoin's integration with major financial indices intensifies, suggesting a shift from alternative to integrated asset.
problem Understanding Bitcoin's evolving role in financial markets and its correlation dynamics.
method Rolling-window correlation, static correlation coefficients, and event-study framework on daily data from 2018 to 2025.
result Correlation levels between Bitcoin and major indices reached 0.87 in 2024, indicating a more integrated role.
The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump…
AIMM-X monitors markets for suspicious behavior using transparent scoring.
problem Detecting market manipulation from benign mechanisms.
method Combines microstructure signals and public attention signals for anomaly detection.
result Transparent scoring allows tracing and understanding flagged windows.
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when stock market indices, seen as a set of coupled integrate-and-fire oscillators, sync…
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPsq-fin.PR
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into term structure modellin…
This study uses Tsallis entropy to analyze diversification and integration in Italian stock market companies.
problem Examining the industrial structure and market reactions of cross-shareholding networks.
method Developed Tsallis entropy approach to model diversification and integration using copulas.
result Entropy analysis reveals insights into market polarisation and fairness.
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
problem Estimating risk premia in cryptocurrency returns.
method Giglio-Xiu (2021) three-pass approach, controlling for latent factors and non-tradable state variables.
result Latent factors significantly impact crypto returns, highlighting the importance of controlling for unobserved risks.
Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.
problem Tackles the limits of rough path theory in frictionless markets.
method Investigates the capacity of rough path theory to support No Free Lunch markets.
result Establishes a 'Rough Kreps-Yan' theorem linking NCFL to unbiased rough integrators.
We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market according to the latest market data, and this is due to the influence of foreign markets or investors. We concentrate on the market network stru…
Paper models uncertainty in electricity and gas markets to assess its impact.
problem Addressing uncertainties in coupled electricity and gas markets.
method Integrated and stochastic optimisation approaches for large-scale energy systems.
result Quantifies the value of encoding uncertainty in models.
Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration of DERs, novel market platform should be designed for these new market …
Develops a new integration theory for financial markets.
problem No classical measure theory applies to financial markets.
method Introduces conditional non-lattice integrals for non-lattice vector spaces.
result Validates the new integration theory through hedging and pricing.
Study compares different integrals for optimal portfolio optimization with insider information.
problem Optimizing portfolios in a financial market with insider information.
method Anticipating stochastic calculus and various integrals (Russo-Vallois forward, Ayed-Kuo, Hitsuda-Skorokhod).
result The Hitsuda-Skorokhod and Ayed-Kuo integrals do not provide a financially meaningful investment strategy.
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 paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data u…
PAMS is a Python-based platform for simulating artificial markets.
problem Simulating complex market behaviors for research and education.
method Developed as a Python-based simulator with deep learning integration.
result Demonstrated effectiveness through agent price prediction studies.
In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a…
Optimized execution model using interbank and internal liquidity.
problem Minimizing market impact in trading.
method Integrates interbank limit and market orders with internal market-making liquidity.
result Reduces market impact and improves execution efficiency.
This study enhances sales forecasts by integrating market indicators into forecasting models.
problem Traditional forecasting models rely solely on historical demand data.
method Automated integration of macroeconomic time series data (GDP growth) into forecasting models using feature selection methods.
result Feature selection methods, especially Forward Feature Selection, significantly improve forecasting accuracy.
Study on liquidation games with market drop-out, proving unique equilibria.
problem Analyzing portfolio liquidation with market drop-out constraints.
method Proves existence and uniqueness of equilibria using integral equations.
result Existence and uniqueness of equilibria in both mean-field and finite-player games.
Paper presents a hybrid framework combining sentiment analysis and market indicators for financial portfolio optimization.
problem Improving financial portfolio optimization through better integration of sentiment and market data.
method A three-tier hierarchical RL framework integrating LLMs, DRL, and market data.
result Achieved a 26% annualized return and Sharpe ratio of 1.2, outperforming benchmarks.
This paper optimizes cryptocurrency portfolios by integrating sentiment analysis with technical indicators.
problem Effective portfolio management in volatile cryptocurrency markets.
method Dynamic portfolio strategy using technical indicators and sentiment analysis.
result The integrated approach outperforms traditional benchmarks and achieves stronger risk-adjusted returns.
BERTopic enhances stock market prediction by analyzing sentiment in topic models.
problem Improving stock price prediction accuracy using sentiment analysis.
method Employed BERTopic for sentiment analysis of stock market comments integrated with deep learning models.
result Enhanced model performance through topic sentiment integration.
The paper examines statistical properties of IL and LVR in automated market makers.
problem Assessing the performance of automated market makers and their profitability.
method Analysis of random walk properties and statistical integral combined with CFMM mechanics.
result IL and LVR have identical expectation values but different distribution functions for Brownian motion.
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
problem Liquidity embedded in trade credit outside formal settlement infrastructures.
method Distributed, multilateral clearing mechanism based on double-entry accounting.
result Cycles Protocol maximizes balance sheet compression without redistributing counterparty risk.
When market boundaries weaken: Network reconfiguration and regime-dependent cross-asset spilloversphysics.pop-ph
This paper examines cryptocurrency integration with traditional markets, showing how network structure and turbulence influence cross-asset spillovers.
problem Understanding how cryptocurrencies integrate with traditional financial markets and the impact of market stress on cross-asset spillovers.
method Combining rolling correlation networks, community structure, market-specific and system-wide Turbulence Indices, and VAR-based connectedness analysis.
result Cross-asset integration is episodic, with network structure and turbulence playing a role in transmission during stress periods.
FNSPID dataset integrates financial news and stock prices for improved market predictions.
problem Lack of comprehensive datasets combining quantitative and qualitative financial data.
method Developed a large-scale dataset (FNSPID) with 29.7M stock prices and 15.7M financial news records.
result FNSPID significantly boosts market prediction accuracy and sentiment analysis.
A novel framework combines LLMs and RL for financial portfolio optimization.
problem Optimizing financial portfolios using sentiment analysis and market indicators.
method Hierarchical RL structure with base, meta, and super-agents.
result Achieved a 26% annualized return and Sharpe ratio of 1.2.
Study on market entry timing in stock liquidation with trading constraints.
problem Optimal timing of market entry and exit in portfolio liquidation with trading restrictions.
method Mean-field game approach to model -player and mean-field games of optimal portfolio liquidation.
result Existence of unique equilibrium in both mean-field and -player games.