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 compares information flow between Chinese and US stock sectors.
New techniques identify shifts in financial market sectors.
This study analyzes information flow networks in Chinese stock sectors using transfer entropy.
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be ide…
Identifies key industrial sectors in S&P 500 states.
The paper analyzes the crash of stock and commodity markets during COVID-19 using Topological Data Analysis.
The paper analyzes Indian stock sectors using multifractal analysis for long and short-term investment.
Study uses Hawkes processes to analyze stock market contagion in China.
Study reveals risk transmission channels among Chinese sectors.
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level partial correlations with market indices, multidimensional scaling and minimum s…
This study uses complex networks to analyze influential spreaders and their effects on different market sectors.
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the network of correlations to reveal the changing relationships among the financial,…
Tech sector decouples from non-tech sectors post-2015, predicting economic growth.
Deep learning LSTM predicts stock prices for portfolio design in Indian sectors.
A classification of companies into sectors of the economy is important for macroeconomic analysis and for investments into the sector-specific financial indices and exchange traded funds (ETFs). Major industrial classification systems and financial indices have historically been based on expert opinion and developed ma…
Proposes a two-stage sector rotation method using machine learning and deep learning.
Generative AI models enhance sector-based investment portfolios, but performance varies by market conditions.
A flexible calendar rebalancing approach for Indian stock portfolios.
Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and v…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. T…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always yield easily interpretable results. In this study, we develop improved factor mo…
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains chall…
This study optimizes stock portfolios for Indian sectors using historical data.
The study examines collective behavior in banking sectors across mature and emerging markets.
With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the business sectors (subsectors) are mainly contained in the sector mode. In the secto…
TDA detects stock market crashes across continents.
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the m…
Financial markets analyzed by reducing correlation matrix complexity.
The paper models financial markets and real economy interactions using a large agent framework.
LSTM model predicts stock prices with high accuracy in stable sectors but struggles with volatile ones.
The Hype Index measures media attention to equities using NLP.
RegimeFolio optimizes portfolios by adapting to changing market regimes.
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non-stationary context. We apply and extend a previously reported method called the P…
In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis of Chinese stock market. This influence network shows distinct topological prope…
Study on stock market volatility and return dispersion during COVID-19.
We extend existing models in the financial literature by introducing a cluster-derived canonical vine (CDCV) copula model for capturing high dimensional dependence between financial time series. This model utilises a simplified market-sector vine copula framework similar to those introduced by Heinen and Valdesogo (200…
We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the sectorial indices movement and the correlations among them. Our analysis shows signif…
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…
The paper analyzes how news sentiment of companies can affect market movements.
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
The paper uses LSTM to predict stock prices and analyzes sector profitability.
Paper uses LLMs for sector allocation, showing better returns.
Study develops sector rotation models using factor and fundamental analysis.
Study on diversifying equity portfolios during financial crises and stability.
Framework analyzes stock price co-movement with fundamentals using big data.
We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate sector-level dynamics and figure the relative importance of the sectors in the nomina…
Study financial crises using mathematical techniques to compare equity performance.