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.
The paper uses PCA and HMM to forecast stock returns outperforming buy-and-hold.
We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moment…
Complex network analysis reveals dominant stocks in financial stock returns correlations.
Network analysis improves stock return forecasting.
Regression Trees analyze stock returns, revealing market excess return as the most informative factor.
News explains most overnight stock market gains.
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spectrum (PSA). The methods are applied on three time series: one of high-frequency returns, one of shuffled returns and one of absolute values …
Topological data analysis reveals complex financial-ratio-stock return relationships.
Gold prices show seasonal behavior, with January and July having opposite returns.
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous a…
The study finds lottery tickets with positive expected returns are not worth buying.
New study finds day-of-the-week effects in stock market returns using multifractal analysis.
The isotropic correlation model explains equity returns better than linear factor models.
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of a portfolio of stocks traded in China's stock markets on a given day. The distri…
A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one called the "equally weighted portofolio", the other the "confidence parametrized…
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where the return rate is described with a single-factor model and compare the findings …
Study finds significant premium for low-beta stocks in firm-level idiosyncratic return distributions.
Study finds mixed evidence of monthly stock market anomalies in Turkey and US.
Quantum walk model captures asymmetry and bimodality in long-term financial returns.
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation functi…
This study compares Bitcoin and S&P 500 returns using a new GTS distribution method.
The paper assesses dimensionality reduction for cryptocurrency link prediction.
New model analyzes dynamic correlations in stock returns.
CV outperforms mean-variance for stock returns, minimizing risk and maximizing growth.
Paper uses LLMs for sector allocation, showing better returns.
Study shows gaps in Bitcoin order book are linked to returns but only in the short term.
We report an empirical study of Tehran Price Index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (), modified rescaled range analysis (Lo's method), Detrended Fluctuation Analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two app…
Research shows SBP's tone impacts stock market returns positively or negatively.
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this featur…
The paper finds stocks with higher dynamic network risk have lower returns.
Analyzes national real estate investment risks and returns.
Study finds no consistent return predictability using payout ratios across 16 countries.
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized vola…
Cryptocurrency markets show similar returns but different volatility responses to infrastructure and regulatory shocks.
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, a…
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra we show that returns of both signs reveal multiscaling. Curiously, these spectra display a s…
Testing symmetry of a probability distribution is a common question arising from applications in several fields. Particularly, in the study of observables used in the analysis of stock market index variations, the question of symmetry has not been fully investigated by means of statistical procedures. In this work a di…
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return vo…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the …
Study tests if equity factors explain Bitcoin's risk and returns.
Study analyzes Nifty 50 returns over 34 years, showing P/E ratio predicts long-term gains.
Modified Jones-Faddy skew t-distribution captures asymmetry in stock returns.
Generative models simulate S&P 500 returns for financial analysis.
Proposes a Structural Matrix Autoregressive model for joint analysis of asset returns, realized volatility, and trading volume.
We study the statistical properties of the recurrence intervals between successive trading volumes exceeding a certain threshold . The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2…
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin fi…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two characteristic quantities of an optimal portfolio, namely, minimal investment ris…