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Weighted-indexed semi-Markov model : calibration and application to financial modeling
De Blasis, Riccardo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16
of states of returns and index. An application to Bitcoin prices at 1-min and 1-s intervals shows the validity and …
Persistent link: https://www.econbiz.de/10014288949
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Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
Aharon, David Y.; Umar, Zaghum; Xuan Vinh Vo - In: Financial innovation : FIN 7 (2021), pp. 1-25
, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level …. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve's level, slope …, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits …
Persistent link: https://www.econbiz.de/10012617325
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Speculative bubbles and herding in cryptocurrencies
Haykir, Ozkan; Yagli, Ibrahim - In: Financial innovation : FIN 8 (2022), pp. 1-33
This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to...
Persistent link: https://www.econbiz.de/10013368517
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Lottery-like preferences and the MAX effect in the cryptocurrency market
Ozdamar, Melisa; Akdeniz, Levent; Sensoy, Ahmet - In: Financial innovation : FIN 7 (2021), pp. 1-27
deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum …
Persistent link: https://www.econbiz.de/10012705414
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature; nonetheless, the behavior of the market microstructure is...
Persistent link: https://www.econbiz.de/10013272630
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S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA
Challa, Madhavi Latha; Malepati, Venkataramanaiah; … - In: Financial innovation : FIN 6 (2020) 47, pp. 1-19
This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips...
Persistent link: https://www.econbiz.de/10012317602
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Forecasting risk using auto regressive integrated moving average approach : an evidence from S&P BSE Sensex
Challa, Madhavi Latha; Malepati, Venkataramanaiah; … - In: Financial innovation : FIN 4 (2018) 24, pp. 1-17
The primary objective of the paper is to forecast the beta values of companies listed on Sensex, Bombay Stock Exchange (BSE). The BSE Sensex constitutes 30 top most companies listed which are popularly known as blue-chip companies. To reach out the predefined objectives of the research, Auto...
Persistent link: https://www.econbiz.de/10011921968
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DeepPricing : pricing convertible bonds based on financial time-series generative adversarial networks
Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Shuyi - In: Financial innovation : FIN 8 (2022), pp. 1-38
Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible bonds are difficult to value because they depend on variables related to the underlying stock, the fixed-income part, and the interaction between these components. Besides,...
Persistent link: https://www.econbiz.de/10013272634
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Forecasting and trading cryptocurrencies with machine learning under changing market conditions
Sebastião, Helder Miguel Correia Virtuoso; Godinho, … - In: Financial innovation : FIN 7 (2021), pp. 1-30
This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the …
Persistent link: https://www.econbiz.de/10012418483
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Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies : fresh evidence from intra-day-based good and bad volatilities
Asl, Mahdi Ghaemi; Roubaud, David - In: Financial innovation : FIN 10 (2024), pp. 1-49
Islamic cryptocurrency platforms, Bitcoin and Stellar, via three approaches: quantile cross-spectral coherence, quantile … spillovers at the lower and upper tails, respectively; and (3) the quantile-based causality results indicate that Bitcoin's good … market conditions. Moreover, the Bitcoin industry's negative volatilities have a bilateral cause-and-efect relationship with …
Persistent link: https://www.econbiz.de/10014548110