An alternative derivation of the yield curve based on entropy or the loss of information as it is communicated through time is introduced. Given this focus on entropy growth in communication the Shannon entropy will be utilized. Additionally, Shannon entropy's close relationship to the...

Purpose This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis. Unlike the worldwide practice of trading corporate bonds on an over-the-counter (OTC) market, TASE...

De 1719 à 2009, les bulles sur les actions diffèrent par leur ampleur à la hausse mais surtout à la baisse car des cours élevés se maintiennent parfois longtemps. C'est toujours l'ensemble du marché qui est porté à la hausse. Ainsi le facteur technologique ne semble pas déterminant...

The COVID-19 pandemic has caused severe disruption to economic activity worldwide. This note analyzes what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

With approximately 900 million observations we conduct, to our knowledge, the largest study ever of intraday stock return predictability using machine learning techniques finding consistent out-of-sample predictability across market, sector, and individual stock returns at various time horizons....

CNN Money developed the original US Stock Market Fear and Greed Index in 2012, using seven data points to measure stock market performance. The ability of the Fear and Greed Index to impact on future values of the various stock indices appears to be dependent on the observation period and the...

We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes,...

This article presents the calculations confirming practical applicability of earlier formulated theoretical model explaining relationship between the rate of one-day credits in the interbank market, volume of speculative investments and total securities under which transactions have been closed....

This paper studies the undirected partial-correlation stock network for the Spanish market that considers the constituents of IBEX-35 as nodes and their partial correlations of returns as links. I propose a novel methodology that combines a recently developed variable selection method, Graphical...