It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

In a highly interconnected financial economy, deciphering co-dependencies between asset prices and their time-varying dynamics is challenging and important for sound financial decisions. This paper develops a framework to study dynamic features of a financial network, that incorporates...

When stock returns are assumed to be lognormally distributed, there are well known formulae for converting the mean and variance of log returns into the mean and variance of proportional returns, and vice versa. We derive an approximation to the mean and variance of proportional returns when log...

In this study, we present a combinatory chaos analysis of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) compared with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. We show that the dynamics of the S&P 500 return series consist of an...

Noisy markets need extensive descriptions that are noisy themselves, such as deep regression trees that capture many data-local nonlinear anomalies and that do not require arbitrary weighting schemes like traditional linear multifactor models often do. Simple tools allow extraction of general...

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...

Paintings are − among other things − financial assets. The most basic piece of information regarding a financial asset is probably its return, or, more appropriately, the potential return that it can offer. Not surprisingly, many scholars have devoted a fair amount of effort to explore how...

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper,...

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...