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Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties

Yang, Steve Y. - 2015

market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system … throughput can significantly improve the predictability of Bitcoin market returns and volatility using network flow complexity …

Persistent link: https://www.econbiz.de/10013019043

Dynamic asset allocation with event risk, transaction costs and predictable returns

Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587

Persistent link: https://www.econbiz.de/10011963881

Stock returns forecasting with metals : sentiment vs. fundamentals

Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: The European journal of finance 24 (2018) 4/6, pp. 458-477

Persistent link: https://www.econbiz.de/10012244340

Hysteresis bands on returns, holding period and transaction costs

Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100

Persistent link: https://www.econbiz.de/10011543798

Profitable predictability in the cross section of stock returns

Douglas Hanna, J.; Ready, Mark J. - In: Journal of financial economics 78 (2005) 3, pp. 463-505

Persistent link: https://www.econbiz.de/10003228835

Forecasting stock returns : an examination of stock market trading in the presence of transaction costs

Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367

Persistent link: https://www.econbiz.de/10001166232

Optimal Investment and Consumption with Return Predictability and Execution Costs

Ma, Guiyuan - 2019

We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal investment strategy indicates that the agent should trade...

Persistent link: https://www.econbiz.de/10012871582

Optimal investment and consumption with return predictability and execution costs

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419

Persistent link: https://www.econbiz.de/10012417252

Can commodity returns forecast Canadian sector stock returns?

Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: International review of economics & finance : IREF 41 (2016), pp. 172-188

Persistent link: https://www.econbiz.de/10011624689

Micro(structure) before macro? : the predictive power of aggregate illiquidity for stock returns and economic activity

Chen, Yong; Eaton, Gregory W.; Paye, Bradley S. - In: Journal of financial economics 130 (2018) 1, pp. 48-73

Persistent link: https://www.econbiz.de/10012051279

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