We compare the performance of the time-series (TS) and cross-sectional (CS) momentum strategies in the US and China. The CS strategies by default are zero net investment strategies, whereas the TS strategies take on a time-varying net long position in risky assets. In the US, we confirm that the...

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. The purpose of this paper is to examine the size, value effects and the explanatory power of three well-known pricing models - CAPM, three-and five-factor across...

This article studies the impact of long memory on volatility modelling and option pricing. We propose a general discrete-time pricing framework based on affine multi-component volatility models that admit ARCH(ccc) representations. This not only nests a large variety of option pricing models...

A deep learning method is applied to predict stock portfolio allocation in the Chinese stock market. We use 6 original price and volume series as benchmark model settings and further explore the model's predictive performance with social media sentiment. Our results show that our model can...

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

For investors, gold is an asset without a yield that is attractive in times of low and negative real interest rates. Gold also has an embedded put option because investors can sell it to those who value its use as jewelry or as a productive input. This paper presents an approach for pricing gold...

Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In our article, we propose verifying this hypothesis. Thus, we use the Chen, Lux, and Marchesi (2000) model to show that the...

We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...