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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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Deep Signature models for Financial Equity Time Series prediction
Alonso, Miquel Noguer i; Agrawal, Himanshu; Srivastava, … - 2022
We explore in this paper the use of deep signature models to predict equity financial time series returns. First, we use signature transformations to model the underlying shape of the input equity returns; further assuming the underlying shape remains the same, we predict future values based on...
Persistent link: https://www.econbiz.de/10013289206
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The Shape of Performance Curve in Financial Time Series
Alonso, Miquel Noguer i; Srivastava, Sonam - 2021
in some specific domains.We discuss some of the recent discoveries in the mathematical theory of machine learning that … reduce the gap between theory and practice. We conduct experiments in the financial time series domain using deep neural … financial time series domain. This is consistent with the finance practitioner's theory that backtesting ( training data …
Persistent link: https://www.econbiz.de/10013310497
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Birth or burst of financial bubbles : which one is easier to diagnose?
Demos, Guilherme; Zhang, Qunzhi; Sornette, Didier - 2015
Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...
Persistent link: https://www.econbiz.de/10011507794
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The Econometrics of Bayesian Graphical Models : A Review With Financial Application
Ahelegbey, Daniel Felix - 2019
Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion …
Persistent link: https://www.econbiz.de/10012904250
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Hedging the Black Swan : Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix
Abbas, Sawsan - 2010
The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...
Persistent link: https://www.econbiz.de/10013148084
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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns
Dienemann, Fabian - 2020
The asymmetry in price pressure from seller vs. buyer-initiated transactions is identified as valuable measure of downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate bonds is mixed, the aggregate liquidity asymmetry has a...
Persistent link: https://www.econbiz.de/10012835834
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Financial Development Shocks and Contemporaneous Feedback Effect on Key Macroeconomic Indicators : A Post Keynesian Time Series Analysis
Chaiechi, Taha - 2011
In this paper we take into account the role of the banking system, credit and stock market in stimulating aggregate demand in post Keynesian tradition. According to the results of impulse response analysis; it appears all three financial development indicators contributed as expected in...
Persistent link: https://www.econbiz.de/10013123401
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Financial Econometrics - R Tutorial Guidance
Wang, Yizhi; Vigne, Samuel - 2021
Persistent link: https://www.econbiz.de/10013223934
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TVICA - time varying independent component analysis and its application to financial data
Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang - 2011
Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...
Persistent link: https://www.econbiz.de/10009266846