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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

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

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

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

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

Not so fast : high-frequency financial data for macroeconomic event studies

Ozdagli, Ali - 2013

Over the last decade, it has become increasingly popular to use event studies with intraday asset pricing data to study the effect of macroeconomic events on the economy. The proponents of this approach argue that asset prices react to macroeconomic events very quickly and that if we know the...

Persistent link: https://www.econbiz.de/10010236186

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

TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data

Chen, Ray-Bing - 2017

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/10012966314

TVICA - time varying independent component analysis and its application to financial data

Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang - 2011

Persistent link: https://www.econbiz.de/10009266846

Multifractal models in finance : their origin, properties, and applications

Segnon, Mawuli; Lux, Thomas - 2013

This chapter provides an overview over the recently developed so called multifractal (MF) approach for modeling and forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and provide details on different specifications of...

Persistent link: https://www.econbiz.de/10009778581