• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

Technology is becoming deeply interwoven into the fabric of society. The Internet has become a central source of information for many people when making day-to-day decisions. Here, we present a method to mine the vast data Internet users create when searching for information online, to identify...

COVID19 Sentiment survey data shows that the level of concern has a strong inverse relationship with the respondents' confidence in government response to the virus. The results show that the lower the confidence in government response, the higher the level of concern

The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and...

Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before...

Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the...

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 72 papers published and written in the last decade. This article is written for general readers in...

Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

The paper determines empirically the local conditions and policy environment that influence the absorptive capacity of credit in the Nigerian economy for the period 1993:Q1 to 2013:Q4 using fully modified least squares. Findings show that credit is growth-enhancing, even when trade openness,...