A stop-loss rule is a risk management tool whereby the investor predefines some condition that, upon being triggered by market dynamics, imply the liquidation of her outstanding position. Such a tool is widely used by practitioners in financial markets with the hope of improving their investment...

In early 2018 Bitcoin prices peaked at USD 20,000 and, almost two years later, we still continue debating if cryptocurrencies can actually become a currency for the everyday life or not. From the economic point of view, and playing in the field of behavioral finance, this paper analyses the...

We present a construction of a family of Continuous time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR(p) from an AR(1). We show that this family is in fact a...

We have designed a High Performance Computation Fundamental Analysis Stock Screener and Ranker system (HPC.FASSR), build on PyCOMPSs to compare the performance of various supervised learning algorithms like Neural Networks, Random Forests, Support Vectors Machines, or AdaBoost, and well-known...

We propose a methodology for clustering financial time series of stocks’ returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical...

We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the application of well known algorithms for solving classical...