Search results for "FINANCIAL MARKET"
showing 10 items of 198 documents
What Do We Know About the Second Moment of Financial Markets?
2021
Recent research shows that the vast majority of scientific studies published in leading finance journals fails scientific replication (Hou, Xue, and Zhang, 2020; Harvey, Liu, and Zhu; 2016). This study argues that p-hacking, publication pressure and the selection bias from leading finance journals are perhaps not the underlying root cause for this issue. We show that standard methodologies often used in finance research are inevitably sample-specific due to the very nature of financial markets. While the consensus of earlier research postulates a rejection of the time-honored Levy hypothesis, our results strongly indicate that the variance of variance does not exist in any of the financial …
Segmentation algorithm for non-stationary compound Poisson processes
2010
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of a time series. The process is composed of consecutive patches of variable length. In each patch the process is described by a stationary compound Poisson process, i.e. a Poisson process where each count is associated with a fluctuating signal. The parameters of the process are different in each patch and therefore the time series is non-stationary. Our method is a generalization of the algorithm introduced by Bernaola-Galván, et al. [Phys. Rev. Lett. 87, 168105 (2001)]. We show that the new algori…
COMPARISON OF TWO SIMPLIFICATION METHODS FOR SHORELINE EXTRACTION FROM DIGITAL ORTHOPHOTO IMAGES
2018
Abstract. The coastal ecosystems are very sensitive to external influences. Coastal resources such as sand dunes, coral reefs and mangroves has vital importance to prevent coastal erosion. Human based effects also threats the coastal areas. Therefore, the change of coastal areas should be monitored. Up-to-date, accurate shoreline information is indispensable for coastal managers and decision makers. Remote sensing and image processing techniques give a big opportunity to obtain reliable shoreline information. In the presented study, NIR bands of seven 1:5000 scaled digital orthophoto images of Riga Bay-Latvia have been used. The Object-oriented Simple Linear Clustering method has been utili…
Identification of clusters of investors from their real trading activity in a financial market
2012
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
Personal Savings and Investments in the Financial Market
2021
After 1998, CEE countries underwent an extensive reform process toward compliance with the new political, economic, and sociodemographic conditions. Reduced birth rate, increased life expectancy, and migration are challenges for PAYG public pension systems, which are directly dependent on the labor market and funding based on social security contributions paid by all earners and other wage earners. This chapter aims to give a socioeconomic perspective regarding personal saving, through various instruments offered by the banking and capital market, to supplement the financial resources of the elderly during retirement.
Networks of equities in financial markets
2004
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Hierarchical Structure in Financial Markets
1998
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of sto…
Variety and volatility in financial markets
2000
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days subsequent to these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments are fluctua…
High-frequency trading and networked markets
2021
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members’ interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network th…
Interactions between financial stress and economic activity for the U.S.: A time- and frequency-varying analysis using wavelets
2018
Abstract This paper examines the interactions between the main U.S. financial stress indices and several measures of economic activity in the time–frequency domain using a number of continuous cross-wavelet tools, including the usual wavelet squared coherence and phase difference as well as two new summary wavelet-based measures. The empirical results show that the relationship between financial stress and the U.S. real economy varies considerably over time and depending on the time horizon considered. A significant adverse effect of financial stress on U.S. economic activity is observed since the onset of the subprime mortgage crisis in the summer of 2007, indicating that the impact of fin…