A Learning Model with Memory in the Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT Learning is central to a financial agent's aspiration to gain persistent strategic advantage in asset value maximisation. The implicit mechanism that transforms this aspiration into an observed value gain is the speed of error corrections (demonstrating, an agent's speed of learning) whilst facing increased uncertainty.
Shikta Singh +6 more
wiley +1 more source
Statistical Theory and Related Fields, 2019 With a view to providing a tool to accurately model time series processes which may be corrupted with errors such as measurement, round-off and data aggregation, this study developed an integrated moving average (IMA) model with a transition matrix for ...
S. A. Komolafe +3 more
doaj +1 more source
Prediction of women and Children's hospital outpatient numbers based on the autoregressive integrated moving average model. [PDF]
Heliyon, 2023 Lin Y, Wan C, Li S, Xie S, Gan Y, Lu Y.
europepmc +1 more source
Climate Change and Investors' Behaviour: Assessing a New Type of Systematic Risk
International Journal of Finance &Economics, EarlyView.ABSTRACT This study explores how temperature anomalies, a novel form of systematic risk, affect financial markets, expanding the traditional understanding of market‐wide risks. While climate change is becoming an important consideration, the extent to which temperature anomalies disrupt economic activities and influence stock returns is urgently needed
Natthinee Thampanya, Junjie Wu
wiley +1 more source
Forecasting OPEC Crude Oil Price Using Fuzzy Autoregressive Integrated Moving Average (FARIMA) Model [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2013 Crude oil prices are influenced by many factors. Inclusion of all these determinants in a single model is complex and inefficient. In this case, using time series approach might be appropriate.
mansoor zara nejad +3 more
doaj
Interruption time series analysis using autoregressive integrated moving average model: evaluating the impact of COVID-19 on the epidemic trend of gonorrhea in China. [PDF]
BMC Public Health, 2023 Li Y +5 more
europepmc +1 more source
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise [PDF]
arXiv, 2013 In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order $p$ with regular stationary Gaussian noise. We exhibit the large sample asymptotical properties of the MLE under very mild conditions.
arxiv
, 2017 The cryptocurrency is a decentralized digital money. Bitcoin is a digital asset designed to work as a medium of exchange using cryptography to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The
N. Bakar, S. Rosbi
semanticscholar +1 more source
Deep Learning for Bond Yield Forecasting: The LSTM‐LagLasso
International Journal of Finance &Economics, EarlyView.ABSTRACT We present long short‐term memory (LSTM)‐LagLasso, a novel explainable deep learning approach applied to bond yield forecasting. Our method involves feature selection from a large universe of potential features and forecasts bond yields using dynamic LSTM networks.
Manuel Nunes +4 more
wiley +1 more source
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, EarlyView.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source