Results 11 to 20 of about 21,055,376 (292)

Bootstrapping Financial Time Series [PDF]

Journal of Economic Surveys, 2002
It is well known that time series of returns are characterized by volatility clustering and excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and prediction methods, based on independent and/or Gaussian observations may be inadequate. As bootstrap methods are not, in general, based on any particular assumption on the
Ruiz Ortega, Esther, Pascual, Lorenzo
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Financial Time Series: Methods and Models [PDF]

Journal of Risk and Financial Management, 2020
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences.
Massimiliano Caporin, Giuseppe Storti
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Contextual Analysis of Financial Time Series

Mathematics
The evaluation of the financial state of small and medium-sized companies is a pressing issue today. This article introduces a novel method to evaluate a company’s financial state, implemented as a module within a decision support system.
Nadezhda Yarushkina, Aleksey Filippov, Anton Romanov   +2 more
doaj   +2 more sources

Fractional integration and cointegration in US financial time series data [PDF]

, 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets ...
Gil-Alana, Luis A., Luis A. Gil-Alana, Guglielmo Maria Caporale, Caporale, GM, Caporale, Guglielmo Maria, Gil-Alana, LA   +5 more
core   +6 more sources

Long-Range Correlations and Characterization of Financial and Volcanic Time Series

Mathematics, 2020
In this study, we use the Diffusion Entropy Analysis (DEA) to analyze and detect the scaling properties of time series from both emerging and well established markets as well as volcanic eruptions recorded by a seismic station, both financial and ...
Maria C. Mariani, Peter K. Asante, Md Al Masum Bhuiyan, Maria P. Beccar-Varela, Sebastian Jaroszewicz, Osei K. Tweneboah   +5 more
doaj   +2 more sources

Long memory and fractional integration in high frequency financial time series [PDF]

, 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series.
Gil-Alana, Luis A., Caporale, GM, Caporale, Guglielmo Maria, Gil-Alana, LA   +3 more
core   +6 more sources

Determinism in Financial Time Series [PDF]

Studies in Nonlinear Dynamics & Econometrics, 2003
Summary: The attractive possibility that financial indices may be chaotic has been the subject of much study. In this paper we address two specific questions: ''Masked by stochasticity, do financial data exhibit deterministic nonlinearity?'', and ''If so, so what?''.
Small, Michael, Tse, Chi K.
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Nonlinear Analysis of Financial Time Series [PDF]

Ovidius University Annals: Economic Sciences Series, 2022
One of the axioms of the modern science states that, if one can identify an exact mathematical description of a physical system, then a very detailed understanding of the system’s properties is possible.
Sorin Vlad, Mariana Vlad
doaj  

Investigating Deep Stock Market Forecasting with Sentiment Analysis

Entropy, 2023
When forecasting financial time series, incorporating relevant sentiment analysis data into the feature space is a common assumption to increase the capacities of the model.
Charalampos M. Liapis, Aikaterini Karanikola, Sotiris Kotsiantis   +2 more
doaj   +1 more source

Apparent Multifractality in Financial Time Series [PDF]

SSRN Electronic Journal, 1999
Latex 9 pp with 3 postscript figures (in-text)
Bouchaud, Jean-Philippe, Potters, Marc, Meyer, Martin   +2 more
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