Results 11 to 20 of about 1,873 (216)
Mathematics, 2022 This paper estimates the comovement between two leading cryptocurrencies and the G7 stock markets. It then attempts to explain the comovement with the rational investment theory by examining whether it is driven by market uncertainty measures, public ...
Ruzita Abdul-Rahim +3 more
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The Dollar and Gold: Which is the Safest Haven? COVID-19 Evidence
Economics and Business, 2023 This paper examines the dynamic correlation between the US dollar and gold prices during the coronavirus pandemic to determine which of the two assets is a safer haven from an investor’s perspective.
Bousbia Salah Rahima +2 more
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INFAD, 2014 Introducción. Tradicionalmente, la investigación sobre engagement-bournout ha relacionado esta emoción bipolar académica con otras características del alumnado, ya enumeradas en anteriores comunicaciones.
Jesús de la Fuente +3 more
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Hedging performance of multiscale hedge ratios [PDF]
Journal of Futures Markets, 2019 AbstractIn this study, the wavelet multiscale model is applied to selected assets to hedge time‐dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in‐sample and out‐of‐sample portfolio variances, the wavelet‐based generalized autoregressive conditional heteroskedasticity (GARCH) model produces the lowest ...
Jahangir Sultan +3 more
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Using US Stock Sectors to Diversify, Hedge, and Provide Safe Havens for NFT Coins
Risks, 2023 This paper explores risk management strategies for investments in Nonfungible Token (NFT) coins through their diversification within the S&P 500 industry sectors. Given the significant decline in NFT coin values in 2022, understanding these strategies is
Perry Sadorsky, Irene Henriques
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Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
Journal of Risk and Financial Management, 2008 This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that
Dewally, Michael, Marriott, Luke
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Stock selection with random forest: An exploitation of excess return in the Chinese stock market
Heliyon, 2019 In recent years, a variety of research fields, including finance, have begun to place great emphasis on machine learning techniques because they exhibit broad abilities to simulate more complicated problems.
Zheng Tan, Ziqin Yan, Guangwei Zhu
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Quantitative Finance, 2018 We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We discuss how standard reinforcement learning methods can be applied to non-linear reward structures, i.e. in our case
Buehler, H. +3 more
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Numerical Solution for Super Large Scale Systems
IEEE Access, 2013 In this paper, a new ordinary differential equation numerical integration method is successfully applied to various mathematical branches such as partial differential equation (PDE) boundary problems, PDE initial-boundary problems, tough nonlinear ...
Tianmin Han, Yuhuan Han
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Safe Haven for Asian Equity Markets During Financial Distress: Bitcoin Versus Gold
Acta Informatica Pragensia, 2023 This study aims to analyse the role of bitcoin and gold as safe haven assets for Asian equity markets during periods of high market uncertainty related to the global COVID-19 pandemic, high volatility and extreme stock market conditions.
Pham Thi Ngoc Dung +3 more
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