Results 11 to 20 of about 261 (32)
A nested factor model for non-linear dependences in stock returns
, 2013 The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where
Bouchaud, Jean-Philippe +1 more
core +1 more source
Еконофізика крахів криптовалюти: огляд [PDF]
, 2021 Cryptocurrencies refer to a type of digital asset that uses distributed ledger, or blockchain technology to enable a secure transaction. Like other financial assets, they show signs of complex systems built from a large number of nonlinearly interacting ...
Bielinskyi, Andrii +3 more
core
The fine structure of volatility feedback II: overnight and intra-day effects
, 2014 We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently.
Blanc, Pierre +2 more
core +3 more sources
Some Statistical Problems with High Dimensional Financial data
, 2018 For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications.
AJ Rothman +18 more
core +1 more source
Spectra of large time-lagged correlation matrices from Random Matrix Theory
, 2017 We analyze the spectral properties of large, time-lagged correlation matrices using the tools of random matrix theory. We compare predictions of the one-dimensional spectra, based on approaches already proposed in the literature. Employing the methods of
Nowak, Maciej A., Tarnowski, Wojciech
core +1 more source
Large-scale structure of a nation-wide production network
, 2010 Production in an economy is a set of firms' activities as suppliers and customers; a firm buys goods from other firms, puts value added and sells products to others in a giant network of production.
A. Broder +34 more
core +2 more sources
A Minimal Model of Financial Stylized Facts [PDF]
, 2010 In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the high frequency volatility.
Bormetti, Giacomo, Delpini, Danilo
core
Value-at-Risk time scaling for long-term risk estimation [PDF]
, 2014 In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital.
Dubrovich, Marco +2 more
core
Structural and topological phase transitions on the German Stock Exchange
, 2013 We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree (MST) technique,
Gubiec, T. +4 more
core +1 more source
Large Language Models in Finance: A Survey
, 2023 Recent advances in large language models (LLMs) have opened new possibilities for artificial intelligence applications in finance. In this paper, we provide a practical survey focused on two key aspects of utilizing LLMs for financial tasks: existing ...
Chen, Hang +3 more
core