arXiv - QuantFin - Statistical Finance最新文献

Macroscopic properties of equity markets: stylized facts and portfolio performance 股票市场的宏观属性：风格化事实与投资组合表现

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-17 DOI: arxiv-2409.10859

Steven Campbell, Qien Song, Ting-Kam Leonard Wong

引用次数: 0

Tuning into Climate Risks: Extracting Innovation from TV News for Clean Energy Firms 关注气候风险：为清洁能源企业从电视新闻中提取创新灵感

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-13 DOI: arxiv-2409.08701

Wasim Ahmad, Mohammad Arshad Rahman, Suruchi Shrimali, Preeti Roy

{"title":"Tuning into Climate Risks: Extracting Innovation from TV News for Clean Energy Firms","authors":"Wasim Ahmad, Mohammad Arshad Rahman, Suruchi Shrimali, Preeti Roy","doi":"arxiv-2409.08701","DOIUrl":"https://doi.org/arxiv-2409.08701","url":null,"abstract":"This article develops multiple novel climate risk measures (or variables)\u0000based on the television news coverage by Bloomberg, CNBC, and Fox Business, and\u0000examines how they affect the systematic and idiosyncratic risks of clean energy\u0000firms in the United States (US). The measures are built on climate related\u0000keywords and cover the volume of coverage, type of coverage (climate crisis,\u0000renewable energy, and government and human initiatives), and media sentiments.\u0000We show that an increase in the aggregate measure of climate risk, as indicated\u0000by coverage volume, reduces idiosyncratic risk while increasing systematic\u0000risk. When climate risk is segregated, we find that systematic risk is\u0000positively affected by the textit{physical risk} of climate crises and\u0000textit{transition risk} from government and human initiatives, but no such\u0000impact is evident for idiosyncratic risk. Additionally, we observe an asymmetry\u0000in risk behavior: negative sentiments tend to increase idiosyncratic risk and\u0000decrease systematic risk, while positive sentiments have no significant impact.\u0000This asymmetry persists even when considering print media variables, climate\u0000policy uncertainty, and analysis based on the COVID-19 period.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142250013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures 论 COMEX 铜期货长期波动率和动态相关性的宏观经济基本要素

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-12 DOI: arxiv-2409.08355

Zian Wang, Xinshu Li

引用次数: 0

Market information of the fractional stochastic regularity model 分数随机正则模型的市场信息

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-11 DOI: arxiv-2409.07159

Daniele Angelini, Matthieu Garcin

引用次数: 0

Critical Dynamics of Random Surfaces 随机表面的临界动力学

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-09 DOI: arxiv-2409.05547

Christof Schmidhuber

引用次数: 0

Comparative Study of Long Short-Term Memory (LSTM) and Quantum Long Short-Term Memory (QLSTM): Prediction of Stock Market Movement 长短期记忆（LSTM）与量子长短期记忆（QLSTM）的比较研究：预测股市走势

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-04 DOI: arxiv-2409.08297

Tariq Mahmood, Ibtasam Ahmad, Malik Muhammad Zeeshan Ansar, Jumanah Ahmed Darwish, Rehan Ahmad Khan Sherwani

引用次数: 0

Predicting Foreign Exchange EUR/USD direction using machine learning 利用机器学习预测外汇欧元/美元走向

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-04 DOI: arxiv-2409.04471

Kevin Cedric Guyard, Michel Deriaz

引用次数: 0

Evolving Dynamics: Bibliometric Insights into the Economics of the EU ETS Market 不断发展的动力：对欧盟排放交易计划市场经济的文献计量学启示

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-03 DOI: arxiv-2409.01739

Cristiano Salvagnin

{"title":"Evolving Dynamics: Bibliometric Insights into the Economics of the EU ETS Market","authors":"Cristiano Salvagnin","doi":"arxiv-2409.01739","DOIUrl":"https://doi.org/arxiv-2409.01739","url":null,"abstract":"This study aims to map the scientific production on the European Union\u0000Emissions Trading System (EU ETS) market from 2004 to 2024. By analyzing\u0000research articles collected from the Scopus database, this bibliometric review\u0000provides a comprehensive overview of the academic landscape surrounding the EU\u0000ETS. Utilizing the Bibliometrix package in R, we conducted an in-depth analysis\u0000of publication trends, key research themes, influential authors, and prominent\u0000journals in the field. Our findings reveal significant growth in scholarly\u0000interest, with notable peaks corresponding to major policy updates and economic\u0000events. The analysis highlights the most cited works and collaborative\u0000networks, offering insights into the evolution of research topics over the past\u0000two decades. This review serves as a valuable resource for researchers and\u0000policymakers, providing a detailed understanding of the academic contributions\u0000to the EU ETS market and identifying emerging trends and gaps in the\u0000literature. Through this bibliometric approach, we offer a nuanced perspective\u0000on the development and impact of the EU ETS in the context of global carbon\u0000markets and climate policy.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142190934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity 库尔巴克-莱伯勒聚类熵量化波动相关性和风险多样性

arXiv - QuantFin - Statistical Finance Pub Date : 2024-09-01 DOI: arxiv-2409.10543

L. Ponta, A. Carbone

{"title":"Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity","authors":"L. Ponta, A. Carbone","doi":"arxiv-2409.10543","DOIUrl":"https://doi.org/arxiv-2409.10543","url":null,"abstract":"The Kullback-Leibler cluster entropy $mathcal{D_{C}}[P | Q] $ is evaluated\u0000for the empirical and model probability distributions $P$ and $Q$ of the\u0000clusters formed in the realized volatility time series of five assets (SP&500,\u0000NASDAQ, DJIA, DAX, FTSEMIB). The Kullback-Leibler functional $mathcal{D_{C}}[P\u0000| Q] $ provides complementary perspectives about the stochastic volatility\u0000process compared to the Shannon functional $mathcal{S_{C}}[P]$. While\u0000$mathcal{D_{C}}[P | Q] $ is maximum at the short time scales,\u0000$mathcal{S_{C}}[P]$ is maximum at the large time scales leading to\u0000complementary optimization criteria tracing back respectively to the maximum\u0000and minimum relative entropy evolution principles. The realized volatility is\u0000modelled as a time-dependent fractional stochastic process characterized by\u0000power-law decaying distributions with positive correlation ($H>1/2$). As a case\u0000study, a multiperiod portfolio built on diversity indexes derived from the\u0000Kullback-Leibler entropy measure of the realized volatility. The portfolio is\u0000robust and exhibits better performances over the horizon periods. A comparison\u0000with the portfolio built either according to the uniform distribution or in the\u0000framework of the Markowitz theory is also reported.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142250016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing 用于多曲线固定收益利差分析和压力测试的状态空间动态函数回归

arXiv - QuantFin - Statistical Finance Pub Date : 2024-08-31 DOI: arxiv-2409.00348

Peilun He, Gareth W. Peters, Nino Kordzakhiac, Pavel V. Shevchenko

{"title":"State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing","authors":"Peilun He, Gareth W. Peters, Nino Kordzakhiac, Pavel V. Shevchenko","doi":"arxiv-2409.00348","DOIUrl":"https://doi.org/arxiv-2409.00348","url":null,"abstract":"The Nelson-Siegel model is widely used in fixed income markets to produce\u0000yield curve dynamics. The multiple time-dependent parameter model conveniently\u0000addresses the level, slope, and curvature dynamics of the yield curves. In this\u0000study, we present a novel state-space functional regression model that\u0000incorporates a dynamic Nelson-Siegel model and functional regression\u0000formulations applied to multi-economy setting. This framework offers distinct\u0000advantages in explaining the relative spreads in yields between a reference\u0000economy and a response economy. To address the inherent challenges of model\u0000calibration, a kernel principal component analysis is employed to transform the\u0000representation of functional regression into a finite-dimensional, tractable\u0000estimation problem. A comprehensive empirical analysis is conducted to assess\u0000the efficacy of the functional regression approach, including an in-sample\u0000performance comparison with the dynamic Nelson-Siegel model. We conducted the\u0000stress testing analysis of yield curves term-structure within a dual economy\u0000framework. The bond ladder portfolio was examined through a case study focused\u0000on spread modelling using historical data for US Treasury and UK bonds.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"78 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142190912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0