Buchumschlag

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach

Fuente: arXiv

Gespeichert in:

Bibliographische Detailangaben
Hauptverfasser:	Liu, Beier, Zhu, Haiyun
Format:	Preprint
Veröffentlicht:	2024
Schlagworte:	Computational Finance Statistical Finance
Online-Zugang:	Acceder al recurso
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Ähnliche Einträge

Matrix H-theory approach to stock market fluctuations
von: de Moraes, Luan M. T., et al.
Veröffentlicht: (2025)

High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
von: Li, Guanlin, et al.
Veröffentlicht: (2025)

An empirical study of market risk factors for Bitcoin
von: Singh, Shubham
Veröffentlicht: (2024)

Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets
von: Takaishi, Tetsuya
Veröffentlicht: (2025)

A three-step machine learning approach to predict market bubbles with financial news
von: Atsiwo, Abraham
Veröffentlicht: (2025)

Tracing the temporal evolution of clusters in a financial stock market
von: Arratia, Argimiro, et al.
Veröffentlicht: (2011)

Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
von: Wątorek, Marcin, et al.
Veröffentlicht: (2025)

An analysis of capital market through the lens of integral transforms: exploring efficient markets and information asymmetry
von: Sharma, Kiran, et al.
Veröffentlicht: (2025)

Dynamical analysis of financial stocks network: improving forecasting using network properties
von: Achitouv, Ixandra
Veröffentlicht: (2024)

Multifractality and its sources in the digital currency market
von: Drożdż, Stanisław, et al.
Veröffentlicht: (2025)

Stock market forecasting using DRAGAN and feature matching
von: Nejad, Fateme Shahabi, et al.
Veröffentlicht: (2023)

Correlations versus noise in the NFT market
von: Wątorek, Marcin, et al.
Veröffentlicht: (2024)

Mechanisms of information communication and market price movements. The case of SP 500 market
von: Ivanova, Inga, et al.
Veröffentlicht: (2025)

Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict
von: Yang, Yan-Hong, et al.
Veröffentlicht: (2023)

Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach
von: Ivanova, K., et al.
Veröffentlicht: (2003)

MambaStock: Selective state space model for stock prediction
von: Shi, Zhuangwei
Veröffentlicht: (2024)

Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market
von: Drożdż, Stanisław, et al.
Veröffentlicht: (2025)

Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
von: Gross, Eden, et al.
Veröffentlicht: (2025)

Stochastic Approaches to Asset Price Analysis
von: Sekatchev, Michael, et al.
Veröffentlicht: (2024)

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
von: Luwang, S. R., et al.
Veröffentlicht: (2025)

Complex network analysis of cryptocurrency market during crashes
von: Mukhia, Kundan, et al.
Veröffentlicht: (2024)

Nonlinear shifts and dislocations in financial market structure and composition
von: James, Nick, et al.
Veröffentlicht: (2024)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
von: Kumar, Pulikandala Nithish, et al.
Veröffentlicht: (2024)

Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation
von: Heßler, Martin, et al.
Veröffentlicht: (2023)

Macroscopic properties of equity markets: stylized facts and portfolio performance
von: Campbell, Steven, et al.
Veröffentlicht: (2024)

Entropic signatures of market response under concentrated policy communication
von: Drzazga-Szczȩśniak, Ewa A., et al.
Veröffentlicht: (2026)

Causality between investor sentiment and the shares return on the Moroccan and Tunisian financial markets
von: Mounira, Chniguir, et al.
Veröffentlicht: (2023)

Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
von: Maciejowska, Katarzyna, et al.
Veröffentlicht: (2024)

Multiple-bubble testing in the cryptocurrency market: a case study of bitcoin
von: Behzadi, Sanaz, et al.
Veröffentlicht: (2023)

Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
von: Franzolini, Beatrice, et al.
Veröffentlicht: (2022)

Trading Devil Final: Backdoor attack via Stock market and Bayesian Optimization
von: Mengara, Orson
Veröffentlicht: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
von: Achitouv, Ixandra, et al.
Veröffentlicht: (2024)

A multi-factor model for improved commodity pricing: Calibration and an application to the oil market
von: Ballestra, Luca Vincenzo, et al.
Veröffentlicht: (2025)

Characteristics of price related fluctuations in Non-Fungible Token (NFT) market
von: Szydło, Paweł, et al.
Veröffentlicht: (2023)

Machine Learning Methods for Pricing Financial Derivatives
von: Fan, Lei, et al.
Veröffentlicht: (2024)

Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets
von: Papaioannou, Panayotis G., et al.
Veröffentlicht: (2024)

CBDC Stress Test in a Dual-Currency Setting
von: Dumitrescu, Catalin
Veröffentlicht: (2025)

Exploiting the geometry of heterogeneous networks: A case study of the Indian stock market
von: Pawanesh, Pawanesh, et al.
Veröffentlicht: (2024)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
von: Brini, Alessio, et al.
Veröffentlicht: (2024)

Systematic comparison of deep generative models applied to multivariate financial time series
von: Caulfield, Howard, et al.
Veröffentlicht: (2024)