Imagen de Portada

Macroscopic properties of equity markets: stylized facts and portfolio performance

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Campbell, Steven, Song, Qien, Wong, Ting-Kam Leonard
Formato:	Preprint
Publicado:	2024
Materias:	Statistical Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Efficient convex PCA with applications to Wasserstein GPCA and ranked data
por: Campbell, Steven, et al.
Publicado: (2022)

The leverage effect and other stylized facts displayed by Bitcoin returns
por: Filho, F. N. M. de Sousa, et al.
Publicado: (2020)

Stylized facts in Web3
por: Chen, Wei-Ru, et al.
Publicado: (2024)

Stylized facts in money markets: an empirical analysis of the eurozone data
por: Coz, Victor Le, et al.
Publicado: (2024)

Calibrated rank volatility stabilized models for large equity markets
por: Itkin, David, et al.
Publicado: (2024)

Random matrix theory and nested clustered portfolios on Mexican markets
por: García-Medina, Andrés, et al.
Publicado: (2023)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
por: Arvanitis, Stelios, et al.
Publicado: (2024)

A novel portfolio construction strategy based on the core-periphery profile of stocks
por: Ansari, Imran, et al.
Publicado: (2024)

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
por: Liu, Beier, et al.
Publicado: (2024)

A mathematical study of the excess growth rate
por: Campbell, Steven, et al.
Publicado: (2025)

Two is better than one: Regularized shrinkage of large minimum variance portfolio
por: Bodnar, Taras, et al.
Publicado: (2022)

Quantifying neural network uncertainty under volatility clustering
por: Wong, Steven Y. K., et al.
Publicado: (2024)

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

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

Stress index strategy enhanced with financial news sentiment analysis for the equity markets
por: Lefort, Baptiste, et al.
Publicado: (2024)

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

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

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

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

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
por: Takaishi, Tetsuya
Publicado: (2025)

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

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

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
por: Huber, Florian, et al.
Publicado: (2018)

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

Does carbon market add investment value in multi‐asset portfolios? Evidence from hedge, safe haven, and portfolio performance
por: Haiying Wang, et al.
Publicado: (2025)

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

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

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

Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
por: Caporin, Massimiliano, et al.
Publicado: (2026)

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

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

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

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

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

Shape-constrained density estimation with Wasserstein projection
por: Matsuda, Takeru, et al.
Publicado: (2026)

Impermanent loss and loss-vs-rebalancing I: some statistical properties
por: Alexander, Abe, et al.
Publicado: (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
por: Papaioannou, Panayotis G., et al.
Publicado: (2024)

Synchronization in a market model with time delays
por: Dibeh, Ghassan, et al.
Publicado: (2024)

Random processes for long-term market simulations
por: Zumbach, Gilles
Publicado: (2025)

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