Cover Image

Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	He, Yifan, Rachev, Svetlozar
Format:	Preprint
Published:	2025
Subjects:	Statistical Finance Computational Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting
by: Deep, Akash, et al.
Published: (2026)

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
by: Jha, Ayush, et al.
Published: (2024)

An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
by: Li, Haochen, et al.
Published: (2023)

Exploiting Distributional Value Functions for Financial Market Valuation, Enhanced Feature Creation and Improvement of Trading Algorithms
by: Grab, Colin D.
Published: (2024)

Black-Litterman and ESG Portfolio Optimization
by: Alpern, Aviv, et al.
Published: (2025)

Scalable Agent-Based Modeling for Complex Financial Market Simulations
by: Wheeler, Aaron, et al.
Published: (2023)

Modeling of Measurement Error in Financial Returns Data
by: Jasra, Ajay, et al.
Published: (2024)

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

Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices
by: Bailey, Jason R., et al.
Published: (2024)

Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers
by: Halperin, Igor
Published: (2025)

Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
by: Hui, Qian, et al.
Published: (2025)

Beyond the Numbers: Causal Effects of Financial Report Sentiment on Bank Profitability
by: Neupane, Krishna, et al.
Published: (2026)

Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach
by: Deep, Akash, et al.
Published: (2025)

Forecasting Intraday Volume in Equity Markets with Machine Learning
by: Cucuringu, Mihai, et al.
Published: (2025)

Revisiting Cont's Stylized Facts for Modern Stock Markets
by: Ratliff-Crain, Ethan, et al.
Published: (2023)

Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees
by: Gnawali, Jagdish, et al.
Published: (2025)

A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields
by: Jha, Amit Kumar
Published: (2025)

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

The LLM Pro Finance Suite: Multilingual Large Language Models for Financial Applications
by: Caillaut, Gaëtan, et al.
Published: (2025)

A Comparison between Financial and Gambling Markets
by: Liu, Haoyu, et al.
Published: (2024)

Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
by: Hirsch, Simon, et al.
Published: (2023)

Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review
by: Ericson, Lars, et al.
Published: (2024)

The Impact of Trump-Era Tariffs on Financial Market Efficiency
by: Takaishi, Tetsuya
Published: (2026)

Phase Transitions in Financial Markets Using the Ising Model: A Statistical Mechanics Perspective
by: Giorgio, Bruno
Published: (2025)

Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades
by: Safari, Sara A., et al.
Published: (2025)

Stock Price Prediction and Traditional Models: An Approach to Achieve Short-, Medium- and Long-Term Goals
by: Alamu, Opeyemi Sheu, et al.
Published: (2024)

MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRU
by: Zhu, Peng, et al.
Published: (2024)

Multimodal Stock Price Prediction: A Case Study of the Russian Securities Market
by: Khubiev, Kasymkhan, et al.
Published: (2025)

Causal Discovery in Financial Markets: A Framework for Nonstationary Time-Series Data
by: Sadeghi, Agathe, et al.
Published: (2023)

Transformers Beyond Order: A Chaos-Markov-Gaussian Framework for Short-Term Sentiment Forecasting of Any Financial OHLC timeseries Data
by: Pathan, Arif
Published: (2025)

Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysis
by: Pokou, Fredy, et al.
Published: (2026)

International Financial Markets Through 150 Years: Evaluating Stylized Facts
by: Safari, Sara A., et al.
Published: (2025)

LSR-IGRU: Stock Trend Prediction Based on Long Short-Term Relationships and Improved GRU
by: Zhu, Peng, et al.
Published: (2024)

The Three-Dimensional Decomposition of Volatility Memory
by: Wang, Ziyao, et al.
Published: (2025)

Unifying Market Microstructure and Dynamic Asset Pricing
by: Lauria, Davide, et al.
Published: (2023)

Reinforcement Learning for Trade Execution with Market and Limit Orders
by: Cheridito, Patrick, et al.
Published: (2025)

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

Deep Learning in Long-Short Stock Portfolio Allocation: An Empirical Study
by: Guo, Junjie
Published: (2024)

Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
by: Deep, Akash, et al.
Published: (2024)

Reasoning on Time-Series for Financial Technical Analysis
by: Koa, Kelvin J. L., et al.
Published: (2025)