This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these styliz...
This paper analyzes high-frequency intraday Bitcoin data from 2019 to 2022. The Bitcoin market index exhibits two distinct periods, characterized by abrupt volatility shifts. Bitcoin returns can be described by anomalous diffusion processes, transiti...
We propose the financial generative adversarial network–bidirectional long short-term memory (FINGAN-BiLSTM) model to accurately reproduce the complex statistical properties and stylized facts, namely, heavy-tailed behavior, volatility clusteri...
The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established...
Agent-based models of financial markets often rely on a small set of hand-crafted trading rules, making it difficult to relate model heterogeneity to information that is observable in market data. We take a different standpoint and treat the design o...
The study of random graphs has become very popular for real-life network modeling, such as social networks or financial networks. Inhomogeneous long-range percolation (or scale-free percolation) on the lattice Zd, d ≥ 1, is a particular attractive ex...
In this paper, the discrete-time version of a continuous-time model with fundamentalists and momentum traders is presented. Our aim consists of studying the impact of cross-sectional momentum traders on the dynamics of the model. To this end, the con...
Zipf’s, Heaps’ and Taylor’s laws are ubiquitous in many different systems where innovation processes are at play. Together, they represent a compelling set of stylized facts regarding the overall statistics, the innovation rate and...
In this paper, we develop an overlapping generation model with imperfect competition and land to provide a theoretical foundation for some empirical observations made since the end of the 1970s. The problem is that these new “stylized facts” do not c...
In this work, we address the beneficial role of noise in two different contexts, the human brain and financial markets. In particular, the similitude between the ability of financial markets to maintain in equilibrium asset prices is compared with th...
Financial time series often show periods during which market index values or asset prices increase or decrease monotonically. These events are known as price runs, uninterrupted trends, or simply runs. By identifying such runs in the daily DJIA and I...
In this study, we examine the relevance of the coexistence of structural change and long memory to model and forecast the volatility of Tunisian stock returns and to deliver a more accurate measure of risk along the lines of VaR and expected shortfal...
Global policy narratives on livestock development increasingly emphasize environmental concerns, often overlooking the social dimensions of the sector. In the case of dairy, the world’s most valuable agricultural commodity, its role in social a...
Conventional explanations of monetary policy decisions in the United States assume that the longer-run Federal funds rate is determined by a representative central banker (i.e., the Fed) using longer-term forecasts of economic activity and unemployme...
The financial market is a complex system with chaotic behavior that can lead to wild swings within the financial system. This can drive the system into a variety of interesting phenomenon such as phase transitions, bubbles, and crashes, and so on. Of...
Sentiment analysis to characterize the properties of Bitcoin prices and their forecasting is here developed thanks to the capability of the Fuzzy Transform (F-transform for short) to capture stylized facts and mutual connections between time series w...
Automatic milking systems (AMSs) have become increasingly common in the US in the past few years. Recent surveys from Idaho, one of the largest dairy-producing states, as well as from other states and countries, suggest that: 1. among farms adopting...
In this paper, we study how the interbank market could impact deposit competition and bank profits. We first document two stylized facts: the net interbank funding ratio is negatively correlated with net interest margin (NIM), as well as with the cos...
In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods...
Bubbles are usually chaotic but can be predictable, provided their formation matches the log periodic power law (LPPL) with unique stylized facts. We investigated Green Bubble behaviour in the stock prices of a selection of stocks during the COVID-19...
A stylized fact from laboratory experiments is that there is much heterogeneity in human behavior. We present and demonstrate a computationally practical non-parametric Bayesian method for characterizing this heterogeneity. In addition, we define the...
In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the multidimensional t...
We propose a new herd mechanism and embed it into an open financial market system, which allows traders to get in and out of the system based on some transition rates. Moreover, the novel mechanism can avoid the volatility disappearance when the popu...
The purpose of this study is to conduct an empirical comparative study of volatility models for three of the most popular cryptocurrencies. We study the volatility of the following cryptocurrencies: Bitcoin, Ethereum, and Litecoin. We consider the GA...
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we...
This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known s...
In this research, an agent-based model (ABM) of the stock market is constructed to detect the proportion of different types of traders. We model a simple stock market which has three different types of traders: noise traders, fundamental traders, and...
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time serie...
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution-based Legendre Polynomial (LP)-like nonlinear transformations of the original time series...
Motivated by the observation that land supplied by the Chinese government is highly counter-cyclical with GDP fluctuations, this paper constructs a DSGE model to study the relationship between China’s land supply policy and economic fluctuation...
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the...
Since the early 1990s, there have been larger and increasing labor productivity differences across industries in Japan. More specifically, a clear pattern of sigma and beta divergence across industries is observed. To shed light on these stylized fac...
One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads. Geometric Brownian...
The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a para...
This paper proposes an approximation method to create an optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. This work is motivated by the increasing complexity of continuous-time models a...
This paper revisits the topic of time-scale parameterizations of the Heston–Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and...
The purpose of this paper is to show how the self-exciting threshold autoregressive (SETAR) model might be a suitable econometric framework for characterizing the dynamics of the US public debt/GDP ratio after the Bretton Woods collapse. Our preferre...
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails...
In this paper, we attempt to give an algorithmic explanation to volatility clustering, one of the most exploited stylized facts in finance. Our analysis with daily data from five exchanges shows that financial volatilities follow Levin’s univer...
Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical g...
The new estimates of the Maddison Project show that GDP per capita ratio at purchasing power parity (ppp) between Bolivia and Finland has changed from 0.68 ca. 1850 to 0.16 in 2015; similarly, that between Chile and Norway from 0.65 to 0.28. The aim...
Recent electronic transport experiments using metallic contacts attached to proteins identified some “stylized facts”, which contradict conventional wisdom that increasing either the spatial distance between the electrodes or the temperat...
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail...
In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-l...
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in t...
(1) Background: The growing number of banking entities linked to the field of banking since the 1980s requires a preliminary classification of this sector in order to identify the main stylized facts of this wide conglomerate of institutions oriented...
This study investigates the liquidity dynamics in non-traditional financial markets by simulating trading environments for fractional ownership of illiquid alternative investments, grounded in empirical tick data from a Swiss FinTech platform coverin...
Incentivizing businesses to lower carbon emissions and trade back excess carbon allowances paved the way for rapid growth in carbon credit ETFs. The use of carbon allowances as a hedging alternative fueled this rally further, causing a shift to specu...
This article provides both stylized facts and estimations of the endogenous nexus of the financial fragility hypothesis (FFH) with public social spending (PSS) for a paradigmatic Eurozone member country. The sample period 1995–2022 includes thr...
The rapid growth of China’s economy since the reform in 1978 should be largely attributed to urbanization. Nonetheless, in terms of farmland productivity, urbanization may lead to perverse incentives and thus threaten food security. On the one...
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