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Found 1,307 Documents (Results 1–100)

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Lu, Yunfan; Zheng, Zhiyong
A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy. (English) Zbl 07326597
Zheng, Zhiyong (ed.), Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 – July 2, 2019. Singapore: Springer (ISBN 978-981-15-8372-8/hbk; 978-981-15-8373-5/ebook). Financial Mathematics and Fintech, 139-155 (2021).
MSC:  91G15 94A17
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\textit{Y. Lu} and \textit{Z. Zheng}, in: Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 -- July 2, 2019. Singapore: Springer. 139--155 (2021; Zbl 07326597)
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Liu, Anqi; Chen, Jing; Yang, Steve Y.; Hawkes, Alan G.
Information transition in trading and its effect on market efficiency: an entropy approach. (English) Zbl 07326591
Zheng, Zhiyong (ed.), Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 – July 2, 2019. Singapore: Springer (ISBN 978-981-15-8372-8/hbk; 978-981-15-8373-5/ebook). Financial Mathematics and Fintech, 59-77 (2021).
MSC:  91G15 91B44
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\textit{A. Liu} et al., in: Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 -- July 2, 2019. Singapore: Springer. 59--77 (2021; Zbl 07326591)
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Privault, Nicolas
Stochastic interest rate modeling with fixed income derivative pricing (to appear). 3rd edition. (English) Zbl 07291794
Advanced Series on Statistical Science & Applied Probability. Hackensack, NJ: World Scientific (ISBN 978-981-12-2660-1/hbk). 376 p. (2021).
MSC:  91-01 91B24 91G30 60H05 60H30 62P05
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\textit{N. Privault}, Stochastic interest rate modeling with fixed income derivative pricing (to appear). 3rd edition. Hackensack, NJ: World Scientific (2021; Zbl 07291794)
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Chen, Peimin; Wu, Chunchi; Zhang, Ying
DCC-GARCH model for market and firm-level dynamic correlation in S&P 500. (English) Zbl 1451.91183
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4421-4440 (2021).
MSC:  91G15 91G45 62P05 62M10
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\textit{P. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4421--4440 (2021; Zbl 1451.91183)
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Gallagher, Liam A.; Hutchinson, Mark C.; O’Brien, John
Using smooth transition regressions to model risk regimes. (English) Zbl 1454.91246
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281-4311 (2021).
MSC:  91G15 91G20 62P05
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\textit{L. A. Gallagher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281--4311 (2021; Zbl 1454.91246)
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Tsukuda, Yoshihiko; Shimada, Junji; Miyakoshi, Tatsuyoshi
The multivariate GARCH model and its application to East Asian financial market integration. (English) Zbl 1451.91191
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4209-4254 (2021).
MSC:  91G15 62P05 62M10
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\textit{Y. Tsukuda} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4209--4254 (2021; Zbl 1451.91191)
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Du, Ding; Hu, Ou
Pricing liquidity in the stock market. (English) Zbl 1451.91185
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4119-4148 (2021).
MSC:  91G15 62P05
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\textit{D. Du} and \textit{O. Hu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4119--4148 (2021; Zbl 1451.91185)
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Hong, Ted; Lee, Daniel; Wang, Wenching
Algorithmic analyst (ALAN) – an application for artificial intelligence content as a service. (English) Zbl 1454.91250
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4075-4086 (2021).
MSC:  91G15 91G80 62P05 68T07
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\textit{T. Hong} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4075--4086 (2021; Zbl 1454.91250)
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Yang, Ke; Wahab, Susan; Kolluri, Bharat; Wahab, Mahmoud
A non-parametric examination of emerging equity markets financial integration. (English) Zbl 1451.91192
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4043-4074 (2021).
MSC:  91G15 62P05 62G08
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\textit{K. Yang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4043--4074 (2021; Zbl 1451.91192)
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Xiao, Yuanyuan; Tang, Yushan; Lee, Cheng Few
Impacts of time aggregation on beta value and \(R^2\) estimations under additive and multiplicative assumptions: theoretical results and empirical evidence. (English) Zbl 1454.91269
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3947-3984 (2021).
MSC:  91G15 62P05
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\textit{Y. Xiao} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3947--3984 (2021; Zbl 1454.91269)
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Zou, Tao; Luo, Ronghua; Lan, Wei; Tsai, Chih-Ling
Covariance regression model for non-normal data. (English) Zbl 1451.91193
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3933-3945 (2021).
MSC:  91G15 62P05 62J10
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\textit{T. Zou} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3933--3945 (2021; Zbl 1451.91193)
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Tseng, K. C.; Kwon, Ojoung; Tjung, Luna C.
Time series and neural network analysis. (English) Zbl 1454.91266
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3887-3931 (2021).
MSC:  91G15 62P05 62M20 68T05
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\textit{K. C. Tseng} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3887--3931 (2021; Zbl 1454.91266)
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Mohnot, Rajesh
Crisis impact on stock market predictability. (English) Zbl 1454.91257
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3737-3751 (2021).
MSC:  91G15 62P05 62M10
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\textit{R. Mohnot}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3737--3751 (2021; Zbl 1454.91257)
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Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few
Option price and stock market momentum in China. (English) Zbl 1454.91301
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619-3647 (2021).
MSC:  91G20 91G15
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\textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 1454.91301)
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Chen, Hong-Yi; Lee, Cheng Few; Shih, Wei-Kang
Technical, fundamental, and combined information for separating winners from losers. (English) Zbl 1451.91182
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3319-3365 (2021).
MSC:  91G15 62P05
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\textit{H.-Y. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3319--3365 (2021; Zbl 1451.91182)
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Chen, Hong-Yi; Chen, Sheng-Syan; Hsin, Chin-Wen; Lee, Cheng Few
Does revenue momentum drive or ride earnings or price momentum? (English) Zbl 1454.91244
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3263-3318 (2021).
MSC:  91G15 91G50 62P05
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\textit{H.-Y. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3263--3318 (2021; Zbl 1454.91244)
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Smith, Zachary A.; Al Janabi, Mazin A. M.; Mumtaz, Muhammad Z.
Splines, heat, and IPOs: advances in the measurement of aggregate IPO issuance and performance. (English) Zbl 1454.91264
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2373-2397 (2021).
MSC:  91G15 91G10 62P05 62J10
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\textit{Z. A. Smith} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2373--2397 (2021; Zbl 1454.91264)
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Karson, Marvin J.; Cheng, David C.; Lee, Cheng Few
Sampling distribution of the relative risk aversion estimator: theory and applications. (English) Zbl 1451.91189
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2323-2335 (2021).
MSC:  91G15 91B16
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\textit{M. J. Karson} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2323--2335 (2021; Zbl 1451.91189)
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Chen, Cathy Yi-Hsuan; Chiang, Thomas C.
An empirical investigation of the long memory effect on the relation of downside risk and stock returns. (English) Zbl 1454.91243
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2107-2140 (2021).
MSC:  91G15 91G70
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\textit{C. Y. H. Chen} and \textit{T. C. Chiang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2107--2140 (2021; Zbl 1454.91243)
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Han, Chuan-Hsiang
GPU acceleration for computational finance. (English) Zbl 1454.91360
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519-1532 (2021).
MSC:  91G60 91G15 91-08
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\textit{C.-H. Han}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519--1532 (2021; Zbl 1454.91360)
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Kaffel, Bilel; Abid, Fathi
Time-frequency wavelet analysis of stock-market co-movement between and within geographic trading blocs. (English) Zbl 1454.91253
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1399-1437 (2021).
MSC:  91G15 42C40
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\textit{B. Kaffel} and \textit{F. Abid}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1399--1437 (2021; Zbl 1454.91253)
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Guo, Re-Jin; Lu, Yingda; Xie, Lingling
Ranking analysts by network structural hole. (English) Zbl 1454.91248
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1211-1243 (2021).
MSC:  91G15 91D30
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\textit{R.-J. Guo} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1211--1243 (2021; Zbl 1454.91248)
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Yu, Hai-Chin; Lee, Cheng Few; Sopranzetti, Ben J.
Financial reforms and the differential impact of foreign versus domestic banking relationships on firm value. (English) Zbl 1454.91358
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 947-978 (2021).
MSC:  91G50 91G40 62P05
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\textit{H.-C. Yu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 947--978 (2021; Zbl 1454.91358)
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Mohanty, Subhransu S.
Sourcing alpha in global equity markets: market factor decomposition and market characteristics. (English) Zbl 1454.91320
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 737-790 (2021).
MSC:  91G30 91G15
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\textit{S. S. Mohanty}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 737--790 (2021; Zbl 1454.91320)
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Zhang, Xi; Yu, Philip S.
Improving the stock market prediction with social media via broad learning. (English) Zbl 1454.91272
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 677-736 (2021).
MSC:  91G15 91D30 62P05
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\textit{X. Zhang} and \textit{P. S. Yu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 677--736 (2021; Zbl 1454.91272)
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Niu, Wei-Fang; Lu, Henry Horng-Shing
Measuring the collective correlation of a large number of stocks. (English) Zbl 1454.91259
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 335-354 (2021).
MSC:  91G15 05C80
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\textit{W.-F. Niu} and \textit{H. H. S. Lu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 335--354 (2021; Zbl 1454.91259)
Full Text: DOI
Ji, Deng-Yuan; Chen, Hsiao-Yin; Lee, Cheng Few
Forecast performance of the Taiwan weighted stock index: update and expansion. (English) Zbl 1454.91252
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 275-295 (2021).
MSC:  91G15 62P05 62M20
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\textit{D.-Y. Ji} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 275--295 (2021; Zbl 1454.91252)
Full Text: DOI
Levy, Moshe
Agent-based computational economics. (English) Zbl 07309898
Sotomayor, Marilda (ed.) et al., Complex social and behavioral systems. Game theory and agent-based models. New York, NY: Springer (ISBN 978-1-0716-0367-3/print; 978-1-0716-0368-0/ebook; 978-1-0716-0369-7/print+ebook). Encyclopedia of Complexity and Systems Science Series; Springer Reference, 825-849 (2020).
MSC:  91B69 91G10 91G15
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\textit{M. Levy}, in: Complex social and behavioral systems. Game theory and agent-based models. New York, NY: Springer. 825--849 (2020; Zbl 07309898)
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Tsai, Ping Chen; Dai, Shou Huang
Estimating the proportion of informed traders in BTC-USD market using spread and range. (English) Zbl 1454.91265
Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 197-210 (2020).
MSC:  91G15
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\textit{P. C. Tsai} and \textit{S. H. Dai}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 197--210 (2020; Zbl 1454.91265)
Full Text: DOI
Campisi, Giovanni; Tramontana, Fabio
Come together: the role of cognitively biased imitators in a small scale agent-based financial market. (English) Zbl 07306329
Szidarovszky, Ferenc (ed.) et al., Games and dynamics in economics. Essays in honor of Akio Matsumoto. Singapore: Springer (ISBN 978-981-15-3622-9/hbk; 978-981-15-3623-6/ebook). 69-88 (2020).
MSC:  91G15
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\textit{G. Campisi} and \textit{F. Tramontana}, in: Games and dynamics in economics. Essays in honor of Akio Matsumoto. Singapore: Springer. 69--88 (2020; Zbl 07306329)
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Shatashvili, A. D.; Didmanidze, I. Sh.; Kakhiani, G. A.; Fomina, T. A.
A method of preliminary forecasting of time series of financial data. (English. Russian original) Zbl 1454.91263
Cybern. Syst. Anal. 56, No. 2, 296-302 (2020); translation from Kibern. Sist. Anal. 2020, No. 2, 149-156 (2020).
MSC:  91G15 62P05 62M10 28A80
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\textit{A. D. Shatashvili} et al., Cybern. Syst. Anal. 56, No. 2, 296--302 (2020; Zbl 1454.91263); translation from Kibern. Sist. Anal. 2020, No. 2, 149--156 (2020)
Full Text: DOI
Smirnov, S. N.
Geometric criterion for a robust condition of no sure arbitrage with unlimited profit. (English. Russian original) Zbl 1452.91300
Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146-150 (2020); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43-48 (2020).
MSC:  91G15 91G30
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\textit{S. N. Smirnov}, Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146--150 (2020; Zbl 1452.91300); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43--48 (2020)
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