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This study focuses on building an algorithmic investment strategy employing a hybrid approach that combines LSTM and ARIMA models referred to as LSTM-ARIMA. This unique algorithm uses LSTM to produce final predictions but boosts the results of this RNN by adding the residuals obtained from ARIMA predictions among other inputs. The algorithm is tested across three equity indices (S&P 500, FTSE 100, and CAC 40) using d…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus provide a theoretical expression for the market information when log-prices follow either a fractional Brownian motion or its stationary extension using the Lamperti transform. In the la…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only three variables. Namely, the Treasury yields, the returns and the market capitalization of a specific market index. Our formula, is tested on CAC 40, EURO, S&P 500 and STOXX 600, with…
Risk aversion plays a significant and central role in investors' decisions in the process of developing a portfolio. In this framework of portfolio optimization we determine the portfolio that possesses the minimal risk by using a new geometrical method. For this purpose, we elaborate an algorithm that enables us to compute any generalized Euclidean distance to a standard simplex. With this new approach, we are able …
We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate interdependence. We also show that the distribution of log-returns of the Brazilian BOVESPA index has…
In this paper we perform a statistical analysis over the returns and relative prices of the CAC $40$ and the S\&P $500$ with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do that, we characterized the dynamics of a stock (or a set of stocks) by the evolution of the moments of its returns (and relative prices) during a typical day. We show that these int…
The majority of recommender systems are designed to recommend items (such as movies and products) to users. We focus on the problem of recommending buyers to sellers which comes with new challenges: (1) constraints on the number of recommendations buyers are part of before they become overwhelmed, (2) constraints on the number of recommendations sellers receive within their budget, and (3) constraints on the set of b…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known traditional techniques in the literature to measure stock market volatility, a central point in this debate that constitutes the actual scope of this paper is to compare this common app…
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely…
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock …
Capital Allocation Committee — Process assigning risk capital across strategies.
Collective Action Clause — Bond clauses enabling restructuring with majority vote.
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Cache Hit Rate batch — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate canary (AI Systems).
Cache Hit Rate chat — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate founder mode (AI Systems).
Cache Hit Rate lab — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate ops — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate production (AI Systems).
Cache Hit Rate rag — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate research — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate shadow (AI Systems).
Cache Hit Rate streaming — AI retrieval, agent, evaluation, or production-reliability concept.
Cache Hit Rate trading desk — AI retrieval, agent, evaluation, or production-reliability concept.