arXiv · arXiv q-fin · 2017
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals and regulatory conditions prevailing in the markets, as well as the current European financial crisis…
Panagiotis G. Papaioannou, George P. Papaioannou, Kostas Siettos, Akylas Stratigakos, Christos Dikaiakos
arXiv · arXiv q-fin · 2017
Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets. The tools include a variety of complexity measures like Maximal Lyapunov and Hurst exponents and HHI index for market concentration and Entropy, a measure of uncertainty and complexity in a dynamical system, applied on …
George P Papaioannou, Christos Dikaiakos, Anargyros Dramountanis, Dionysios S Georgiadis, Panagiotis G Papaioannou
arXiv · arXiv q-fin · 2015
Warning signs about the developing economic crisis in Greece were present in the growth rate of the Gross Domestic Product (GDP) and in the growth of the GDP well before the economic collapse. The growth rate was strongly unstable. On average, in less than 50 years, it decreased 10-folds but after reaching a low minimum it quickly increased 6-folds only to crash before completing the full cycle. The decreasing growth…
Ron W Nielsen
arXiv · arXiv q-fin · 2013
Nanotechnology is the first major worldwide research initiative of the 21st century and probably is the solution vector in the economic environment. Also, innovation is widely recognized as a key factor in the economic development of nations, and is essential for the competitiveness of the industrial firms as well. Policy and management of innovation are necessary in order to develop innovation and it involves proces…
Evangelos I. Gkanas, Vasso MagkouKriticou, Sofoklis S. Makridis, Athanasios K. Stubos, Ioannis Bakouros
arXiv · arXiv q-fin · 2016
In this paper, we search whether the Benford's law is applicable to monitor daily changes in sovereign Credit Default Swaps (CDS) quotes, which are acknowledged to be complex systems of economic content. This test is of paramount importance since the CDS of a country proxy its health and probability to default, being associated to an insurance against the event of its default. We fit the Benford's law to the daily ch…
Marcel Ausloos, Rosella Castellano, Roy Cerqueti
arXiv · arXiv q-fin · 2026
This text grew out of a historical introduction initially written for a study of interest rates in cryptocurrency markets. The difficulty of defining a term structure for a currency without a conventional bond market led naturally to a more fundamental question: under what historical conditions does a yield curve become observable at all? Credit existed long before modern money, and interest-bearing loans are documen…
Olivier Guéant
arXiv · arXiv q-fin · 2018
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses …
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
arXiv · arXiv q-fin · 2012
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates for sovereign debt increased dramatically. High interest rates imply that default is likely due to economic conditions. High interest rates also increase the cost of borrowing and …
Marco Lagi, Yaneer Bar-Yam
arXiv · arXiv q-fin · 2017
This paper provides a general framework for modeling financial contagion in a system with obligations in multiple illiquid assets (e.g., currencies). In so doing, we develop a multi-layered financial network that extends the single network of Eisenberg and Noe (2001). In particular, we develop a financial contagion model with fire sales that allows institutions to both buy and sell assets to cover their liabilities i…
Zachary Feinstein
arXiv · arXiv q-fin · 2014
Fast, global, and sensitively reacting to political, economic and social events of any kind, these are attributes that social media like Twitter share with foreign exchange markets. The leading assumption of this paper is that information which can be distilled from public debates on Twitter has predictive content for exchange rate movements. This assumption prompted a Twitter-based exchange rate model that harnesses…
Dietmar Janetzko
arXiv · arXiv q-fin · 2013
We study the ever more integrated and ever more unbalanced trade relationships between European countries. To better capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade imbalances of the European countries. These measures are the network (or indirect) counterparts to traditional (or direct) measures such as the trade-to-GDP (Gross Domestic Produc…
Gautier M. Krings, Jean-François Carpantier, Jean-Charles Delvenne