arXiv · arXiv q-fin · 2025
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil p…
Junlin Yang
arXiv · arXiv q-fin · 2024
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of 1,000 floating stocks in the US market. Utilizing five different investment strategies, these models are tested across four periods, encompassing the last three major financial cr…
Maysam Khodayari Gharanchaei, Reza Babazadeh
arXiv · arXiv q-fin · 2017
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stock Exchanges in China over the period of 2004-2014. A regression analysis, along the lines of the Tra…
ShiXue He, Marcel Ausloos
arXiv · arXiv q-fin · 2008
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes without having to track entire communities. As an example, we consider a foreign exchang…
Daniel J. Fenn, Mason A. Porter, Mark McDonald, Stacy Williams, Neil F. Johnson
arXiv · arXiv q-fin · 2009
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain markets, in this case the US equity markets, follow a cascade or epidemic flow like model along the correlations of various stocks. This phenomenon will be shown by the graphical displa…
Reginald D. Smith
arXiv · arXiv q-fin · 2009
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. En passant, we also illustrate the implied copula, a method that can consistently account …
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
arXiv · arXiv · 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 · 2009
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank interventions and government spending programs have been launched worldwide and es…
Didier Sornette, Ryan Woodard
arXiv · arXiv · 2025
Financial markets are dynamic, interconnected systems where local shocks can trigger widespread instability, challenging portfolio managers and policymakers. Traditional correlation analysis often miss the directionality and temporal dynamics of information flow. To address this, we present a unified framework integrating Transfer Entropy (TE) and the N-dimensional Kramers-Moyal (KM) expansion to map static and time-…
Pouriya Khalilian, Amirhossein N. Golestani, Mohammad Eslamifar, Mostafa T. Firouzjaee, Javad T. Firouzjaee
arXiv · arXiv · 2025
In this analysis we determine factors driving the cross-sectional variation in uninsured deposits during the interest rate raising cycle of 2022 to 2023. The goal of our analysis is to determine whether banks proactively managed deposit run risk prior to the hiking cycle which produced the 2023 Regional Banking Crisis. We find evidence that interest rate forward, futures, and swap use affected the change in a bank un…
Matt Brigida, Kathleen Maceyka
arXiv · arXiv · 2022
The efficient market hypothesis (EMH), based on rational expectations and market equilibrium, is the dominant perspective for modelling economic markets. However, the most notable critique of the EMH is the inability to model periods of out-of-equilibrium behaviour in the absence of any significant external news. When such dynamics emerge endogenously, the traditional economic frameworks provide no explanation for su…
Benjamin Patrick Evans, Mikhail Prokopenko
arXiv · arXiv · 2022
We analyze the interaction between stock prices of big companies in the USA and Germany using Granger Causality. We claim that the increase in pair-wise Granger causality interaction between prices in the times of crisis is the consequence of simultaneous response of the markets to the outside events or external stimulus that is considered as a common driver to all the stocks, not a result of real causal predictabili…
Maryam Zamani, Sander Paekivi, Philipp Meyer, Holger Kantz
arXiv · arXiv · 2020
This paper analyzes the connection between innovation activities of companies -- implemented before a financial crisis -- and their performance -- measured after such a time of crisis. Pertinent data about companies listed in the STAR Market Segment of the Italian Stock Exchange is analyzed. Innovation is measured through the level of investments in total tangible and intangible fixed assets in 2006-2007, while perfo…
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano, Roy Cerqueti
arXiv · arXiv · 2020
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of stock price. As the market remains in stress during recovery, any small perturbation leads to a relatively smaller aftershock. The duration of the recovery phase has been estimated us…
Anish Rai, Ajit Mahata, Md Nurujjaman, Om Prakash
arXiv · arXiv · 2020
We present a model of worldwide crisis contagion based on the Google matrix analysis of the world trade network obtained from the UN Comtrade database. The fraction of bankrupted countries exhibits an \textit{on-off} phase transition governed by a bankruptcy threshold $κ$ related to the trade balance of the countries. For $κ>κ_c$, the contagion is circumscribed to less than 10\% of the countries, whereas, for $κ<κ_c$…
Célestin Coquidé, José Lages, Dima L. Shepelyansky
arXiv · arXiv · 2019
In this paper, we model the impact of oil price volatility on Tehranstock and industry indices in two periods of international sanctions and post-sanction. To analyse the purpose of study, we use Feed-forward neural net-works. The period of study is from 2008 to 2018 that is split in two periods during international energy sanction and post-sanction. The results show that Feed-forward neural networks perform well in …
Somayeh Kokabisaghi, Mohammadesmaeil Ezazi, Reza Tehrani, Nourmohammad Yaghoubi
arXiv · arXiv · 2018
This paper analyzes the connection between innovation activities of companies -- implemented before crisis -- and their performance -- measured at time of crisis. The companies listed in the STAR Market Segment of the Italian Stock Exchange are analyzed. Innovation is measured through the level of investments in total tangible and intangible fixed assets in 2006-2007, while performance is captured through growth -- e…
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano, Roy Cerqueti
arXiv · arXiv · 2018
Our knowledge about the evolution of guarantee network in downturn period is limited due to the lack of comprehensive data of the whole credit system. Here we analyze the dynamic Chinese guarantee network constructed from a comprehensive bank loan dataset that accounts for nearly 80% total loans in China, during 01/2007-03/2012. The results show that, first, during the 2007-2008 global financial crisis, the guarantee…
Yingli Wang, Qingpeng Zhang, Xiaoguang Yang