arXiv · arXiv q-fin · 2024
Predicting the stock market is a big challenge for the machine learning world. It is known how difficult it is to have accurate and consistent predictions with ML models. Some architectures are able to capture the movement of stocks but almost never are able to be launched to the production world. We present Achilles, with a classical architecture of LSTM(Long Short Term Memory) neural network this model is able to p…
Angel Varela
arXiv · arXiv q-fin · 2023
Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of exchange. As the financial world evolves, the emergence of cryptocurrencies has introduced a new paradigm of value and exchange. However, the store-of-value characteristic of these d…
Haoyang Yu, Yutong Sun, Yulin Liu, Luyao Zhang
arXiv · arXiv q-fin · 2022
This research mainly explores the characteristics of different strategies and whether VIX INDEX positively influences the investment portfolio in any period. Our portfolio has six significant cryptocurrencies, VIX INDEX and gold. We perform parameter estimation on all raw data and bring the two types into different investment strategies, complete them effectively according to other characteristics, and compare the re…
Jiahao Cui, Qiushi Li, Yuezhi Pen
arXiv · arXiv q-fin · 2022
This paper examines the determinants of the volatility of futures prices and basis for three commodities: gold, oil and bitcoin -- often dubbed solid, liquid and digital gold -- by using contract-by-contract analysis which has been previously applied to crude oil futures volatility investigations. By extracting the spot and futures daily prices as well as the maturity, trading volume and open interest data for the th…
Toshiko Matsui, Ali Al-Ali, William J. Knottenbelt
arXiv · arXiv q-fin · 2021
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices and log-returns data going from September 2014 to January 2021, we find that Bitcoin is a prime example of an asset for which the two conceptions of volatility diverge. We show that…
Nassim Dehouche
arXiv · arXiv q-fin · 2019
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based on that week's closing exchange rate. Though a good correlation was obtained during some period, but as a whole no such cointegration relation can be found out. Using the \textit{Di…
Abhibasu Sen, Karabi Dutta Chaudhury
arXiv · arXiv q-fin · 2019
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active bartering of oil for goods would prevent collapsing the national market facing international sancti…
Abootaleb Shirvani, Dimitri Volchenkov
arXiv · arXiv q-fin · 2018
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under different gold market conditions, while considering the nuances of uncertainty levels. To capture the core uncertainty effects on gold returns, a dynamic factor model is used. This techni…
Jamal Bouoiyour, Refk Selmi, Mark Wohar
arXiv · arXiv q-fin · 2015
Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI m…
Ladislav Kristoufek, Miloslav Vosvrda
arXiv · arXiv q-fin · 2015
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality going in all directions, when the full sample and different subsamples are considered. However, we fin…
Semei Coronado, Rebeca Jiménez-Rodríguez, Omar Rojas
arXiv · arXiv q-fin · 2015
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013. Various multifractal variables, such as the generalized Hurst exponent, the multifractal exponent and the singularity spectrum, are calculated and the re…
Provash Mali, Amitabha Mukhopadhyay
arXiv · arXiv q-fin · 2015
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhibits a similar tracking performance. However, we show that leveraged gold ETFs tend to underperform …
Tim Leung, Brian Ward
arXiv · arXiv q-fin · 2012
Study of the forecasting models using large scale microblog discussions and the search behavior data can provide a good insight for better understanding the market movements. In this work we collected a dataset of 2 million tweets and search volume index (SVI from Google) for a period of June 2010 to September 2011. We perform a study over a set of comprehensive causative relationships and developed a unified approac…
Tushar Rao, Saket Srivastava
arXiv · arXiv q-fin · 2020
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. It has been shown to generate significant excess returns, but its profitability has dropped significantly in recent periods. We employ the most common distance and cointegration methods on US equities from 1990 to 2020 including the Covid-19 crisis. The strategy overall fails to outperform the market benchmark even with hyperparam…
Miroslav Fil
arXiv · arXiv q-fin · 2025
Prediction markets have gained adoption as on-chain mechanisms for aggregating information, with platforms such as Polymarket demonstrating demand for stablecoin-denominated markets. However, denominating in non-interest-bearing stablecoins introduces inefficiencies: participants face opportunity costs relative to the fiat risk-free rate, and Bitcoin holders in particular lose exposure to BTC appreciation when conver…
Fedor Shabashev
arXiv · arXiv q-fin · 2024
Wash trading, the practice of simultaneously placing buy and sell orders for the same asset to inflate trading volume, has been prevalent in cryptocurrency markets. This paper investigates whether wash traders in Bitcoin act deliberately to exploit market conditions and identifies the characteristics of such manipulative behavior. Using a unique dataset of 18 million transactions from Mt. Gox, once the largest Bitcoi…
Hunter Ng
arXiv · arXiv q-fin · 2009
Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world stock market (here represented by the SP500, Hang Seng and WIG) development. We identify elements that indicate the third decade of September 2009 as a time limit for the present bul…
Stanislaw Drozdz, Pawel Oswiecimka
arXiv · arXiv q-fin · 2025
Existing black-box portfolio management systems are prevalent in the financial industry due to commercial and safety constraints, though their performance can fluctuate dramatically with changing market regimes. Evaluating these non-transparent systems is computationally expensive, as fixed budgets limit the number of possible observations. Therefore, achieving stable and sample-efficient optimization for these syste…
Zinuo You, John Cartlidge, Karen Elliott, Menghan Ge, Daniel Gold