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 · 2020
As a vital strategic resource, oil has an essential influence on the world economy, diplomacy and military development. Using oil trade data to dynamically monitor and warn about international trade risks is an urgent need. Based on the UN Comtrade data from 1988 to 2017, we construct unweighted and weighted global oil trade networks (OTNs). Complex network theories have some advantages in analyzing global oil trade …
Wen-Jie Xie, Na Wei, Wei-Xing Zhou
arXiv · arXiv q-fin · 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 q-fin · 2017
There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's surprise victory in the US presidential election is a perfect example when politicians, through announced policies, send signals to financial markets. The present paper seeks to address whether BRICS (Brazil, Russia, In…
Jamal Bouoiyour, Refk Selmi