Lei Feng, Mark S. Seasholes
ABSTRACT This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identifi...
Javed Mallick, Swapan Talukdar, Majed Alsubih, Roquia Salam et al.
Hafiz Hoque, Jae Kim, Chong Soo Pyun
Md. Siddiqur Rahman, Abu Reza Md. Towfiqul Islam
A comprehensive understanding of the changing behaviors of precipitation concentration and intensity plays a pivotal role in water resource management. Hence, we investigated the spatiotemporal changing behaviors of frequency and intensity of 13 precipitation indices and their probable causes of cha...
Seong‐Min Yoon, Md Al Mamun, Gazi Salah Uddin, Sang Hoon Kang
We extend the prior literature on market connectedness and spillover by quantifying the size of return connectedness across markets (assets). Applying the network spillover methodology, we perform both static and dynamic analyses to quantify the net spillover shock transmission from one market to an...
Reaz A. Chowdhury, M. Arifur Rahman, M. Sohel Rahman, M. R. C. Mahdy
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial instruments, but it is also deemed as a perplexing problem in ...
Yang Liu, Qi Liu, Hongke Zhao, Pan Zhen et al.
In recent years, considerable efforts have been devoted to developing AI techniques for finance research and applications. For instance, AI techniques (e.g., machine learning) can help traders in quantitative trading (QT) by automating two tasks: market condition recognition and trading strategies e...
Ashadun Nobi, Seong Eun Maeng, Gyeong Gyun Ha, Jae Woo Lee
Werner De Bondt, Yaz Gűlnur Muradoğlu, Hersh Shefrin, Sotiris K. Staikouras
Behavioral finance endeavors to bridge the gap between finance and psychology. Now an established field, behavioral finance studies investor decision processes which in turn shed light on anomalies, i.e., departures from neoclassical finance theory. This paper is the summary of a panel discussion. I...
Ashadun Nobi, Sungmin Lee, Doo Hwan Kim, Jae Woo Lee
This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were calculated. The results showed that although the average correlations ...
Mohammad Ashraful Ferdous Chowdhury, Mohammad Abdullah, Masud Alam, Mohammad Zoynul Abedin et al.
This paper examines the efficiency and asymmetric multifractal features of NFTs, DeFi, cryptocurrencies, and traditional assets using Asymmetric Multifractal Cross-Correlations Analysis covering the period from November 2017 to February 2022. Considering the full sample with a significant variation ...
George Manis, Md Aktaruzzaman, Roberto Sassi
Sample Entropy is the most popular definition of entropy and is widely used as a measure of the regularity/complexity of a time series. On the other hand, it is a computationally expensive method which may require a large amount of time when used in long series or with a large number of signals. The...
Eduardo Zorita, T. F. Stocker, Hans von Storch
Previous statistical detection methods based partially on climate model simulations indicate that, globally, the observed warming lies very probably outside the natural variations. We use a more simple approach to assess recent warming at different spatial scales without making explicit use of clima...
Jae Wook Lee, Ashadun Nobi
Hafiz Hoque
Purpose The purpose of this paper is to explore dynamics of stock price movements of an emerging market, Bangladesh with that of USA, Japan and India. Design/methodology/approach The long‐term relationships among the markets are analyzed using the Johansen and Juselius multivariate cointegration app...