Market efficiency
Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war
Focussing on energy stocks and cryptocurrencies prior to and during the Russo-Ukrainian conflict, this paper examines the impact of geopolitical conflict on the informational efficiency of financial markets
The post-trade patch‑up: revamping processes in volatile times
A Risk.net Rapid Read survey report: how efficiency in post-trade services at financial firms influences risk management, and how it is expected to evolve
Market efficiency and volatility within and across cryptocurrency benchmark indexes
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Technical indicator selection and trading signal forecasting: varying input window length and forecast horizon for the Pakistan Stock Exchange
This paper investigates how input window length and forecast horizon affect the predictive performance of a trading signal prediction system.
Test for fractional degree stochastic dominance with applications to stock preferences for China and the United States
This paper develops the test statistics for fractional degree stochastic dominance and introduces a bootstrap method for determining the critical values of the tests.
Introducing stylized facts on electricity futures through a market impact model
This paper provides an alternative way to introduce the stylized facts on electricity futures.
Shaping the future of risk and finance with analytics
As global financial institutions face changing compliance targets, demand has emerged for new ways to improve efficiency and increase the integration of regulatory and finance initiatives into organisations’ business‑planning processes
Visibility graph combined with information theory: an estimator of stock market efficiency
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.
Size-discovery protocols are not on the efficient frontier
Practice improves allocations but more can be done, says Darrell Duffie
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Outperforming benchmarks with their derivatives: theory and empirical evidence
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
Big data presents opportunities for hedge funds
The use of unstructured data in creating an alternative information edge is a potential new source of uncorrelated excess returns