By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network position of a firm on extreme price movement.
In this paper, the authors study an evolutionary framework for the optimization of various types of neural network structures and parameters.
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model.
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
This paper discusses the many differences between CCPs and banks as well as the significance of these differences.
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
The authors of this paper take us into the world of granular time series data.
This paper presents a two-layer order book model.
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…