Technical paper/Financial markets
Trading robots and financial markets trading solutions: the role of experimental economics
The authors investigate and summarize experimental studies on automated trading strategies in financial markets.
A general framework for the identification and categorization of risks: an application to the context of financial markets
This paper is, to the best of the authors' knowledge, the first to develop an algorithm-based and generally applicable framework that generates an extensive and integrated identification and categorization scheme of certain risks by using text mining and…
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
The impact of the cross-shareholding network on extreme price movements: evidence from China
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.
Ensemble models in forecasting financial markets
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.
Balance-sheet interest rate risk: a weighted Lp approach
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…
A CCP is a CCP is a CCP
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.
When do central counterparties enhance market stability?
This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
Ranking the economic importance of countries and industries
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
Networks and lending conditions: empirical evidence from the Swiss franc money markets
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.
Statistical testing of DeMark technical indicators on commodity futures
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
Quantifying the diversity of news around stock market moves
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.
Granularity, a blessing in disguise: transaction cycles within real-time gross settlement systems
The authors of this paper take us into the world of granular time series data.
A multilayer model of order book dynamics
This paper presents a two-layer order book model.
A network-based method for visual identification of systemic risks
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.
Granger-causal nonlinear financial networks
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…
