Article
Multidisciplinary Sciences
Eva Ferreira, Susan Orbe, Jone Ascorbebeitia, Brais Alvarez Pereira, Ernesto Estrada
Summary: This study utilizes rank correlations as distance functions to establish weighted signed networks for stock returns, examining the relationship between network balance levels and stock predictability. It discovers a clear balance-unbalance transition for six countries after the 2011 Black Monday in the US, which is primarily caused by a reorganization of market networks triggered by low capitalization stocks in the non-financial sector. This shift leads to a decrease in stock predictability and has important implications for asset allocation and portfolio hedging strategies.
SCIENTIFIC REPORTS
(2021)
Article
Social Sciences, Interdisciplinary
Leovardo Mata Mata, Jose Antonio Nunez Mora, Ramona Serrano Bautista
Summary: This article aims to analyze the dependency between BRIC stock markets by adjusting the NIG probability distribution from 2010 to 2019, and it found evidence of the degree of integration in BRIC financial markets during the period of 2000-2019. The study also suggests that the performance of Value at Risk is better when using the NIG distribution compared to multivariate generalized autoregressive conditional heteroscedastic models.
Article
Business, Finance
Menachem Meni Abudy, Yevgeny Mugerman, Efrat Shust
Summary: This paper investigates the impact of investor sentiment on the stock market prior to a country's independence day celebration. The study finds a positive abnormal return on the trading day before the independence day, which is subsequently reversed. Additionally, the study reveals a connection between the abnormal return and measures of national pride and social culture. In the case of the United States, the study also shows a decrease in economic uncertainty on its independence day.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2023)
Article
Mathematics, Interdisciplinary Applications
Madhurima Panja, Tanujit Chakraborty, Sk Shahid Nadim, Indrajit Ghosh, Uttam Kumar, Nan Liu
Summary: Dengue fever is a widespread virulent disease that affects millions of people globally and puts a strain on healthcare systems. Due to the lack of specific drugs and vaccines, policymakers rely on early warning systems for intervention decisions. However, existing forecasting models often provide unstable and unreliable forecasts. This study proposes a new model called XEWNet that incorporates wavelet transformation into an ensemble neural network framework to improve the accuracy and reliability of dengue outbreak predictions.
CHAOS SOLITONS & FRACTALS
(2023)
Article
Psychology, Multidisciplinary
Anmar Abdul-Rahman
Summary: The Heisenberg-Gabor uncertainty principle defines the limits of information resolution in both time and frequency domains, while wavelet transformation provides a workable compromise by decomposing the signal in both time and frequency. This study aimed to compare the accuracy of predictive models in mental arithmetic in time and frequency domains.
FRONTIERS IN PSYCHOLOGY
(2022)
Article
Business, Finance
Iolanda Lo Cascio
Summary: This paper investigates the spatio-temporal mechanism of house price spillovers among 12 UK regional housing markets over the period 1973-2018, using wavelet analysis tools to reveal spectral characteristics and how different periodic components of housing returns evolve over time. Results show spillovers from London to other markets at both business cycle frequencies and in the long run for regions closer to London, with London remaining the dominant market in the long run.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2021)
Article
Business, Finance
Yinghua Ren, Wanru Zhao, Wanhai You, Huiming Zhu
Summary: This paper studies the multiscale features of extreme risk spillover among global stock markets and finds that the US and the UK are the centers of risk spillovers, while Asian stock markets are mainly at the edge. The network's topological properties are unevenly spread over different time scales, being closer in the short term and during financial crises. The US and the UK are identified as super-spreaders of risk spillover at each time scale, while most developing markets act as absorbers and European markets have complex roles at different scales.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2022)
Article
Economics
Geeta Lakshmi, Shrabani Saha, Keshab Bhattarai
Summary: The study found that corruption and other weaker institutions lower stock returns, but bureaucratic quality can mitigate the negative effects of corruption. However, corruption distorts law and order and decreases stock returns.
ECONOMIC MODELLING
(2021)
Article
Physics, Multidisciplinary
Semei Coronado, Jose N. Martinez, Victor Gualajara, Omar Rojas
Summary: The relationship between COVID-19 news series and stock market volatility in Latin American countries and the U.S. was analyzed. The results showed that the U.S. and Latin American stock markets reacted differently to COVID-19 news, and certain news indices had significant impact on Latin American markets. These COVID-19 news indices can be used to forecast stock market volatility in the U.S. and Latin America.
Article
Business, Finance
Wenli Huang, Shi Li, Zhen Qi, Qi Zhang
Summary: This study examines the impact of macro disagreement on stock returns in an international context. The results show a significant local disagreement beta effect in all G7 countries except for Italy, which remains robust to size and value effects. Moreover, there is a strong spillover effect of macro disagreement on the U.S. economy to all non-U.S. G7 countries, with the degree of this effect closely and positively related to a country's economic dependence on the U.S. The spillover effect is more pronounced or significant for most non-U.S. G7 countries, except for Japan, during periods of high economic uncertainty in the U.S.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2022)
Article
Business, Finance
Deepa Bannigidadmath, Paresh Kumar Narayan, Dinh Hoang Bach Phan, Qiang Gong
Summary: This paper analyses how COVID-19 related government policies influence stock markets. The study found that for most countries, the stimulus package and lockdown policies had a negative impact on stock returns, while the travel ban had the least effect on stock returns.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Yinhong Yao, Jingyu Li, Wei Chen
Summary: This paper investigates the multiscale extreme risk spillovers among Shanghai, Shenzhen, Hong Kong, and London stock markets by combining the wavelet decomposition and time-varying copula-CoVaR methods, and compares the impacts of three Stock Connect programs proposed by China. The results show that there are dynamic and asymmetric multiscale extreme risk spillovers among the four stock markets, and the magnitudes of risk spillover effects decrease as the time scale increases. The implementation of the stock connect programs can improve the spillovers between related stock markets, but their impacts are lower than external shock events.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2024)
Article
Economics
Walid Mensi, Mobeen Ur Rehman, Debasish Maitra, Khamis Hamed Al-Yahyaee, Xuan Vinh Vo
Summary: This study examines the multiscale spillovers between five important emerging stock markets and Islamic stock market indices. The results show evidence of time-scale co-movements between conventional and Islamic stock markets, with short-term contagion and long-term fundamental contagion. The integration between the Islamic bond market and the conventional stock markets of the BRICS countries is relatively low. DJIM and DJ Sukuk provide risk diversification opportunities for BRICS stock market volatility.
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
(2023)
Article
Mathematics, Interdisciplinary Applications
Xinlei Ge, Aijing Lin
Summary: The paper introduces a new method called multiscale multifractal detrended partial cross-correlation analysis (MM-DPXA), which can eliminate the influence of other variables and provide valuable information. By studying financial time series, the utility of this method in complex systems and the effect of financial crisis on stock market cross-correlations are demonstrated.
CHAOS SOLITONS & FRACTALS
(2021)
Article
Economics
Serdar Neslihanoglu, Stelios Bekiros, John McColl, Duncan Lee
Summary: This study evaluates the suitability of a Linear Market Model (LMM) and two extensions, finding that the Multivariate Time-varying Linear Market Model (MTv-LMM) performs significantly better in modeling and forecasting stock market returns.
EMPIRICAL ECONOMICS
(2021)
Editorial Material
Statistics & Probability
Javier Fernandez-Macho
JOURNAL OF APPLIED STATISTICS
(2015)
Article
Environmental Sciences
Javier Fernandez-Macho
MARINE POLLUTION BULLETIN
(2016)
Article
Energy & Fuels
Josue M. Polanco Martinez, Luis M. Abadie, J. Fernandez-Macho
Article
Physics, Multidisciplinary
J. M. Polanco-Martinez, J. Fernandez-Macho, M. B. Neumann, S. H. Faria
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2018)
Article
Physics, Multidisciplinary
Javier Fernandez-Macho
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2018)
Article
Computer Science, Interdisciplinary Applications
Josue M. Polanco-Martinez, F. Javier Fernandez-Macho
COMPUTING IN SCIENCE & ENGINEERING
(2014)
Article
Environmental Sciences
Arantza Murillas-Maza, Jorge Virto, Maria Carmen Gallastegui, Pilar Gonzalez, Javier Fernandez-Macho
NATURAL RESOURCES FORUM
(2011)
Article
Computer Science, Interdisciplinary Applications
Javier Fernandez-Macho
COMPUTING IN SCIENCE & ENGINEERING
(2019)
Article
Multidisciplinary Sciences
Josue M. Polanco-Martinez, Javier Fernandez-Macho, Martin Medina-Elizalde
SCIENTIFIC REPORTS
(2020)
Article
Green & Sustainable Science & Technology
Aleida Cobas-Valdes, Javier Fernandez-Macho
Summary: The increasing female labor force participation and higher education levels have not led to a significant reduction in the wage gap, posing a challenge in addressing gender inequalities. Hispanics, particularly Cubans, are a significant minority group in the US labor market, with women experiencing a stronger negative impact on earnings and differing roles of education between genders.
Article
Environmental Studies
Javier Fernandez-Macho, Pilar Gonzalez, Jorge Virto
Article
Economics
Aleida Cobas-Valdes, Javier Fernandez-Macho, Ana Fernandez-Sainz
Article
Environmental Studies
Javier Fernandez-Macho, Pilar Gonzalez, Jorge Virto
Article
Environmental Studies
Javier Fernandez-Macho, Arantza Murillas, Alberto Ansuategi, Marta Escapa, Carmen Gallastegui, Pilar Gonzalez, Raul Prellezo, Jorge Virto
Article
Physics, Multidisciplinary
Xiaoyu Shi, Jian Zhang, Xia Jiang, Juan Chen, Wei Hao, Bo Wang
Summary: This study presents a novel framework using offline reinforcement learning to improve energy consumption in road transportation. By leveraging real-world human driving trajectories, the proposed method achieves significant improvements in energy consumption. The offline learning approach demonstrates generalizability across different scenarios.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Junhyuk Woo, Soon Ho Kim, Hyeongmo Kim, Kyungreem Han
Summary: Reservoir computing (RC) is a new machine-learning framework that uses an abstract neural network model to process information from complex dynamical systems. This study investigates the neuronal and network dynamics of liquid state machines (LSMs) using numerical simulations and classification tasks. The findings suggest that the computational performance of LSMs is closely related to the dynamic range, with a larger dynamic range resulting in higher performance.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Yuwei Yang, Zhuoxuan Li, Jun Chen, Zhiyuan Liu, Jinde Cao
Summary: This paper proposes an extreme learning machine (ELM) algorithm based on residual correction and Tent chaos sequence (TRELM-DROP) for accurate prediction of traffic flow. The algorithm reduces the impact of randomness in traffic flow through the Tent chaos strategy and residual correction method, and avoids weight optimization using the iterative method. A DROP strategy is introduced to improve the algorithm's ability to predict traffic flow under varying conditions.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Chengwei Dong, Min Yang, Lian Jia, Zirun Li
Summary: This work presents a novel three-dimensional system with multiple types of coexisting attractors, and investigates its dynamics using various methods. The mechanism of chaos emergence is explored, and the periodic orbits in the system are studied using the variational method. A symbolic coding method is successfully established to classify the short cycles. The flexibility and validity of the system are demonstrated through analogous circuit implementation. Various chaos-based applications are also presented to show the system's feasibility.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Viorel Badescu
Summary: This article discusses the maximum work extraction from confined particles energy, considering both reversible and irreversible processes. The results vary for different types of particles and conditions. The concept of exergy cannot be defined for particles that undergo spontaneous creation and annihilation. It is also noted that the Carnot efficiency is not applicable to the conversion of confined thermal radiation into work.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
P. M. Centres, D. J. Perez-Morelo, R. Guzman, L. Reinaudi, M. C. Gimenez
Summary: In this study, a phenomenological investigation of epidemic spread was conducted using a model of agent diffusion over a square region based on the SIR model. Two possible contagion mechanisms were considered, and it was observed that the number of secondary infections produced by an individual during its infectious period depended on various factors.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Zuan Jin, Minghui Ma, Shidong Liang, Hongguang Yao
Summary: This study proposes a differential variable speed limit (DVSL) control strategy considering lane assignment, which sets dynamic speed limits for each lane to attract vehicle lane-changing behaviors before the bottleneck and reduce the impact of traffic capacity drop. Experimental results show that the proposed DVSL control strategy can alleviate traffic congestion and improve efficiency.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
Summary: In this study, we investigate the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event-driven agent-based financial market model. The results show that the agents with smaller state spaces converge faster and are able to intuitively learn to trade using spread and volume states. The introduction of the learning agent has a robust impact on the moments of the model, except for the Hurst exponent, which decreases, and it can increase the micro-price volatility as trading volumes increase.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Zhouzhou Yao, Xianyu Wu, Yang Yang, Ning Li
Summary: This paper developed a cooperative lane-changing decision system based on digital technology and indirect reciprocity. By introducing image scoring and a Q-learning based reinforcement learning algorithm, drivers can continuously evaluate gains and adjust their strategies. The study shows that this decision system can improve driver cooperation and traffic efficiency, achieving over 50% cooperation probability under any connected vehicles penetration and traffic density, and reaching 100% cooperation probability under high penetration and medium to high traffic density.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Josephine Nanyondo, Henry Kasumba
Summary: This paper presents a multi-class Aw-Rascle (AR) model with area occupancy expressed in terms of vehicle class proportions. The qualitative properties of the proposed equilibrium velocity and the stability conditions of the model are established. The numerical results show the effect of proportional densities on the flow of vehicle classes, indicating the realism of the proposed model.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Oliver Smirnov
Summary: This study proposes a new method for simultaneously estimating the parameters of the 2D Ising model. The method solves a constrained optimization problem, where the objective function is a pseudo-log-likelihood and the constraint is the Hamiltonian of the external field. Monte Carlo simulations were conducted using models of different shapes and sizes to evaluate the performance of the method with and without the Hamiltonian constraint. The results demonstrate that the proposed estimation method yields lower variance across all model shapes and sizes compared to a simple pseudo-maximum likelihood.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Przemyslaw Chelminiak
Summary: The study investigates the first-passage properties of a non-linear diffusion equation with diffusivity dependent on the concentration/probability density through a power-law relationship. The survival probability and first-passage time distribution are determined based on the power-law exponent, and both exact and approximate expressions are derived, along with their asymptotic representations. The results pertain to diffusing particles that are either freely or harmonically trapped. The mean first-passage time is finite for the harmonically trapped particle, while it is divergent for the freely diffusing particle.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Hidemaro Suwa
Summary: The choice of transition kernel is crucial for the performance of the Markov chain Monte Carlo method. A one-parameter rejection control transition kernel is proposed, and it is shown that the rejection process plays a significant role in determining the sampling efficiency.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Xudong Wang, Yao Chen
Summary: This article investigates the joint influence of expanding medium and constant force on particle diffusion. By starting from the Langevin picture and introducing the effect of external force in two different ways, two models with different force terms are obtained. Detailed analysis and derivation yield the Fokker-Planck equations and moments for the two models. The sustained force behaves as a decoupled force, while the intermittent force changes the diffusion behavior with specific effects depending on the expanding rate of the medium.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)