Now showing items 1-10 of 18
Intraday efficiency-frequency nexus in the cryptocurrency markets
This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies ...
The impact of blockchain related name changes on corporate performance
This paper examines the impact of blockchain and crypto-related name changes on corporate and financial performance of the corporations. We document several pieces of evidence suggesting that companies who partake in such ...
Does short-term technical trading exist in the Vietnamese stock market?
The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. ...
Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to ...
Commonality in FX liquidity: High-frequency evidence
We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency ...
Covid-19 pandemic and tail-dependency networks of financial assets
This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 ...
Financial contagion during COVID–19 crisis
This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, ...
Prediction of cryptocurrency returns using machine learning
In this study, the predictability of the most liquid twelve cryptocurrencies are analyzed at the daily and minute level frequencies using the machine learning classification algorithms including the support vector machines, ...
Applications of machine learning methods in complex economics and financial networks
(Hindawi Limited, 2020-04)
Impact of portfolio flows and heterogeneous expectations on FX jumps: evidence from an emerging market
Motivated by the recent currency crisis in Turkey, we investigate the role of portfolio flows and heterogeneous expectations on the high frequency stochastic jump behavior of the US dollar value against the Turkish lira, ...