Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This master’s thesis investigates the potential of liquidity indicators to help forecast the trade duration and their impact on the probability of flash crashes in financial markets. Our study uses autoregressive conditional duration (ACD) models for modelling the trade duration and compares the standard ACD with the Log-ACD model. Our analysis is based on high-frequency trading data over the period of the May 2010 flash crash. Our research incorporates the percentage effective
spread (PES), the volume-synchronized probability of informed trading (VPIN) and the average depth liquidity indicators into the ACD models. The results indicate that, although these indicators offer some understanding of trade duration, incorporating liquidity indicators into the models did not significantly improve model performances. Our study also reveals that longer trading durations are not systematically correlated with significant price variations, making trading duration alone an impractical predictor of flash crashes. The results suggest that the dynamics leading to extreme market events are probably influenced by a broader set of factors than liquidity and trading duration. This emphasizes the need for more comprehensive models that incorporate additional market variables.

Trade duration --- High-frequency data --- Autoregressive Conditional Duration --- Liquidity indicators --- Market microstructure --- Sciences économiques & de gestion > Finance --- Sciences économiques & de gestion > Méthodes quantitatives en économie & gestion

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.

short-term forecasting --- wavelet transform --- IPO --- volatility --- US dollar --- institutional investors’ shareholdings --- neural network --- financial market stress --- market microstructure --- text similarity --- TVP-VAR model --- Japanese yen --- convolutional neural networks --- global financial crisis --- deep neural network --- cross-correlation function --- boosting --- causality-in-variance --- flight to quality --- bagging --- earnings quality --- algorithmic trading --- stop loss --- statistical arbitrage --- ensemble learning --- liquidity risk premium --- gold return --- futures market --- take profit --- currency crisis --- spark spread --- city banks --- piecewise regression model --- financial and non-financial variables --- exports --- data mining --- latency --- crude oil futures prices forecasting --- random forests --- wholesale electricity --- SVM --- random forest --- bank credit --- deep learning --- Vietnam --- inertia --- MACD --- initial public offering --- text mining --- bankruptcy prediction --- exchange rate --- asset pricing model --- LSTM --- panel data model --- structural break --- credit risk --- housing and stock markets --- copula --- ARDL --- earnings manipulation --- machine learning --- natural gas --- housing price --- asymmetric dependence --- real estate development loans --- earnings management --- cointegration --- predictive accuracy --- robust regression --- quantile regression --- dependence structure --- housing loans --- price discovery --- utility of international currency --- ATR --- short-term forecasting --- wavelet transform --- IPO --- volatility --- US dollar --- institutional investors’ shareholdings --- neural network --- financial market stress --- market microstructure --- text similarity --- TVP-VAR model --- Japanese yen --- convolutional neural networks --- global financial crisis --- deep neural network --- cross-correlation function --- boosting --- causality-in-variance --- flight to quality --- bagging --- earnings quality --- algorithmic trading --- stop loss --- statistical arbitrage --- ensemble learning --- liquidity risk premium --- gold return --- futures market --- take profit --- currency crisis --- spark spread --- city banks --- piecewise regression model --- financial and non-financial variables --- exports --- data mining --- latency --- crude oil futures prices forecasting --- random forests --- wholesale electricity --- SVM --- random forest --- bank credit --- deep learning --- Vietnam --- inertia --- MACD --- initial public offering --- text mining --- bankruptcy prediction --- exchange rate --- asset pricing model --- LSTM --- panel data model --- structural break --- credit risk --- housing and stock markets --- copula --- ARDL --- earnings manipulation --- machine learning --- natural gas --- housing price --- asymmetric dependence --- real estate development loans --- earnings management --- cointegration --- predictive accuracy --- robust regression --- quantile regression --- dependence structure --- housing loans --- price discovery --- utility of international currency --- ATR

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.

n/a --- short-term forecasting --- wavelet transform --- IPO --- volatility --- US dollar --- institutional investors’ shareholdings --- neural network --- financial market stress --- market microstructure --- text similarity --- TVP-VAR model --- Japanese yen --- convolutional neural networks --- global financial crisis --- deep neural network --- cross-correlation function --- boosting --- causality-in-variance --- flight to quality --- bagging --- earnings quality --- algorithmic trading --- stop loss --- statistical arbitrage --- ensemble learning --- liquidity risk premium --- gold return --- futures market --- take profit --- currency crisis --- spark spread --- city banks --- piecewise regression model --- financial and non-financial variables --- exports --- data mining --- latency --- crude oil futures prices forecasting --- random forests --- wholesale electricity --- SVM --- random forest --- bank credit --- deep learning --- Vietnam --- inertia --- MACD --- initial public offering --- text mining --- bankruptcy prediction --- exchange rate --- asset pricing model --- LSTM --- panel data model --- structural break --- credit risk --- housing and stock markets --- copula --- ARDL --- earnings manipulation --- machine learning --- natural gas --- housing price --- asymmetric dependence --- real estate development loans --- earnings management --- cointegration --- predictive accuracy --- robust regression --- quantile regression --- dependence structure --- housing loans --- price discovery --- utility of international currency --- ATR

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Our Special Issue we publish at a turning point, which we have not dealt with since World War II. The interconnected long-term global shocks such as the coronavirus pandemic, the war in Ukraine, and catastrophic climate change have imposed significant humanitary, socio-economic, political, and environmental restrictions on the globalization process and all aspects of economic and social life including the existence of individual people. The planet is trapped—the current situation seems to be the prelude to an apocalypse whose long-term effects we will have for decades. Therefore, it urgently requires a concept of the planet's survival to be built—only on this basis can the conditions for its development be created. The Special Issue gives evidence of the state of econophysics before the current situation. Therefore, it can provide excellent econophysics or an inter-and cross-disciplinary starting point of a rational approach to a new era.

Research & information: general --- Mathematics & science --- energy --- economic growth --- output elasticities --- entropy production --- emissions --- optimization --- speculative attacks --- currency crisis --- neural networks --- deep learning --- Quantum-Inspired Neural Network --- traveling salesman problem --- simulated annealing technique --- kinetic exchange model --- Gini index --- Kolkata index --- minority game --- Kolkata Paise Restaurant problem --- time series analysis --- cross-correlations --- power law classification scheme --- network analysis --- globalisation --- entropy --- portfolio optimization --- regularization --- renormalization --- econophysics --- highway freight transportation --- radiation model --- transportation network --- network diversity --- power law --- economic development --- decision-making --- bounded rationality --- complexity economics --- information-theory --- maximum entropy principle --- quantal response statistical equilibrium --- correlation coefficient --- detrended cross-correlation analysis --- COVID-19 --- mobility indices --- random geometry --- risk measurement --- disordered systems --- replica theory --- return distributions --- power-law tails --- stretched exponentials --- q-Gaussians --- financial markets --- financial complexity --- collective intelligence --- emergent property --- stock correlation --- lexical evolution of econophysics --- text as data --- correspondence analysis --- long-range memory --- 1/f noise --- absolute value estimator --- anomalous diffusion --- ARFIMA --- first-passage times --- fractional Lèvy stable motion --- Higuchi's method --- mean squared displacement --- multiplicative point process --- correlation filtering --- minimal spanning tree --- planar maximally filtered graph --- topological data analysis --- SGX --- TAIEX --- complex systems --- ecological economics --- urban-regional economics --- income distribution --- financial market dynamics --- income tax --- tax deduction --- income redistribution --- government transfer --- government dependency --- poverty line --- basic income guarantee --- effective tax rate --- balanced budget --- elastic tax --- Cantor set --- fractals --- homeomorphism --- detrended fluctuation analysis --- Hurst exponent --- continuous time random walk --- intertrade times --- volatility clustering --- local transfer entropy --- long-short-term-memory --- Bitcoin --- cryptocurrencies --- multiscale analysis --- detrended cross-correlations --- covariance matrices --- copulas --- high-frequency trading --- market stability --- agent-based models --- structural entropy --- Economic Freedom of the World index --- Index of Economic Freedom --- rank-size law technique --- power law behaviour --- exponential behaviour --- multiscale partition function --- multifractal analysis --- company market --- export readiness --- internationalization --- options pricing --- mortality --- companies --- start-up --- FTSE100 --- Gompertz --- MinMax --- survival probability distribution --- high-frequency trader --- multivariate Hawkes process --- forex market --- wealth distribution --- kinetic models --- wealth inequalities --- compartmental epidemic modelling --- vaccination campaign --- flash crash --- systemic risk --- financial networks --- high frequency trading --- market microstructure --- phase transition --- criticality --- dynamics of complex networks --- cascading failure --- network science --- economic complexity --- relatedness --- products and services --- planar graph --- partial correlation --- discounting --- bond pricing --- real interest rates --- calendar anomalies --- day-of-the-week effect --- market indices --- multifractal detrended fluctuation analysis --- energy --- economic growth --- output elasticities --- entropy production --- emissions --- optimization --- speculative attacks --- currency crisis --- neural networks --- deep learning --- Quantum-Inspired Neural Network --- traveling salesman problem --- simulated annealing technique --- kinetic exchange model --- Gini index --- Kolkata index --- minority game --- Kolkata Paise Restaurant problem --- time series analysis --- cross-correlations --- power law classification scheme --- network analysis --- globalisation --- entropy --- portfolio optimization --- regularization --- renormalization --- econophysics --- highway freight transportation --- radiation model --- transportation network --- network diversity --- power law --- economic development --- decision-making --- bounded rationality --- complexity economics --- information-theory --- maximum entropy principle --- quantal response statistical equilibrium --- correlation coefficient --- detrended cross-correlation analysis --- COVID-19 --- mobility indices --- random geometry --- risk measurement --- disordered systems --- replica theory --- return distributions --- power-law tails --- stretched exponentials --- q-Gaussians --- financial markets --- financial complexity --- collective intelligence --- emergent property --- stock correlation --- lexical evolution of econophysics --- text as data --- correspondence analysis --- long-range memory --- 1/f noise --- absolute value estimator --- anomalous diffusion --- ARFIMA --- first-passage times --- fractional Lèvy stable motion --- Higuchi's method --- mean squared displacement --- multiplicative point process --- correlation filtering --- minimal spanning tree --- planar maximally filtered graph --- topological data analysis --- SGX --- TAIEX --- complex systems --- ecological economics --- urban-regional economics --- income distribution --- financial market dynamics --- income tax --- tax deduction --- income redistribution --- government transfer --- government dependency --- poverty line --- basic income guarantee --- effective tax rate --- balanced budget --- elastic tax --- Cantor set --- fractals --- homeomorphism --- detrended fluctuation analysis --- Hurst exponent --- continuous time random walk --- intertrade times --- volatility clustering --- local transfer entropy --- long-short-term-memory --- Bitcoin --- cryptocurrencies --- multiscale analysis --- detrended cross-correlations --- covariance matrices --- copulas --- high-frequency trading --- market stability --- agent-based models --- structural entropy --- Economic Freedom of the World index --- Index of Economic Freedom --- rank-size law technique --- power law behaviour --- exponential behaviour --- multiscale partition function --- multifractal analysis --- company market --- export readiness --- internationalization --- options pricing --- mortality --- companies --- start-up --- FTSE100 --- Gompertz --- MinMax --- survival probability distribution --- high-frequency trader --- multivariate Hawkes process --- forex market --- wealth distribution --- kinetic models --- wealth inequalities --- compartmental epidemic modelling --- vaccination campaign --- flash crash --- systemic risk --- financial networks --- high frequency trading --- market microstructure --- phase transition --- criticality --- dynamics of complex networks --- cascading failure --- network science --- economic complexity --- relatedness --- products and services --- planar graph --- partial correlation --- discounting --- bond pricing --- real interest rates --- calendar anomalies --- day-of-the-week effect --- market indices --- multifractal detrended fluctuation analysis