Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises

Belhoula, Mohamed Malek; Mensi, Walid; Al-Yahyaee, Khamis Hamed

doi:10.1016/j.resourpol.2024.105362

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2024

DOI: 10.1016/j.resourpol.2024.105362

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Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises

Mohamed Malek Belhoula,

Walid Mensi,

Khamis Hamed Al-Yahyaee

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2024

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Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty

Cho,

Lee

2024

Fractal Fract

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This study investigates the profitability of portfolios that integrate asymmetric fractality within the Black–Litterman (BL) framework. It predicts 10-day-ahead exchange-traded fund (ETF) prices using recurrent neural networks (RNNs) based on historical price information and technical indicators; these predictions are utilized as BL views. While constructing the BL portfolio, the Hurst exponent obtained from the asymmetric multifractal detrended fluctuation analysis is employed to determine the uncertainty associated with the views. The Hurst exponent describes the long-range persistence in time-series data, which can also be interpreted as the uncertainty in time-series predictions. Additionally, uncertainty is measured using asymmetric fractality to account for the financial time series’ asymmetric characteristics. Then, backtesting is conducted on portfolios comprising 10 countries’ ETFs, rebalanced on a 10-day basis. While benchmarking to a Markowitz portfolio and the MSCI world index, profitability is assessed using the Sharpe ratio, maximum drawdown, and sub-period analysis. The results reveal that the proposed model enhances the overall portfolio return and demonstrates particularly strong performance during negative trends. Moreover, it identifies ongoing investment opportunities, even in recent periods. These findings underscore the potential of fractality in adjusting uncertainty for diverse portfolio optimization applications.

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Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty

Cho,

Lee

2024

Fractal Fract

View full text Add to dashboard Cite

show abstract

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Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises

Cited by 1 publication

References 72 publications

Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty

Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty

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