Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Tilfani, Oussama; Krištoufek, Ladislav; Ferreira, Paulo; Boukfaoui, My Youssef El

doi:10.1016/j.physa.2021.126530

Cited by 9 publications

(2 citation statements)

References 77 publications

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“…A variety of communities have been interested in the study of financial market dynamics, and the evolutionary changes in structural behaviours, including researchers in applied mathematics, econometrics and econophysics [1,2,3]. A variety of mathematical techniques have been used to analyze the evolutionary dynamics exhibited by such financial assets including principal components analysis (PCA) [2,4,5,6], random matrix theory [7,8,9,10,11,1], various types of clustering [12,13], structural break detection [14,15] and a variety of mathematical and statistical modelling techniques [16,17]. These techniques have been used on a wide variety of asset classes such as equities [6], foreign exchange [18] and fixed income [19].…”

Section: Introductionmentioning

confidence: 99%

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

James

2021

Preprint

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This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market. We begin by applying random matrix theory and principal components analysis (PCA) to correlation matrices of both collections, highlighting clear differences in the eigenspectra exhibited. We then explore the heterogeneity of both asset classes, studying the time-varying dynamics of underlying sector behaviours, and determine the collective similarity within each collection. We then turn to a study of structural break dynamics and evolutionary power spectra, where we quantify the collective affinity in structural breaks and evolutionary behaviours of underlying sector time series. Finally, we implement two algorithms simulating 'portfolio choice' dynamics to compare the effectiveness of stock selection and sector allocation in cryptocurrency portfolios. There, we highlight the importance of both endeavours and comment on noteworthy implications for cryptocurrency portfolio management.

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Section: Introductionmentioning

confidence: 99%

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

James

2021

Preprint

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“…In more recent years the study of time-varying dynamics and correlation structures [7,8,9] has attracted the interest of researchers. A wide variety of techniques have been used to study these evolutionary dynamics including principal components analysis (PCA) [8,10,11,12], clustering [13,14], change point detection [15,16] and various statistical modelling frameworks [17,18]. Such analysis has been applied to a wide variety of underlying security types including equities [12], foreign exchange [19], and fixed income instruments [20].…”

Section: Introductionmentioning

confidence: 99%

On the systemic nature of global inflation, its association with equity markets and financial portfolio implications

James,

Chin

2021

Preprint

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This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the systemic nature of global inflation with a judicious application of eigenvalue analysis and determine which countries exhibit most "centrality" with an inner-product based optimization method. We then turn to inflationary impacts on financial market securities, where we explore country equity indices' equity robustness and the varied performance of equity sectors during periods of significant inflationary pressure. Finally, we implement a time-varying portfolio optimization to determine which asset classes were most beneficial in increasing portfolio Sharpe ratio when an investor must hold a core (and constant) allocation to equities.

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Statistical test for detrending-moving-average-based multivariate regression model

Wang

Han

Fan

2023

Applied Mathematical Modelling

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Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Cited by 9 publications

References 77 publications

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

On the systemic nature of global inflation, its association with equity markets and financial portfolio implications

Statistical test for detrending-moving-average-based multivariate regression model

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