On risk and market sentiments driving financial share price dynamics

Lampart, Marek; Lampartová, Alžběta; Orlando, Giuseppe

doi:10.1007/s11071-023-08702-5

Cited by 7 publications

(4 citation statements)

References 77 publications

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“…The R-Vine Copula model can high-dimensional and dynamically depict the dynamic risk contagion relationships between different markets or assets. In the initial stage of portfolio construction, it ensures that the portfolio is composed of high return and low risk assets [37]. The model can help investors achieve significant cumulative returns and risk adjusted returns in most periods.…”

Section: Discussionmentioning

confidence: 99%

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Qiao,

Qiao

2024

Symmetry

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The success of an investment portfolio is not only related to its yield, but is also influenced by market risks, especially the contagion risks that may exist between assets. Therefore, effective portfolio optimization requires first studying the risk contagion relationship between financial assets. We selected a total of six financial assets from different stock and exchange rate markets as the research objects, and explored the risk contagion relationships of various assets in the investment portfolio through Vine Copula. Research has shown that there is often a structural mutation in one or some assets of an investment portfolio, leading to significant fluctuations in investment returns. The Vine Copula model can effectively measure the risk contagion between assets caused by asset structural mutations.

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Section: Discussionmentioning

confidence: 99%

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Qiao,

Qiao

2024

Symmetry

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“…Evidence of strong deterministic elements concealed within these stochastic features have been found in real-world data [43]. Surprisingly, the deterministic approach yielded results similar to the stochastic one [41,44], revealing the full dynamical systems landscape and offering potential control mechanisms [45,46], challenging conventional views and opening new avenues for understanding and influencing these processes [47][48][49].…”

Section: Introductionmentioning

confidence: 95%

Expecting the Unexpected: Entropy and Multifractal Systems in Finance

Orlando,

Lampart

2023

Entropy

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Entropy serves as a measure of chaos in systems by representing the average rate of information loss about a phase point’s position on the attractor. When dealing with a multifractal system, a single exponent cannot fully describe its dynamics, necessitating a continuous spectrum of exponents, known as the singularity spectrum. From an investor’s point of view, a rise in entropy is a signal of abnormal and possibly negative returns. This means he has to expect the unexpected and prepare for it. To explore this, we analyse the New York Stock Exchange (NYSE) U.S. Index as well as its constituents. Through this examination, we assess their multifractal characteristics and identify market conditions (bearish/bullish markets) using entropy, an effective method for recognizing fluctuating fractal markets. Our findings challenge conventional beliefs by demonstrating that price declines lead to increased entropy, contrary to some studies in the literature that suggest that reduced entropy in market crises implies more determinism. Instead, we propose that bear markets are likely to exhibit higher entropy, indicating a greater chance of unexpected extreme events. Moreover, our study reveals a power-law behaviour and indicates the absence of variance.

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“…With the development of chaos theory, chaos science and other disciplines have intertwined with each other, forming many new branches of research. It has been widely applied in various fields such as mathematics [2], economics [3], information technology [4], engineering [5], biology [6] and so on. Chaotic sequences are inherently sensitive to the initial parameters as well as class randomness, and these properties coincide with the two basic principles of cryptographic design, diffusion and confusion [7].…”

Section: Introductionmentioning

confidence: 99%

A hierarchical authorization image encryption algorithm based on two-dimensional time-varying delayed chaotic map

Jin,

Fan,

Zhang

et al. 2024

Phys. Scr.

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With the continuous development of information technology, the security of images in the process of transmission, storage and use has also become the focus of network security. However, most of the existing image encryption algorithms only focus on the security of images in the transmission and storage process, while ignoring their security in use. For some special organisations, images are very sensitive information and their security during usage is also very important. Similar to the advanced encryption information stored in the public security system, the depth of information that can be viewed by ordinary privileges and advanced privileges is different. But there is no such hierarchical authorisation algorithm in image security. In order to solve this problem, this study proposes a hierarchical authorisation encryption and decryption algorithm, which achieves hierarchical decryption while ensuring the security of encrypted images. In this method, the image is decomposed by bit plane, and the bit plane is grouped, and each group adopts different key. According to the level of legitimate users, the corresponding key is assigned to them, and the clarity of the decrypted image requested by different levels of users is different, that is, the information depth is different. This method extends the scope of application of the encryption algorithm and is more practical than the existing encryption algorithm.

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On risk and market sentiments driving financial share price dynamics

Cited by 7 publications

References 77 publications

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Expecting the Unexpected: Entropy and Multifractal Systems in Finance

A hierarchical authorization image encryption algorithm based on two-dimensional time-varying delayed chaotic map

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