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Tingting Chen, Yan Li, Xiongfei Jiang and Lingjie Shao
The methods of complex networks have been extensively used to characterize information flow in complex systems, such as risk propagation in complex financial networks. However, network dynamics are ignored in most cases despite systems with similar topol...
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Ivan Stefanovic, Sloboda Prokic, Gheorghe Savoiu, Ion Iorga Siman
Pág. 1 - 16
Researchers have often used constructs such as routines, operational capability, dynamic capability, absorptive capacity, etc., to explain various organizational phenomena, especially a competitive advantage of firms. As a consequence of their frequent u...
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Ivan Cherednik
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It ...
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Vitor H. Carvalho and Raquel M. Gaspar
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain...
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Faheem Aslam, Wahbeeah Mohti and Paulo Ferreira
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by a...
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