Because of the theoretical challenges posed by Efficient Market Hypothesis with respect to technical analysis, effectiveness indicators in high-frequency trading remains inadequately explored, particularly at minute-level frequency, where effects microstructure market dominate. This study evaluates integration traditional Random Forest regression models using SPY data, analyzing 13 distinct model configurations. Our empirical results reveal a stark contrast between in-sample and...

This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in United States, through exchange-traded funds (ETFs) with exposure to Pakistan. The analysis encompasses 30 ETFs varying degrees Pakistan, covering period from January 1, 2016, February 2024. research highlights potential benefits risks associated investing these ETFs, emphasizing importance thorough risk assessments portfolio...

This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dynamically in volatile nonstationary financial markets. Unlike traditional minimum-variance approaches, AMVP incorporates real-time adaptability through advanced econometric models, including ARFIMA-FIGARCH processes non-Gaussian innovations. Empirical applications on cryptocurrency equity markets demonstrate proposed framework's...

This study seeks to advance the theory of dynamic asset pricing by introducing valuation, adjusted environmental, social and governance (ESG) ratings, within a unified Bachelier–Black–Scholes–Merton market model, developing option valua tion in both continuous-time discrete-time (binomial tree) frameworks. An empirical based on call prices for assets selected from Nasdaq-100 develops implied values main ESG parameter model. For these stocks, traders have in-the-money valuations that are...

This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in United States, through exchange-traded funds (ETFs) with exposure to Pakistan. The analysis encompasses 30 ETFs varying degrees Pakistan, covering period from 1 January 2016 February 2024. research highlights potential benefits risks associated investing these ETFs, emphasizing importance thorough risk assessments portfolio...

We propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model time series properties of cryptocurrency bitcoin. By using two processes, NDIG captures both skew and fat-tailed of, as well intrinsic driving, bitcoin returns gives rise an arbitrage-free option pricing model. In this framework, we derive volatility measures. The first combines with Chicago Board Options Exchange VIX compute implied volatility; second uses unit increment Both measures are...

Motivated by behavioral finance, we introduce multiple embedded financial time clocks. Consistent with asset pricing theory in analyzing equity returns, the investors' view is considered introducing a subordinator. Subordinating to Brownian motion process log-normal model results new log-price whose parameter as important mean and variance. We describe distributions, demonstrating their use tail behavior. The models are applied S&P 500 treating Chicago Board Options Exchange (CBOE)...

In an era where sustainability is paramount, our paper pioneers the concept of a global financial market for environmental indices, aiming to attract institutional investors by addressing concerns and managing investment risks. We monetize indices with quantitative measures, constructing country specific enabling them be viewed as dollar-denominated assets. Our goal foster active engagement in portfolio analysis trading within this emerging market. To evaluate manage risks, we utilize...

This study discusses how financial economic theory and its quantitative tools can be applied to create socioeconomic indices develop a market for the so-called “socioeconomic well-being indices”. In this study, we quantify by assigning dollar value factors of selected countries; is analogous Dow 30 encapsulates health US market. While environmental, social, governance (ESG) markets address issues, our focus broader, encompassing national citizens’ well-being. The dollar-denominated each...

We use Student’s t-copula to study the extreme variations in bivariate kinematic time series of log–return and log–roughness S&P 500 index during two market crashes, financial crisis 2008 flash crash on Monday August 24, 2015. The stable small values tail dependence observed for some months preceding indicate that joint distribution daily return roughness was close a normal one. volatility degree freedom indices as determined by falls down substantially after stock 2008. number degrees...

Using the Donsker–Prokhorov invariance principle, we extend Kim–Stoyanov–Rachev–Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration short-sellers of options. Applying Cherny–Shiryaev–Yor principles, formulate a new binomial path-dependent discrete- and continuous-time complete markets where stock price dynamics depends on log-return market influencing factor. In discrete case, results this approach financial with informed traders employing...

We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss investments. provide clear statistical evidence structure investment portfolios on regulated market adjusted to price gold. Our finding suggests active bartering oil goods would prevent collapsing national facing international sanctions.

An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of US citizenry. Econometric models are fitted log-returns quantify its tail risk and perform option pricing budgeting. By providing a statistically sound assessment contentment, consistent with rational finance theory, enabling construction valuation insurance-type financial instruments serve as contracts written against it. Endogenously, VXO volatility stock...

In complete markets there are risky assets and a riskless asset. It is assumed that the asset traded continuously in time market frictionless. this paper, we propose new method for hedging derivatives assuming hedger should not always rely on trading existing used to form linear portfolio comprised of asset, standard derivatives, but rather design set specific, most-suited financial instruments problem. We introduce sequence best suited jump-diffusion stochastic volatility models. The...

It is essential to incorporate the impact of investor behavior when modeling dynamics asset returns. In this article, authors reconcile behavioral finance and rational by incorporating within framework dynamic pricing theory. To include views investors, they employ method subordination that has been proposed in literature including business (intrinsic, market) time. They define a mixed Lévy subordinated model adding single process well-known log-normal model, resulting new log-price process....