By Eduard Baumohl / 9 Apr 2019
Quantile coherency networks of international stock markets
This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks.
By Eduard Baumohl / 11 Jul 2018
Network-based asset allocation strategies
In this study, we construct financial networks in which nodes are represented by assets and where edges are based on long-run correlations. We construct four networks (complete graph, a minimum spanning tree, a planar maximally filtered graph, and a threshold significance graph) and use three centrality measures (betweenness, eigenvalue centrality, and the expected force).
By Eduard Baumohl / 21 Feb 2018
Are cryptocurrencies connected to forex? A quantile cross-spectral approach
This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by BarunÃk and Kley (2015).
By Richard Pincak / 11 Jul 2016
The study of Thai stock market across the 2008 financial crisis
We propose new cohomology theory for financial market. We perform analysis of financial tensor network for non-equilibrium state, with closeness centrality of a tensor field of partial correlation, with planar graph of Hilbert–Huang transform with hyperbolic spectrum of IMF. We detect the 2008 market crash for Thai SET50 Index Futures market.
By Richard Pincak / 10 Mar 2016
Kolmogorov space in time series data
We provide the proof that the space of time series data is a Kolmogorov space with T0-separation axiom using the loop space of time series data. In our approach, we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition.
By Richard Pincak / 24 Nov 2015
With strings toward safety future on financial markets
Almost all known econometric models applied on a long term basis on financial forex market do not work sufficiently. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate the real financial markets.
By Richard Pincak / 23 Nov 2015
Using string invariants for prediction searching for optimal parameters
We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance.
By Richard Pincak / 29 Jun 2015
With string model to time series forecasting
Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well...
By Richard Pincak / 29 Jun 2015
The string prediction models as invariants of time series in the forex market
In this paper we apply a new approach of string theory to the real financial market. The models are constructed with an idea of prediction models based on the string invariants (PMBSI)...
By Richard Pincak / 29 Jun 2015
Experimental analysis of the prediction model based on string invariants
A new approach of the string theory called the Prediction Model Based on String Invariants (PMBSI) was applied here to time-series forecast...
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