We investigate high-frequency reactions in the Eurozone stock market and the UK stock market duri... more We investigate high-frequency reactions in the Eurozone stock market and the UK stock market during the time period surrounding European Central Bank (ECB) and the Bank of England (BoE)'s interest rate decisions, assessing how these two markets react and co-move influencing each other. The effects are quantified by measuring linear and nonlinear transfer entropy combined with a bivariate empirical mode decomposition from a dataset of 1 min prices for the Euro Stoxx 50 and the FTSE 100 stock indices. We uncover that central banks' interest rate decisions induce an upsurge in intraday volatility that is more pronounced on ECB announcement days and there is a significant information flow between the markets with prevalent direction going from the market where the announcement is made towards the other.
The objective is to examine the association between the accessibility and availability of health ... more The objective is to examine the association between the accessibility and availability of health care services and patient ratings published on Yelp. This study suggests that Yelp can serve as an alternative source to study patient experience.
This paper is concerned with implementing and evaluating popular mean-reversion trading strategie... more This paper is concerned with implementing and evaluating popular mean-reversion trading strategies. The underlying market is modeled like a sinusoidal function, consistently switching between two states: the uptrend (bull market) and down trend (bear market). The set of trading rules examined includes Moving Averages (Simple and Exponentially Weighted), Moving Average Cross-Over, the Auto-regressive model (AR), Moving Average Convergence/Divergence (MACD), Relative Strength Index (RSI), MA 200/MA 20. The objective is to identify three best performing trading strategies and evaluate their performance through popular performance indicators and statistical hypothesis testing.
Developing a successful asset allocation strategy requires the construction of diversified portfo... more Developing a successful asset allocation strategy requires the construction of diversified portfolios, able to perform well out-of-sample. During the 2007/08 financial crisis, many investment portfolios lost substantial amounts of capital because they were based on Markowitz's portfolio optimisation, a scheme which is highly sensitive to estimation errors and to the presence of multicollinearity, that increases especially during crisis periods. This paper applies two popular techniques used in statistical regularisation, LASSO and RIDGE, that are designed to avoid overfitting (a side effect of multicollinearity) and improve the portfolio estimation risk. It is found that these techniques outperform the classical Markowitz optimisation scheme and lead to more stable asset allocations.
The outbreak of the 2008 Global Financial Crisis has revealed that serious imbalances have been b... more The outbreak of the 2008 Global Financial Crisis has revealed that serious imbalances have been built in the global economy over the past 40-50 years. These global imbalances and the financial crisis have been widely attributed to the excessive credit growth and leverage of the major industrial economies. However, despite this common held theory, assessing in real time whether and when high levels of debts undermine the stability of financial systems remains still a challenge. An extensive literature has developed on methods to forecast financial crises. Drawing on the existing research, this paper compares the predictive performance of the traditional logistic regression model and machine learning based classification techniques, as well as examines the role of credit growth and early warning indicators in predicting financial crises.
We investigate high-frequency reactions in the Eurozone stock market and the UK stock market duri... more We investigate high-frequency reactions in the Eurozone stock market and the UK stock market during the time period surrounding European Central Bank (ECB) and the Bank of England (BoE)'s interest rate decisions, assessing how these two markets react and co-move influencing each other. The effects are quantified by measuring linear and nonlinear transfer entropy combined with a bivariate empirical mode decomposition from a dataset of 1 min prices for the Euro Stoxx 50 and the FTSE 100 stock indices. We uncover that central banks' interest rate decisions induce an upsurge in intraday volatility that is more pronounced on ECB announcement days and there is a significant information flow between the markets with prevalent direction going from the market where the announcement is made towards the other.
The objective is to examine the association between the accessibility and availability of health ... more The objective is to examine the association between the accessibility and availability of health care services and patient ratings published on Yelp. This study suggests that Yelp can serve as an alternative source to study patient experience.
This paper is concerned with implementing and evaluating popular mean-reversion trading strategie... more This paper is concerned with implementing and evaluating popular mean-reversion trading strategies. The underlying market is modeled like a sinusoidal function, consistently switching between two states: the uptrend (bull market) and down trend (bear market). The set of trading rules examined includes Moving Averages (Simple and Exponentially Weighted), Moving Average Cross-Over, the Auto-regressive model (AR), Moving Average Convergence/Divergence (MACD), Relative Strength Index (RSI), MA 200/MA 20. The objective is to identify three best performing trading strategies and evaluate their performance through popular performance indicators and statistical hypothesis testing.
Developing a successful asset allocation strategy requires the construction of diversified portfo... more Developing a successful asset allocation strategy requires the construction of diversified portfolios, able to perform well out-of-sample. During the 2007/08 financial crisis, many investment portfolios lost substantial amounts of capital because they were based on Markowitz's portfolio optimisation, a scheme which is highly sensitive to estimation errors and to the presence of multicollinearity, that increases especially during crisis periods. This paper applies two popular techniques used in statistical regularisation, LASSO and RIDGE, that are designed to avoid overfitting (a side effect of multicollinearity) and improve the portfolio estimation risk. It is found that these techniques outperform the classical Markowitz optimisation scheme and lead to more stable asset allocations.
The outbreak of the 2008 Global Financial Crisis has revealed that serious imbalances have been b... more The outbreak of the 2008 Global Financial Crisis has revealed that serious imbalances have been built in the global economy over the past 40-50 years. These global imbalances and the financial crisis have been widely attributed to the excessive credit growth and leverage of the major industrial economies. However, despite this common held theory, assessing in real time whether and when high levels of debts undermine the stability of financial systems remains still a challenge. An extensive literature has developed on methods to forecast financial crises. Drawing on the existing research, this paper compares the predictive performance of the traditional logistic regression model and machine learning based classification techniques, as well as examines the role of credit growth and early warning indicators in predicting financial crises.
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Papers by Vittoria Volta