In this paper a novel approach is proposed to predict intraday directional-movements of a currency-pair in the foreign exchange market based on the text of breaking financial news-headlines. The motivation behind this work is twofold: First, although market-prediction through text-mining is shown to be a promising area of work in the literature, the text-mining approaches utilized in it at this...

The stylized facts of univariate high-frequency data in finance are well known; see Dacorogna et al. (2001). In Breymann et al. (2003) we analyzed bivariate high frequency forex data as a function of the sampling frequency, however treating the data as iid. In the present paper, using the data from Breymann et al. (2003), we model the dynamics as GARCH type processes and investigate the stylize...

Mosaic View is a mosaic picture composed of small pieces that contain images. The images used for the pieces can be arbitrary, so the overall image depicted in the mosaic can be independent of the images constituting the parts. The mosaic can display a modest overall image containing rich information using many small images. This article describe one method for making a mosaic, as well as sever...

We document the calibration of the local volatility in a framework similar to Coleman, Li and Verma. The quality of a surface is assessed through a functional to be optimized; the specificity of the approach is to separate the optimization (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint (as in L. Jiang et. al.) to obtain an app...

Abstract Financial markets are seen as one of the most important in economic terms. The activities investors financial consist predicting how best to invest accumulated capital, using all kinds analyzes and forecasts. In literature on subject, apart from fundamental analysis, technical analysis is distinguished. While first help you choose a specific asset with profitable potential, designed in...

Abstract The foreign exchange markets, renowned as the largest financial markets globally, also stand out one of most intricate due to their substantial volatility, nonlinearity, and irregular nature. Owing these challenging attributes, various research endeavors have been undertaken effectively forecast future currency prices in with precision. studies performed built models utilizing statisti...

The COVID pandemic reveals the fragility of global financial market during rare disasters. Conventional safe-haven assets like gold can be used to hedge against ordinary risks, but tail dependence substantially reduce hedging effectiveness. In contrast, green bonds focus on long-term, sustainable investments, so they become an important tool climate as well disasters COVID. copula approach base...

Abstract Support vector regression is a promising method for time-series prediction, as it has good generalisability and an overall stable behaviour. Recent studies have shown that can describe the dynamic characteristics of financial processes make more accurate forecasts than other machine learning techniques. The first main contribution this paper to propose methodology modelling forecasting...