1,720,959 research outputs found
High short interest stocks performance during the Covid-19 crisis: an informational efficacy measure based on permutation-entropy approach
No full textPurposeThe author examine the performance of a number of high short interest stocks along with the prices of the GameStop stock and three major stock exchange indices, particularly for the period after the eruption of the Covid-19 crisis.Design/methodology/approachWith the employment of the complexity–entropy causality plane approach, the author categorize the stock prices in terms of the level of informational efficiency.FindingsThe author reported that the efficiency level for the index of the high short interest stocks falls considerably, not only at the onset of the Covid-19 crisis but during the health crisis period at hand. This is translated into proof of less uncertainty in predicting the stock prices of these specific stocks. On the other hand, the GameStop prices exhibit the same behavior as those with the high short interest firms, but change considerably in the middle of the crisis. The reversal of the behavior, by obtaining higher informational efficiency levels, is attributed to the short squeeze frenzy that increased the price of the stock many times over. Among the stock market indices, the Dow Jones Industrial Average and the S&P 500 decreased their efficiency levels marginally, after the surge of the crisis, while the Russell 2000 index kept the level intact. The high and stable degree of randomness could be attributed to the measures taken concurrently by the Federal Reserve and the government immediately after the outbreak of the crisis.Originality/valueThis is one of the few studies that examine the impact of short selling behavior on the efficiency level of certain stocks' prices, particularly during the health public crisis. It provides an alternative approach to measuring quantitatively the degree of inefficiency and randomness.5071570158
Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets
No full textWe explore the evolution of the informational efficiency for specific instruments of the U.S. money, bond and stock exchange markets, prior and after the outbreak of the Great Recession. We utilize the permutation entropy and the complexity-entropy causality plane to rank the time series and measure the degree of informational efficiency. We find that after the credit crunch and the collapse of Lehman Brothers the efficiency level of specific money market instruments’ yield falls considerably. This is an evidence of less uncertainty included in predicting the related yields throughout the financial disarray. Similar trend is depicted in the indices of the stock exchange markets but efficiency remains in much higher levels. On the other hand, bond market instruments maintained their efficiency levels even after the outbreak of the crisis, which could be interpreted into greater randomness and less predictability of their yields.49926627
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Exploring the Dynamic Behavior of Crude Oil Prices in Times of Crisis: Quantifying the Aftershock Sequence of the COVID-19 Pandemic
No full textCrude oil prices crashed and dropped into negative territory at the onset of the COVID-19 pandemic. This extreme event triggered a series of great-magnitude aftershocks. We seek to investigate the cascading dynamics and the characteristics of the series immediately following the oil market crash. Utilizing a robust method named the Omori law, we quantify the correlations of these events. This research presents empirical regularity concerning the number of times that the absolute value of the percentage change in the oil index exceeds a given threshold value. During the COVID-19 crisis, the West Texas Intermediate (WTI) oil prices exhibit greater volatility compared to the Brent oil prices, with higher relaxation values at all threshold levels. This indicates that larger aftershocks decay more rapidly, and the period of turbulence for the WTI is shorter than that of Brent and the stock market indices. We also demonstrate that the power law’s exponent value increases with the threshold value’s magnitude. By proposing this alternative method of modeling extreme events, we add to the current body of literature, and the findings demonstrate its practical use for decision-making authorities—particularly financial traders who model high-volatility products like derivatives
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Empirical Distribution of the U.S. Housing Market during the Great Recession: Nonlinear Scaling Behavior after a Major Crash
No full textThis study focuses on the real estate bubble burst in the US housing market during 2007–2008. We analyze the dynamics of the housing market crash and the after-crash sequence during the Great Recession. When a complex system deviates away from its typical path by the occurrence of an extreme event, its behavior is strongly characterized as nonstationary with higher volatility. With the utilization of a robust method, we present the characteristics of the aftershock period and provide useful information about the spatial distribution and the decay process of the aftershock sequence in terms of time. The returns of the housing price indices are well approximated by the empirics of a power law. Although we deal with low-frequency data, a time power-law relaxation pattern is identified. Our findings align with those in geophysics, indicating that the value of the relaxation parameter typically hovers around one and varies across different thresholds
Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy
No full textThis paper investigates the impact of the sub-prime loan crisis on the Real Estate Market of Hong-Kong. Based on permutation entropy, complexity–entropy causality plane and Tsallis complexity–entropy curve, we characterize the complexity of the housing indices-both in terms of size and region-and distinguish the level of informational efficiency. By calculating the quantifiers we report that most indices exhibit a behavior equivalent to a persistent stochastic dynamics with Hurst exponents between 0.5 and 0.7. The outbreak of the crisis had changed the dynamical structure of the indices decreasing the level of randomness and increasing considerably their regularity and predictability. Only the index of the Kowloon area seems not impacted by the crisis, exhibiting higher levels of informational efficiency. The results are robust based on the utilization of two different entropy definitions: The Shannon and Tsallis-q entropy. Lastly, with the temporal evolution of the indices, we identify periods where the underlying dynamical structure of the market was impacted by certain events like the SARS epidemic and the imposition of Special Stamp Duty on housing.52457658
FINANCIAL MARKETS DURING HIGHLY ANXIOUS TIME: MULTIFRACTAL FLUCTUATIONS IN ASSET RETURNS
No full textBuilding on the notion that systems and in particular complex systems such as stock exchange markets reveal their structure better when they are under stress, we analyze the multifractal character and nonlinear properties of four major stock market indices during financial meltdowns by means of the multifractal detrended fluctuation analysis (MF-DFA). The three distinct financial crises under investigation are the Black Monday, the Dot-Com and the Great Recession. Scaling and Hurst exponents are derived as well as the singularity spectra. The results show that all indices exhibit strong multifractal properties. The complexity of the markets is higher under the Black Monday event revealed by the width of the singularity spectrum and the higher [Formula: see text] parameter.</jats:p
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