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Economic complexity limits accuracy of price probability predictions by gaussian distributions

Olkhov, Victor - 2023

We discuss the economic reasons why the predictions of price and return statistical moments in the coming decades, in the best case, will be limited by their averages and volatilities. That limits the accuracy of the forecasts of price and return probabilities by Gaussian distributions. The...

Persistent link: https://www.econbiz.de/10015213335

Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets

Fantazzini, Dean - 2024

and daily range models. Despite the substantial volatility observed in the majority of crypto-assets, our findings …

Persistent link: https://www.econbiz.de/10015213597

Can central bankers’ talk predict bank stock returns? A machine learning approach

Katsafados, Apostolos G.; Leledakis, George N.; … - 2024

We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS...

Persistent link: https://www.econbiz.de/10015214576

Stablecoins and credit risk: when do they stop being stable?

Korobova, Elena; Fantazzini, Dean - 2024

cryptocurrency market, addressing key challenges in traditional financial systems and DeFi, such as price volatility, transparency …

Persistent link: https://www.econbiz.de/10015214602

An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates

Li, Chenxing; Yang, Qiao - 2025

Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short … in volatility, thereby enhancing the accuracy of density forecasts compared to existing benchmark models. Out …-of-sample evaluations demonstrate the superior performance of our model in density forecasts and in capturing volatility dynamics due to its …

Persistent link: https://www.econbiz.de/10015214745

Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach

Magomedov, Said; Fantazzini, Dean - 2025

The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...

Persistent link: https://www.econbiz.de/10015214856

Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries

Fantazzini, Dean - 2020

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a dataset of 158 countries. The analysis includes the computations of lag correlations between confirmed cases and Google data, Granger causality tests, and an out-of-sample...

Persistent link: https://www.econbiz.de/10015215096

Discussing copulas with Sergey Aivazian: a memoir

Fantazzini, Dean - 2020

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...

Persistent link: https://www.econbiz.de/10015215098

Does the hashrate affect the bitcoin price?

Fantazzini, Dean; Kolodin, Nikita - 2020

This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on...

Persistent link: https://www.econbiz.de/10015222802

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382