We examine the impact of return predictability and parameter uncertainty on investors' long-term portfolio allocations in the context of disappointment aversion. We find persisting horizon effects, with stocks appearing progressively more attractive at longer horizons as opposed to shorter ones....

Analogous to the way wind blows single grains of sand and the subsequent settling back atop sand dunes, we find statistical evidence to claim that the prices of cryptocurrencies exhibit similar unpredicted patterns, characterized by positive or negative jumps. Motivated by extant evidence of...

The severity and occurrence of rare events in financial markets has had a fundamental impact on the pricing and risk management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient and accurate simulation due to fundamental issues...

Through financial network analysis we ascertain the existence of important causal behavior among certain financial assets, as inferred by eight different causality methods. Our results contradict the Efficient Market Hypothesis and open new horizons for further investigation and possible...

Investors' behavior in the market is highly related to the properties that financial time series capture. Particularly, nowadays the availability of high frequency datasets provides a reliable source for the better understanding of investors' psychology. The main aim of this chapter is to...

The hidden nature of causality is a puzzling, yet critical notion for effective decision-making. Financial markets are characterized by fluctuating interdependencies which seldom give rise to emergent phenomena such as bubbles or crashes. In this paper, we propose a method based on symbolic...

The behavior of stock prices has been studied extensively throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, we provide another perspective using a network theoretical approach to investigate how crises affected the behavior...