The main purpose of this study is to investigate whether cryptocurrency investors on cryptocurrency exchanges around the world behave the same in response to cryptocurrency fluctuations. To provide a new model motivated by Han et al. (2022), we found that European investors are more sensitive to...

The main purpose of this study is to investigate whether cryptocurrency investors on cryptocurrency exchanges around the world behave the same in response to cryptocurrency fluctuations. To provide a new model motivated by Han et al. (2022), we found that European investors are more sensitive to...

While recently the after-cost profits of many anomalies are close to zero, investing according to the Mean-Variance (MV) criterion has never been so rewarding. The Global Minimum Variance Portfolio is the simplest option to profitably gain exposure to the market by timing stock covariances....

In this paper, we introduce a new class of risk measures and the corresponding risk minimizing portfolio optimization problem. Instead of measuring the expected deviation of a daily return from a single target value, we propose to measure its deviation from a range of values centered on the...

Modern day trading practice resembles a thought experiment, where investors imagine various possibilities of future stock market and invest accordingly. Generative adversarial network (GAN) is highly relevant to this trading practice in two ways. First, GAN generates synthetic data by a neural...