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Monetary Policy Drivers of Bond and Equity Risks
Risk and Uncertainty Bonds Central Banking System Shocks Policy Macroeconomics
2015/4/27
The exposure of U.S. Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960–2011, it was unusually high in the 1980s and nega...
Anomalous Returns in a Neural Network Equity-Ranking Predictor
Anomalous Returns Neural Network Equity-Ranking Predictor
2010/12/20
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to ...
Diversity and relative arbitrage in equity markets
Diversity relative arbitrage equity markets
2010/12/17
A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-process model initiated...