Tag: Financial Markets
STORM: A Spatio-Temporal Factor Model Based on Dual Vector Quantized Variational Autoencoders for Financial Trading
STORM combines dual vector quantized autoencoders to extract temporal and spatial stock features, creating diverse factor embeddings for improved asset pricing and portfolio management.
Partial Integration of Indian Money, Forex, and Equity Markets Post-1991 Reforms: Cointegration Analysis and Vector Error Correction Modelling Using Monthly Time Series from 2015 to 2026
Cointegration analysis of India’s money, forex, and equity markets from 2015–2026 reveals partial integration with policy-constrained transmission and asymmetric adjustment.
Asymptotic theory of range-based multipower variation
Realized range-based multipower variation theory for jump-robust volatility estimation in sparse high-frequency asset price data with microstructure noise considerations.
