Multi-trend trade system for financial markets

Autoassociative Neural Networks for Trend Detection in Financial Markets

No trade in financial markets with uncertainty

In this paper a Radner economy is considered with Uncertainty, modeled by means of the Choquet Expected Utility. Agents are split into two categories: optimists, who hold a concave capacity, and pessimists, who hold a convex one. A no trade theorem is stated and proved under the assumption of common beliefs with uncertainty.

Sukuk, Banking System, and Financial Markets: Rivals or Complements?

In this paper, used the system GMM estimation technique to study the effects of the financial development on Sukuk markets by using a panel dataset of 11 countries from 1995 to 2015. At the First, research findings shows that Sukuk and bank financing are substitutes. Economies where banks play a key role in providing private credit issue less Sukuk. Second, the evidence shows that Sukuk are com...

Multi-scaling Modelling in Financial Markets

In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scali...

Scaling and Multi-scaling in Financial Markets

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets’ returns. Scaling and multi-scaling analysis performed on the simulated data is in good quantitative...