Financial market prediction is one of the most attractive research areas in financial data mining field because of its available data and potential profits. Financial market prediction has been paid much attention by many researchers and practitioners. Huge numbers of forecasting methods including judgmental methods and statistical methods have been proposed. In previous studies, judgmental met...

A new general model for asset returns is studied in the framework of the Fractal Market Hypothesis (FMH). To accomodate markets with arbitrage opportunities it concerns capital market systems in which the Conditionally Exponential Dependence (CED) property can be attached to each investor on the market. Emploing the limit theorem for the CED systems, the universal characteristics for the distri...

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and recovery is modelled as a fraction of the par value of the defaulted claim. The newly introduced survival...

it is very important for managers, investors and financial policy-makers to detect and analyze factors affecting financial markets to obtain optimal decision and reduce risks. the importance of market analysis and attempt to improve its behavior understanding, has led analysts to use the experiences of other professionals in the fields such as social sciences and mathematics to examine the inte...

In the course of economic globalization a process of formation of the united financial market has evolved. The united market means a gradual merge of financial risks and increase of volumes and unpredictability of aggregate risk in the result of synergetic effect contained in the nature of financial market as of a nonlinear dynamical system. The article examines the factors of financial globali...

Stress in financial markets influences economic agents’ behavior by creating uncertainty and changing the expectations. Critical financial stress can lead to financial crisis. Financial crises are among the events always present in the world economy. Iran is not an exception. This paper aims to study the impact of financial stresses on Iran’s per capita GDP. By using ARDL (Auto Regressive Distr...

Based on the data from the Chinese financial market, this paper focuses on analyzing three types of network entropies of the financial market, namely, Shannon, Renyi and Tsallis entropies. The findings suggest that Shannon entropy can reflect the volatility of the financial market, that Renyi and Tsallis entropies also have this function when their parameter has a positive value, and that Renyi...

The discovery of evolutionary laws of financial market is always built on the basis of financial data. Any financial market must be controlled by some basic laws, including macroscopic level, submicroscopic level and microscopic level laws. How to discover its necessity-laws from financial data is the most important task of financial market analysis and prediction. Based on the evolutionary com...