281 citations · 4.1k across the 191 of their papers we have counts for
14 papers · 1 filter
Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior
Kuok Sin Un, Marcel Ausloos
Through a novel approach, this paper shows that substantial change in stock market behavior has a statistically and economically significant impact on equity risk premium predictab…
The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator
Claudiu Vinte, Marcel Ausloos
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic en…
Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model
Marcel Ausloos, Yining Zhang, Gurjeet Dhesi
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Sh…
Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity
Marcel Ausloos, Valerio Ficcadenti, Gurjeet Dhesi +1
The so-called Benford's laws are of frequent use in order to observe anomalies and regularities in data sets, in particular, in election results and financial statements. Yet, basi…
Simple approaches on how to discover promising strategies for efficient enterprise performance, at time of crisis in the case of SMEs : Voronoi clustering and outlier effects perspective
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano +1
This paper analyzes the connection between innovation activities of companies -- implemented before a financial crisis -- and their performance -- measured after such a time of cri…
Coupled criticality analysis of inflation and unemployment
Z. Koohi Lai, A. Namaki, A. Hosseiny +2
In this paper, we are interested to focus on the critical periods in the economy which are characterized by large fluctuations in macroeconomic indicators. To capture unusual and l…
Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano +1
This paper analyzes the connection between innovation activities of companies -- implemented before crisis -- and their performance -- measured at time of crisis. The companies lis…
Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011
Marcel Ausloos, Roy Cerqueti, Tariq A. Mir
This dataset contains the annual aggregated income taxes of all the Italian municipalities over the years 2007-2011. Data are clustered over the Italian regions and provinces. The…
Investigating the configurations in cross-shareholding: a joint copula-entropy approach
Roy Cerqueti, Giulia Rotundo, Marcel Ausloos
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the l…
Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries
Jing Shi, Marcel Ausloos, Tingting Zhu
We discuss a common suspicion about reported financial data, in 10 industrial sectors of the 6 so called "main developing countries" over the time interval [2000-2014]. These data…
Data science for assessing possible tax income manipulation: The case of Italy
Marcel Ausloos, Roy Cerqueti, Tariq A. Mir
This paper explores a real-world fundamental theme under a data science perspective. It specifically discusses whether fraud or manipulation can be observed in and from municipalit…
Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
Marcel Ausloos, Rosella Castellano, Roy Cerqueti
In this paper, we search whether the Benford's law is applicable to monitor daily changes in sovereign Credit Default Swaps (CDS) quotes, which are acknowledged to be complex syste…
Benford's law and Theil transform of financial data
Paulette Clippe, Marcel Ausloos
Among econophysics investigations, studies of religious groups have been of interest. On one hand, the present paper concerns the Antoinist community financial reports, - a communi…
Econophysics of a religious cult: the Antoinists in Belgium [1920-2000]
Marcel R. Ausloos
In the framework of applying econophysics ideas in religious topics, the finances of the Antoinist religious movement organized in Belgium between 1920 and 2000 are studied. The in…