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Minseok Kong and Jungmin So
There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL agents and make an ensemble with three different actor?critic algorithms: Advant...
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Osamah AlKhazali, Hooi Hooi Lean and Taisier Zoubi
This paper examines whether small Islamic firms? returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly...
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Inzamam UI Haq, Hira Nadeem, Apichit Maneengam, Saowanee Samantreeporn, Nhan Huynh, Thasporn Kettanom and Worakamol Wisetsri
The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements,...
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Nikoletta Poutachidou and Stephanos Papadamou
The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase ?quantitative easing? in the US. The exponential generalized a...
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Karime Chahuán-Jiménez
The Dow Jones Sustainability Index Chile (DJSI Chile) is made up of leading sustainability companies that are investing great effort into sustainable management. This study correlates the DJSI Chile with the financial indices (return on equity (ROE), ret...
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Peter Arendas, Viera Malacka and Maria Schwarzova
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November?April) than over the summer half of the year (May?October). The va...
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Christian Jonnatan Jacobsen Soto Herrera,Fernanda Finotti Cordeiro Perobelli
Pág. 285 - 335
This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished i...
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Abdessamad OUCHEN
Afin de comprendre les asymétries cycliques dans les séries des rendements des principaux indices boursiers, il est primordial de recourir aux spécifications non linéaires qui distinguent entre les phases d?expansion et celles de récession. Nous avons es...
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Electra Pitoska,Androniki Katarachia,Grigoris Giannarakis,Charalampos Tsilikas
Pág. 113 - 118
During the last decades there has been an increased interest regarding socially responsible stock indexes. However, there is a limitless literature body regarding the factors that affect these types of indexes. For this reason, this paper intends to inve...
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