Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

no code implementations • 29 Aug 2021 • 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.

Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity

no code implementations • 16 Apr 2021 • Marcel Ausloos, Valerio Ficcadenti, Gurjeet Dhesi, Muhammad Shakeel

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.

Words ranking and Hirsch index for identifying the core of the hapaxes in political texts

no code implementations • 13 Jun 2020 • Valerio Ficcadenti, Roy Cerqueti, Marcel Ausloos, Gurjeet Dhesi

We discuss the resulting list of words in the light of the overall US Presidents' speeches.