Detection and forecasting of extreme events in stock price triggered by fundamental, technical, and external factors
The sporadic large fluctuations seen in the stock market are due to different factors. These
large fluctuations are termed extreme events (EE). We have identified fundamental …
large fluctuations are termed extreme events (EE). We have identified fundamental …
Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery
The emergence of the COVID-19 pandemic, a new and novel risk factor, leads to the stock
price crash due to the investors' rapid and synchronous sell-off. However, within a short …
price crash due to the investors' rapid and synchronous sell-off. However, within a short …
Characteristics of 2020 stock market crash: The COVID-19 induced extreme event
A sudden fall of stock prices happens during a pandemic due to the panic sell-off by the
investors. Such a sell-off may continue for more than a day, leading to a significant crash in …
investors. Such a sell-off may continue for more than a day, leading to a significant crash in …
Can crude oil serve as a hedging asset for underlying securities?—research on the heterogenous correlation between crude oil and stock index
S Xu, Z Du, H Zhang - Energies, 2020 - mdpi.com
In the increasingly frequent global financial turmoil, investors prefer to invest in stable assets
to hedge risks. Crude oil naturally has dual use value as a general commodity and as a …
to hedge risks. Crude oil naturally has dual use value as a general commodity and as a …
High-frequency stock market order transitions during the US–China trade war 2018: A discrete-time Markov chain analysis
Statistical analysis of high-frequency stock market order transaction data is conducted to
understand order transition dynamics. We employ a first-order time-homogeneous discrete …
understand order transition dynamics. We employ a first-order time-homogeneous discrete …
Identifying extreme events in the stock market: A topological data analysis
This paper employs Topological Data Analysis (TDA) to detect extreme events (EEs) in the
stock market at a continental level. Previous approaches, which analyzed stock indices …
stock market at a continental level. Previous approaches, which analyzed stock indices …
A sentiment-based modeling and analysis of stock price during the COVID-19: U-and Swoosh-shaped recovery
In the aftermath of stock market crash due to COVID-19, not all sectors recovered in the
same way. Recently, a stock price model is proposed by Mahata et al.(2021) that describes …
same way. Recently, a stock price model is proposed by Mahata et al.(2021) that describes …
Statistical properties of the aftershocks of stock market crashes revisited: Analysis based on the 1987 crash, financial-crisis-2008 and COVID-19 pandemic
During any unique crisis, panic sell-off leads to a massive stock market crash that may
continue for more than a day, termed as mainshock. The effect of a mainshock in the form of …
continue for more than a day, termed as mainshock. The effect of a mainshock in the form of …
Time scales and characteristics of stock markets in different investment horizons
A Mahata, M Nurujjaman - Frontiers in Physics, 2020 - frontiersin.org
Investors adopt varied investment strategies depending on the time scales (τ) of short-term
and long-term investment time horizons (ITH). The nature of the market is very different in …
and long-term investment time horizons (ITH). The nature of the market is very different in …
Market persistence amidst financial crisis: an Indian investigation
A Bhattacharjee, JM Prosad… - Cogent Economics & …, 2025 - Taylor & Francis
This study examines persistence behavior of the Indian Stock Market during financial crises
over the past decade (2012–2022). The investigation period encompasses significant …
over the past decade (2012–2022). The investigation period encompasses significant …