Financial markets, political variables and extreme events
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Abstract EN:
This thesis investigates the dynamics of financial markets from different perspectives. First, we analyze the impact of different political variables on market prices. We show that the quality of economic policy and the institutional effectiveness display surprisingly low correlation and play a crucial role for the stock, CDS and forex markets. Second, focusing on extreme events, we show that the extreme correlation between asset returns and trading volumes is very low during stock market booms and crashes. Third, in order to optimally deal with these extreme events, we study the predictive accuracy of an entropy-based estimator to forecast asset prices. We compare this entropic estimator with a standard quadratic technique based on the mean square error, and we show that the entropy attains higher forecasting precision. Finally, we study pairs trading, a well-known investment strategy that is applied to the Italian stock market, and investigate the determinants of its profitability.
Abstract FR:
Cette thèse de doctorat étudie les dynamiques des marchés financiers quand des évènements extrêmes et des variables politiques sont pris en compte. Il est reconnu que les crises financières aussi bien que les évènements politiques nationaux et internationaux ont un impact significatif sur les bourses mondiales, et cet impact est devenu encore plus important avec l'intégration accrue des marchés financiers, de telle sorte par exemple qu'un choc dans un pays peut avoir rapidement des répercussions sur les autres marchés.