Innovative Approaches in Econometrics, Financial Market and Business Analytics

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: 31 May 2025 | Viewed by 1023

Special Issue Editors


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Guest Editor
Department of Finance, Imperial College Business School, South Kensington Campus, London SW7 2AZ, UK
Interests: finance and econometrics; modelling crises and contagion in financial and economic markets and the analysis of their effects on properties of key models in economics and finance; development of robust econometric and statistical inference methods and their applications in financial econometrics

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Guest Editor
Discipline of Business Analytics, University of Sydney Business School, Abercrombie Building H70, Corner Abercrombie Street and Codrington Street, Darlington, NSW 2006, Australia
Interests: theoretical and applied econometrics; statistical machine learning and high-dimensional statistics; applications in business, finance, and risk and financial management; labor and health economics

Special Issue Information

Dear Colleagues,

This Special Issue, titled "Innovative Approaches in Econometrics, Financial Market and Business Analytics", will showcase cutting-edge research and innovative approaches in the fields of econometrics, business analytics, risk and financial management, and financial market and crisis modeling.

iCEBA 2024 brought together leading academics, researchers, and practitioners to discuss a wide range of topics, including crises, extremes, bubbles, tail risk, and structural breaks in economic and financial markets. The conference also addressed critical issues such as financial contagion and dependence, robust econometric and statistical methods, and the application of machine and deep learning techniques in econometrics, economics, and finance.

This Special Issue will feature selected papers that highlight significant advancements and novel methodologies in these areas. Topics include econometric analyses in comparative economics, both in developed and emerging markets, the challenges of endogeneity in economic models, agent-based and optimization methods, network analysis, and crisis and contagion modelling using heavy-tailed distributions as well as copula dependence functions, among others. Additionally, the Special Issue will explore the application of econometric techniques for policy analysis and provide insights into the latest developments in theoretical and applied econometrics, quantitative and computational economics, statistics, probability, and optimization with applications in economics, finance and risk management, and financial market as well as risk management.

By presenting these contributions, this Special Issue aims to provide a comprehensive overview of current research trends and practical applications in econometrics and risk as well as financial management, fostering a deeper understanding of and promoting further advancements in these important fields of research.

Prof. Dr. Rustam Ibragimov
Prof. Dr. Artem Prokhorov
Guest Editors

Manuscript Submission Information

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Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • economic crises
  • financial contagion
  • tail risk
  • structural breaks
  • robust statistical methods
  • comparative economics
  • agent-based modeling
  • policy analysis
  • quantitative finance
  • economic and financial markets

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Published Papers (1 paper)

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Research

21 pages, 5230 KiB  
Article
The Stability of Trend Management Strategies in Chaotic Market Conditions
by Alexander Musaev and Dmitry Grigoriev
J. Risk Financial Manag. 2025, 18(1), 33; https://doi.org/10.3390/jrfm18010033 - 15 Jan 2025
Viewed by 556
Abstract
This study investigates the stability of trend management strategies under stochastic chaos conditions, with a focus on speculative trading in the Forex market. The primary aim is to evaluate the feasibility and robustness of these strategies for asset management. The experimental setup involves [...] Read more.
This study investigates the stability of trend management strategies under stochastic chaos conditions, with a focus on speculative trading in the Forex market. The primary aim is to evaluate the feasibility and robustness of these strategies for asset management. The experimental setup involves sequential optimization and testing of trend strategies across three EURUSD observation intervals, where each subsequent interval alternates between training and testing roles. Methods include numerical data analysis, parametric optimization, and the use of both conventional and bidirectional exponential filters to isolate system components and improve trend detection. Observations reveal that while trend strategies optimized for specific intervals yield positive results, their effectiveness diminishes on unseen intervals due to inherent market instability. The results show significant limitations in using linear trend-based strategies in chaotic environments, with optimized strategies often leading to losses in subsequent periods. The discussion highlights the potential of integrating trend statistics into multi-expert decision systems, leveraging fuzzy solutions based on fundamental analysis to enhance decision-making reliability. In conclusion, while standalone trend strategies are unsuitable for stable asset management in chaotic markets, their integration into hybrid systems may provide a pathway for improved performance and resilience. Full article
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