Markus Vogl

Vogl-Datascience

SCHOLARLY PAPERS

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Scholarly Papers (9)

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1.

Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic?

Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic? In: Communications in Nonlinear Science and Numerical Simulation, 108, 106218 https://www.sciencedirect.com/science/article/abs/pii/S1007570421004858#!
Number of pages: 87 Posted: 15 Mar 2021 Last Revised: 25 Aug 2022
Markus Vogl and Peter Gordon Roetzel
Vogl-Datascience and University of Stuttgart
Downloads 659 (69,659)
Citation 5

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nonlinear dynamics, chaos, financial chaos, recurrence analysis, financial predictions, financial markets

2.

Trend Momentum II: Driving Forces of Low Volatility and Momentum

Number of pages: 46 Posted: 13 Feb 2018
Wilhelm Berghorn, Markus Vogl, Martin T. Schulz and Sascha Otto
Mandelbrot Asset Management GmbH, Vogl-Datascience, University of Applied Sciences Aschaffenburg and Die Sparkasse Bremen AG
Downloads 507 (96,595)
Citation 2

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Momentum Effect, Low Volatility Effect, Efficient Market Theory, Mandelbrot, Fractional Brownian Motion

3.

Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)

Vogl, M. Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). SN Bus Econ 2, 183 (2022). https://doi.org/10.1007/s43546-022-00359-3
Number of pages: 85 Posted: 18 Feb 2021 Last Revised: 11 Nov 2022
Markus Vogl
Vogl-Datascience
Downloads 390 (131,499)
Citation 1

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literature review, financial modelling, risk modelling, quantitative finance, quantitative model families, citation network, bibliographic analysis

4.

Hurst Exponent Dynamics of S&P 500 Returns: Implications for Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability by Application of a Nonlinear Dynamics Analysis Framework

Vogl, M. (2023)- Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework. In: Chaos, Solitons & Fractals,166, 112884.
Number of pages: 48 Posted: 05 May 2021 Last Revised: 26 May 2023
Markus Vogl
Vogl-Datascience
Downloads 338 (153,774)
Citation 5

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Hurst exponent dynamics, market efficiency, long memory, multifractality, financial crisis

5.

Chaos Measure Dynamics in a Multifactor Model for Financial Market Predictions

Downloads 88 (488,434)

Chaos Measure Dynamics in a Multifactor Model for Financial Market Predictions

Number of pages: 35 Posted: 20 Oct 2022 Last Revised: 17 Oct 2023
Markus Vogl
Vogl-Datascience
Downloads 61 (609,040)
Citation 1

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time-varying chaos, chaos instability, dynamic factor model, deep learning neural network financial predictions, financial market predictions

Co-Integrated Chaos Measure Dynamics in a Multifactor Model for Financial Market Predictions

Number of pages: 30 Posted: 13 Jul 2023
Markus Vogl
Vogl-Datascience
Downloads 27 (842,580)

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time-varying chaos, chaos instability, co-integration, dynamic factor model

6.

Dynamics of Green and Conventional Bond Markets: Evidence from the Generalized Chaos Analysis

Downloads 61 (599,052)

Dynamics of Green and Conventional Bond Markets: Evidence from the Generalized Chaos Analysis

Number of pages: 38 Posted: 09 Jun 2023
Markus Vogl, Milena Kojić and Petar Mitić
Vogl-Datascience, Institute of Economic Sciences Belgrade and Institute of Economic Sciences Belgrade
Downloads 52 (659,117)

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green bonds versus conventional bonds, chaos analysis framework, strange (fractal) attractor reconstruction, multifractal analysis, power-law distribution coherence test, green bond market dynamics, climate change implications

Dynamics of Green and Conventional Bond Markets: Evidence from the Generalized Chaos Analysis

Number of pages: 38 Posted: 28 Jun 2023
Markus Vogl, Milena Kojić and Petar Mitić
Vogl-Datascience, Institute of Economic Sciences Belgrade and Institute of Economic Sciences Belgrade
Downloads 9 (1,024,198)

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green bonds versus conventional bonds, strange (fractal) attractor reconstruction, multifractal analysis, power-law distribution coherence test, green bond market dynamics, climate change implications, chaos analysis framework

7.

Controversy in Financial Chaos Research and Nonlinear Dynamics: A Short Literature Review

Vogl, M. (2022). Controversy in financial chaos research and nonlinear dynamics: A short literature review. Chaos, Solitons and Fractals, 162, 112444.
Number of pages: 34 Posted: 28 Mar 2022 Last Revised: 26 Aug 2022
Markus Vogl
Vogl-Datascience
Downloads 58 (614,094)
Citation 4

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nonlinear dynamics, chaos, financial chaos, literature review, financial markets, quantitative modelling

8.

Decrypting the Triad of Climate Policies, Macroeconomic Interdependencies and Quantitative Modelling: A Literature Review on Quantifying Climate Risks

Number of pages: 80 Posted: 02 Aug 2023
Markus Vogl, Milena Kojić and Stephan Schlüter
Vogl-Datascience, Institute of Economic Sciences Belgrade and University of Applied Sciences Ulm
Downloads 49 (662,852)

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quantitative modelling of climate risks, climate policy uncertainty, climate change, climate-related financial risk quantification, financial markets and macroeconomic effect chains

9.

Nonlinear Dynamics of Islamic Fixed Income Securities: Evidence from Generalized Chaos Analysis Framework

Number of pages: 26 Posted: 02 Aug 2023
Milena Kojić, Markus Vogl, Petar Mitić and Aida Hanić
Institute of Economic Sciences Belgrade, Vogl-Datascience, Institute of Economic Sciences Belgrade and Institute of Economic Sciences Belgrade
Downloads 24 (843,776)

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Islamic fixed income securities, chaos analysis framework, strange (fractal) attractor reconstruction, multifractal analysis, power-law distribution coherence test