Keyword: stock market

Found 44 papers in total
Sudden changes in variance and time varying hedge ratios
Sudden changes in variance and time varying hedge ratios
2011,
This paper analyzes the influence of sudden changes in the unconditional volatility on...
Forecasting the direction of the US stock market with dynamic binary probit models
Forecasting the direction of the US stock market with dynamic binary probit models
2011,
Several empirical studies have documented that the signs of excess stock returns are,...
Construction of a portfolio with shorter downside tail and longer upside tail
Construction of a portfolio with shorter downside tail and longer upside tail
2011,
The purpose of this paper is to propose an algorithm for solving Rachev ratio...
A note on constant proportion trading strategies
A note on constant proportion trading strategies
2011,
We consider constant proportion (CP) trading strategies when there are multiple...
Modeling investor sentiment and overconfidence in an agent-based stock market
Modeling investor sentiment and overconfidence in an agent-based stock market
2010,
Agent-based stock markets as bottom-up models of financial markets allow us to study...
Prior consequences and subsequent risk taking: New field evidence from the Taiwan Futures Exchange
Prior consequences and subsequent risk taking: New field evidence from the Taiwan Futures Exchange
2010,
We use a data set from market participants in the Taiwan Stock Exchange Capitalization...
Information-based stock trading, executive incentives, and the principal-agent problem
Information-based stock trading, executive incentives, and the principal-agent problem
2010,
We examine the role of information-based stock trading in affecting the...
Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange
Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange
2010,
This article proposes two mathematical models to study and compare results of two...
A low intelligence model which can explain market liquidity
A low intelligence model which can explain market liquidity
2009,
Classical economists often assume perfect rationality of traders when they study...
Optimal portfolio selection for the small investor considering risk and transaction costs
Optimal portfolio selection for the small investor considering risk and transaction costs
2009,
A direct application of classical portfolio selection theory is problematic for the...
Long memory and structural breaks in the Spanish stock market index
Long memory and structural breaks in the Spanish stock market index
2008,
It is well known that the Spanish stock market index (IBEX 35) exhibits unit roots....
Analysis of stock market structure by identifying connected components in the market graph
Analysis of stock market structure by identifying connected components in the market graph
2005,
We consider a recently introduced network-based representation of the U.S. stock...
Pattern recognition in the Athens stock market: further evidence using a non-parametric approach
Pattern recognition in the Athens stock market: further evidence using a non-parametric approach
2005,
A nonparametric test like stochastic dominance analysis, which relies on cumulative...
Wild oil prices, but brave stock markets! The case of Gulf Cooperation Council stock markets
Wild oil prices, but brave stock markets! The case of Gulf Cooperation Council stock markets
2006,
Using a vector autoregression analysis, this paper investigates the effect of the...
Adaptive beliefs and the volatility of asset prices
Adaptive beliefs and the volatility of asset prices
2001,
I present a simple model of an evolutionary financial market with heterogeneous...
ARIMA modeling of event induced stock price reactions in Austria
ARIMA modeling of event induced stock price reactions in Austria
2003,
In this paper an event study is conducted to examine stock price reactions on...
The Asian crisis and calendar effects on stock returns in Thailand
The Asian crisis and calendar effects on stock returns in Thailand
2005,
This paper systematically examines daily returns of the Thai Stock Market Index to...
Bad news and Dow Jones make the Spanish stocks go round
Bad news and Dow Jones make the Spanish stocks go round
2005,
This paper is a data-based attempt to analyse what kind of information basically...
An analysis of the interrelationship between the domestic and foreign stock market variations over the depressed market period
An analysis of the interrelationship between the domestic and foreign stock market variations over the depressed market period
2003,
This study investigates the short and long-run dynamic relationships between the...
Pricing of American contingent claims with jump stock price and constrained portfolios
Pricing of American contingent claims with jump stock price and constrained portfolios
1998,
In this paper, we study the problems of pricing American contingent claims in an...
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