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LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE
Ekinci, Cumhur - EconWPA - 2005
We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...
Persistent link: https://www.econbiz.de/10005076959
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TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004
Rubio, Fernando - EconWPA - 2004
market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither …
Persistent link: https://www.econbiz.de/10005134787
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SIMPLE TRADING RULES: TRADING ON IBEX AT MEFF
Rubio, Fernando - EconWPA - 2004
Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF …. Results show that if the investor follows the analyzed trading strategies, he or she will get a better return than the index … these trading strategies. In a formal test, signals from these rules are included in an OLS model trying to explain daily …
Persistent link: https://www.econbiz.de/10005134879
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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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The Contagion Effect of the Terrorist Attacks of the 11th of September
Leitao, Joao; Oliveira, Cristovao - EconWPA - 2005
In the context of interdependence of the financial markets, it becomes interesting to analyze the implications associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion mechanisms between the main international stock exchanges....
Persistent link: https://www.econbiz.de/10005076942
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
' ex- ante forecast performances indicates that the random-walk process in connection with the Kalman filter is the … preferred model to describe and forecast the time-varying behavior of sector betas in a European context. …
Persistent link: https://www.econbiz.de/10005076972
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DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica
Rubio, Fernando - EconWPA - 2004
Este documento de trabajo analiza el Modelo de Valoración de Opciones basado en la Estructura de Tasas de Interés de Salomon Brothers. Con ello se calcula la duración efectiva de bonos prepagables.
Persistent link: https://www.econbiz.de/10005076983
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CORTE TRANSVERSAL DE LOS RETORNOS ESPERADOS EN EL MERCADO ACCIONARIO CHILENO
Rubio, Fernando - EconWPA - 2004
La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...
Persistent link: https://www.econbiz.de/10005076996
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About discrete hedging and option pricing
Yakovlev, Dmitry; Zhabin, Dmitry - EconWPA - 2003
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for other classes of distribution functions too. It is shown that there...
Persistent link: https://www.econbiz.de/10005077003
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Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
different models' ex-ante forecast performances indicates that the random walk process in connection with the Kalman filter is … the preferred model to describe and forecast the time-varying behavior of sector betas in a European context. Remarkably …
Persistent link: https://www.econbiz.de/10005077020