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Electrodynamical model of quasi-efficient financial market
Ilinski, Kirill; Stepanenko, Alexander - EconWPA - 1998
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications, whilst the practical side of the problem has clear relevance to...
Persistent link: https://www.econbiz.de/10005561574
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Market imperfections, equilibrium and arbitrage
Jouini, Elyès - EconWPA - 2003
The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …
Persistent link: https://www.econbiz.de/10005076947
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EFICIENCIA SIMPLE DEL MERCADO DE RENTA FIJA EN CHILE
Rubio, Fernando - EconWPA - 2004
Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...
Persistent link: https://www.econbiz.de/10005134666
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Efficiency tests in the Iberian stock markets
Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004
This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...
Persistent link: https://www.econbiz.de/10005134722
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TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004
Rubio, Fernando - EconWPA - 2004
The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither commissions nor indexation are included in the...
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 was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are...
Persistent link: https://www.econbiz.de/10005134879
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SOME TECHNICAL ANALYSIS ON THE STOCK MARKET: SPAIN AND USA
Rubio, Fernando - EconWPA - 2004
The model of Technical Analysis goes against the fulfillment of the weak form of the Hypothesis of Efficient Market raised by Fama (1970). Nevertheless, recently some studies provide evidence with probable prediction of the expected returns based on the past returns. In particular, the...
Persistent link: https://www.econbiz.de/10005134953
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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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Equilibrium Pricing in Incomplete Markets
Jouini, Elyès; Bizid, Abdelhamid - EconWPA - 2003
. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …
Persistent link: https://www.econbiz.de/10005413106
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Surprise Volume and Heteroskedasticity in Equity Market Returns
Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004
Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume---i.e. unexpected above-average trading activity---which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...
Persistent link: https://www.econbiz.de/10005556382