The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

We define a parameter representing the relative forecast performance to compare forecasting results of different methods. By using this parameter, we analyze the performance of the dynamic Nelson-Siegel model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of...

For the HFT investors the crucial factors of strategy to be applied are the spread value and transaction costs. The goal of our preliminary examination was to see, if the present WSE fee plans are suitable for a typical HFT strategy, like based on statistical arbitrage mean reverse strategy. We...

Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

An optimal asset allocation is crucial for non-life insurance companies. The most previous studies focused on this topic use a mono-objective technique optimization. This technique usually allows the maximization of shareholders’ expected utility. As non-life insurance company is a complex...

Despite the huge potential on both the demand and supply sides of the ÎukËk market, the current ÎukËk structures fall short of adequately meeting the market’s needs as the SharÊ’ah compliance of many of them and/or their economic efficiency are questionable. Even though...

This study aims to introduce an ideal model for forecasting crude oil price volatility. For this purpose, the ‘predictability’ hypothesis was tested using the variance ratio test, BDS test and the chaos analysis. Structural analyses were also carried out to identify possible nonlinear...

This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is...