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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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The Degree of Stability of Price Diffusion
Los, Cornelis A. - EconWPA - 2005
The distributional form of financial asset returns has important implications for the theoretical and empirical analyses in economics and finance. It is now a well-established fact that financial return distributions are empirically nonstationary, both in the weak and the strong sense. One first...
Persistent link: https://www.econbiz.de/10005134704
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Why VAR Fails: Long Memory and Extreme Events in Financial Markets
Los, Cornelis A. - EconWPA - 2004
The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...
Persistent link: https://www.econbiz.de/10005413041
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Persistence Characteristics of the Chinese Stock Markets
Los, Cornelis A.; Yu, Bing - EconWPA - 2005
, and (2) the changing trading styles in the course of the development of these emerging stock markets, after the Chinese …
Persistent link: https://www.econbiz.de/10005561572
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Galton's Error and the Under-Representation of Systematic Risk
LOS, CORNELIS A. - EconWPA - 2004
Our methodology of 'complete identification,' using simple algebraic geometry, throws new light on the continued commitment of Galton's Error in finance and the resulting misinformation of investors. Mutual funds conventionally advertise their relative systematic market risk, or 'betas,' to...
Persistent link: https://www.econbiz.de/10005134709
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The Impact of the Suspension of Opening and Closing Call
Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005
closing call auctions may not necessarily improve share trading in a less liquid emerging market. …
Persistent link: https://www.econbiz.de/10005134759
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The Impact of the Suspension of Opening and Closing Call
Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2004
continuous trading systems. In this paper we investigate this issue by studying the impact of the suspension of opening and …, and therefore that it cannot be assumed that a call auction system will improve share trading in a less liquid emerging … nature of the trading process in different shares in the market. …
Persistent link: https://www.econbiz.de/10005413175
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Stock Price Volatility in a Multiple Security Overlapping Generations Model
Spiegel, Matthew - EconWPA - 1996
-covariance structure of the economy, an equilibrium change may require simultaneous control over the trading environment of every single …
Persistent link: https://www.econbiz.de/10005413185
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What is the Link Between Margin Loans and Stock Market Bubbles?
Ricke, Markus - EconWPA - 2003
As a reaction to the general suspicion that margin loans had been a key element of the stock market boom and crash of the late 1920s, the Federal Reserve Bank was empowered to regulate margin lending with the Securities and Exchange Act. The efficacy of the Federal Reserve's margin policy has...
Persistent link: https://www.econbiz.de/10005561621
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005
In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion...
Persistent link: https://www.econbiz.de/10005076950