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The Mean Reversion Stochastic Processes Applications in Risk Management

Radkov, Petar - Volkswirtschaftliche Fakultät, … - 2010

In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...

Persistent link: https://www.econbiz.de/10011107602

Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...

Persistent link: https://www.econbiz.de/10011259405

Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices

Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011

The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...

Persistent link: https://www.econbiz.de/10011114513

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

Long Memory in Stock Market Volatility:Evidence from India

Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …

Persistent link: https://www.econbiz.de/10011112536

Banks exposure to market risks

Galy, Michel - Volkswirtschaftliche Fakultät, … - 1989

Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank...

Persistent link: https://www.econbiz.de/10011183544

On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014

the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …

Persistent link: https://www.econbiz.de/10011110289

Forecasting with Factor Models: A Bayesian Model Averaging Perspective

Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013

volatility and structural breaks. Our results indicate that ignoring structural breaks in the loadings can be quite costly in …

Persistent link: https://www.econbiz.de/10011111484

On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014

Persistent link: https://www.econbiz.de/10011156962

Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych

Buła, Rafał - Volkswirtschaftliche Fakultät, … - 2012

In the article two methods of estimating fractal dimension of financial time series are compared: variation method and method of area division. Both methods are used to estimate fractal dimension of chosen exchange rates time series.

Persistent link: https://www.econbiz.de/10011109345