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Volume Based Portfolio Strategies : Analysis of the Relationship between Trading Activity and Expected Returns in the Cross-Section of Swiss Stocks
Brändle, Alexander - 2010
Review of Studies on the Relationship between Trading Volume and Stock Returns -- Data and Methodology -- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns -- Results: Time-Stability of Portfolio Returns -- Results: Economic Significance of Volume-Return Relations --...
Persistent link: https://www.econbiz.de/10012651069
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Predictability of the Swiss Stock Market with Respect to Style
Scheurle, Patrick - 2010
There is evidence of fairly strong serial correlation in small caps and a lead-lag relationship between large caps and … positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and …
Persistent link: https://www.econbiz.de/10013522809
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Projecting Potential Output : Methods and Problems
Wang, Qingwei - 2009
In spite of the widespread use of the concept of potential output in economic theory and empirical applications as well as in economic policy debates, the historical background and the assumptions inherent to this concept are rarely made transparent, let alone critically questioned. Against this...
Persistent link: https://www.econbiz.de/10013522987
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Intermittierendes deterministisches Chaos als mögliche Erklärung für ein langes Gedächtnis in Finanzmarktdaten
Webel, Karsten - 2009
Die empirische Kapitalmarktforschung beobachtet in den Volatilitäten von Aktienkursrenditen immer wieder eine lang anhaltende Abhängigkeitsstruktur, ein so genanntes langes Gedächtnis. Dieses hat weit reichende Konsequenzen. Beispielsweise verkompliziert ein tatsächlich vorliegendes langes...
Persistent link: https://www.econbiz.de/10014015173
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Time Series Econometrics
Neusser, Klaus - 2016
presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the … Volatility -- 9. Multivariate Time series -- 10. Estimation of Covariance Function -- 11. VARMA Processes -- 12. Estimation of …
Persistent link: https://www.econbiz.de/10012397877
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Applied Quantitative Finance : Theory and Computational Tools
Härdle, Wolfgang - 2002
Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned...
Persistent link: https://www.econbiz.de/10013523096
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …
Persistent link: https://www.econbiz.de/10014018810
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Korrelationen in Extremsituationen : Eine empirische Analyse des deutschen Finanzmarktes mit Fokus auf irrationales Marktverhalten
Reuse, Svend - 2011
Gerade vor dem Hintergrund der Finanzmarktkrise in 2008 sind die klassische Portfoliotheorie und die Wirkungsweise von Korrelationen erneut in die Kritik geraten. Svend Reuse analysiert das Verhalten von Korrelationen in Extremsituationen unter Berücksichtigung des irrationalen Marktverhaltens....
Persistent link: https://www.econbiz.de/10014425258
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Liquidität am deutschen Kapitalmarkt : Erholungsfähigkeit der DAX-30-Titel
Gärtner, Christian (contributor) - 2007
Aufgrund der elektronischen Handelssysteme wird Kapitalmarktteilnehmern eine immer umfangreichere Menge an Informationen mit besserer Qualität und schnellerer Verfügbarkeit geboten. Die Liquidität der DAX-Aktien konzentriert sich daher weitgehend im Xetra. Für die Bestimmung der Liquidität...
Persistent link: https://www.econbiz.de/10013516690
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Artificial Intelligence in Financial Markets : Cutting Edge Applications for Risk Management, Portfolio Optimization and Economics
Dunis, Christian (ed.); Middleton, Peter W. (ed.);  … - 2016
As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural networking is a highly effective, trainable...
Persistent link: https://www.econbiz.de/10012397259