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Daily prediction of short-term trends of crude oil prices using neural networks exploiting multimarket dynamics

Pan, Heping; Haidar, I.; Kulkarni, Siddhivinayak - 2009

This paper documents a systematic investigation on the predictability of short-term trends of crude oil prices on a daily basis. In stark contrast with longer-term predictions of crude oil prices, short-term prediction with time horizons of 1-3 days posits an important problem that is quite...

Persistent link: https://www.econbiz.de/10009484602

Fundamentals and US natural gas price dynamics

Qin, Xiaoyan; Bessler, David A.; Leatham, David J.; Wu, … - 2010

Investigation into the relations between market fundamentals and US natural gas prices is carried out in the regime-switching framework. To test the hypothesis that US natural gas market may switch between two states of market: bullish market and bearish market, a 2-state regime-switching model...

Persistent link: https://www.econbiz.de/10009446513

Behavioural asset pricing in Chinese stock markets

Xu, Yihan - 2011

This thesis addresses asset pricing in Chinese A-share stock markets using a dataset consisting of all shares listed in Shanghai and Shenzhen stock exchanges from January 1997 to December 2007. The empirical work is carried out based on two theoretical foundations: the efficient market...

Persistent link: https://www.econbiz.de/10009461170

Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)

Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P. - 2009

, consistently lead futures pricechanges. Fourth, there is a historical pattern of attacks upon speculation during periods ofextreme …

Persistent link: https://www.econbiz.de/10009446398

Applying Perceptrons to Speculation in Computer Architecture

Black, Michael David - 2007

Speculation plays an ever-increasing role in optimizing the execution of programs in computer architecture. Speculative … consequently do not realize their potential accuracy. Perceptrons, or simple neural networks, can be highly useful in speculation … speculation in computer architecture.This dissertation first studies how perceptrons can be made to predict accurately when they …

Persistent link: https://www.econbiz.de/10009450658

Essays on the Impact of Investors Speculation and Disagreements on Security Prices and Trading Volume

Choy, Siu Kai - 2011

The essays empirically show the impact of investors speculation and disagreements on the returns and trading volume of … volatility speculation. This essay empirically shows that higher retail trading proportions are related to lower delta …

Persistent link: https://www.econbiz.de/10009455359

The relationship between Dow Jones Eurostoxx50 Index and firm level volatility

Daly, Kevin James - University of Western Sydney; College of Law and Business; … - 2004

This paper presents a study of asset price volatility, correlation trends and market risk-premia. Recent evidence (Campbell 2001) shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. We find that, in relation to the Euro-Area stock markets,...

Persistent link: https://www.econbiz.de/10009482285

A behavioural finance perspective on trade imbalanceand stock prices

Henker, Julia, Banking & Finance, Australian School of … - 2006

In this thesis I examine, within a behavioural finance framework, the impacton stock prices of order and trade imbalance in three separate but related studies.The first study, chapter two, begins with a question that plagues behavioural financetheories?do the investors most likely to be...

Persistent link: https://www.econbiz.de/10009484216

Investment dealers' ways of working: integrating compensation with relational capital

Kakabadse, A.; Kakabadse, N.; Lake, A. - 2007

For the past 20 years, practitioner and academic research has highlighted that the performance of companies is linked to staff and management's ways of working, particularly in service-oriented enterprises (A.P. Kakabadse, Savery, Kakabadse, & Lee-Davies, 2006). Yet despite the monumental impact...

Persistent link: https://www.econbiz.de/10009430263

Milk Price Volatility and its Determinants

Dong, Fengxia; Du, Xiaodong; Gould, Brian W. - 2011

statistically significant impacts on milk price volatility. While speculation positively affects milk futures markets, the effect …

Persistent link: https://www.econbiz.de/10009444323