Showing 1 - 10 of 3,794
Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...
Persistent link: https://www.econbiz.de/10013220323
We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the ratio of their trading periods. By minimizing the...
Persistent link: https://www.econbiz.de/10012965690
In this study, the well-known pairs trading strategy, one of typical market neutral strategies, is modified to be able to utilize high frequency equity data, and it is applied to the constituent shares of the KOSPI (Korea Composite Stock Price Index) 100 index. This study is distinguished from...
Persistent link: https://www.econbiz.de/10013121322
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The...
Persistent link: https://www.econbiz.de/10013004099
We show how a market maker employs information about the momentum in the price of the asset (i.e., alpha signal) to make decisions in her liquidity provision strategy in an order driven electronic market. The momentum in the midprice of the asset depends on the execution of liquidity taking...
Persistent link: https://www.econbiz.de/10012864440
We propose methods to compute confidence bands for the fundamental values of stocks and corporate bonds. These methods take into account uncertainty about future cash flows and about the discount factors used to discount the cash flows. We use them to assess the current degree of...
Persistent link: https://www.econbiz.de/10012956868
This study examines the reaction of stock returns to acquisition news. A data of 51 observations of acquiring companies with publicly traded shares on the London Stock Exchange (FTSE100) is used over a period, from July 2012 to May 2013 with an estimation period [-100, -10] and test period [-5,...
Persistent link: https://www.econbiz.de/10012980004
This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that...
Persistent link: https://www.econbiz.de/10012919487
The previous studies on stock market modelling in Pakistan context has assumed a linear relationship between stock market performance and its determinants. Most of the macroeconomic variables do not have linear properties, therefore considering asymmetric features of macroeconomic fundamentals,...
Persistent link: https://www.econbiz.de/10012893232