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6 Quadratic Discriminant Analysis for Detecting Stock Price Manipulation

Thoppan, Jose Joy; Punniyamoorthy, M.; Ganesh, K.; … - In: Developing an effective model for detecting trade-based …, (pp. 59-66). 2021

Persistent link: https://www.econbiz.de/10015086831

5 Linear Discriminant Analysis for Detecting Stock Price Manipulation

Thoppan, Jose Joy; Punniyamoorthy, M.; Ganesh, K.; … - In: Developing an effective model for detecting trade-based …, (pp. 55-58). 2021

Persistent link: https://www.econbiz.de/10015086832

Crisis Date Identification and Testing for Contagion across Stock Markets

Adesanya, Oladunni - 2020

This paper studies whether the choice of the crisis start dates affects the magnitude of contagion estimates. Contagion models generally use exogenously determined crisis start date by relying on event-based markers. We conduct structural break tests and endogenously determine the start dates of...

Persistent link: https://www.econbiz.de/10012832244

The Souk Al-Manakh: the anatomy of a pure price-chasing bubble

Veneroso, Frank; Pasquali, Mark - 2021

It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the dot-com peak 20 years ago. In both instances, a very...

Persistent link: https://www.econbiz.de/10012496514

When the Markets Get CO.V.I.D : COntagion, Viruses, and Information Diffusion

Arteaga-Garavito, Maria Jose - 2020

We quantify the exposure of major financial markets to news shocks about global contagion risk accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel data set comprising (i) announcements related to COVID19, and (ii) high-frequency data on epidemic...

Persistent link: https://www.econbiz.de/10012838827

Modelling Extreme Financial Returns of Global Equity Markets

Cotter, John - 2007

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …

Persistent link: https://www.econbiz.de/10014049088

Valuation of Stocks with Prospects of Dividend Growth

Haslem, John A. - 2012

The exhibits support several conclusions we can draw from use of the Williams and Brigham-Pappas dividend growth models. The particular model selected to describe a stock's dividend time path has a great impact on the stock's identified value. This may be seen in the large differences in stock...

Persistent link: https://www.econbiz.de/10014217463

Should Monetary Policy Respond to Asset Price Bubbles? Some Experimental Results

Filardo, Andrew J. - 2002

Should central banks respond to asset price bubbles? This paper explores this monetary policy question in a hypothetical economy subject to asset price bubbles. Despite the highly stylized structure of the model, the results reveal several practical monetary policy lessons. First, a monetary...

Persistent link: https://www.econbiz.de/10014124824

Stock Market Volatility Dynamics : A Volume Filtered-GARCH Model

Bonelli, Maxime - 2016

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in equity variance. Unlike the standard "Mixture of...

Persistent link: https://www.econbiz.de/10012997324

The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes

Joe, Ho Yew - 2017

This paper traces the origin and development of the complex systems theory over the course of history, up to its latest … advancement in the study of stock market crashes. The trail of the theory's fuzzy evolution is expansive that covers the ground of … complex systems theory from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from …

Persistent link: https://www.econbiz.de/10012966774