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Steadfast, Greedy, or Fearful? Strategies for Responding to Extreme Market Volatility

White, James - 2020

March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on record. Daily variability clocked in at 6%, six times higher than the average over the past 90 years. How should an investor respond to such volatility? In this article we...

Persistent link: https://www.econbiz.de/10012832242

Gambling, Risk Appetite and Asset Pricing

Carvalho, Carlos - 2018

A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains cross-sectional differences in...

Persistent link: https://www.econbiz.de/10012931926

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...

Persistent link: https://www.econbiz.de/10011723700

Inter-Quantile Ranges and Volatility of Financial Data

Dimpfl, Thomas - 2016

We propose to estimate the variance of a time series of financial returns through a quantile autoregressive model (QAR) and demonstrate that the return QAR model contains all information that is commonly captured in two separate equations for the mean and variance of a GARCH-type model. In...

Persistent link: https://www.econbiz.de/10012983638

[Rezension von: Mallios, William S., The analysis of sports forecasting: modeling parallels between sports gambling and financial markets]

Malkiel, Burton G. - In: Journal of economic literature 39 (2001) 3, pp. 945-946

Persistent link: https://www.econbiz.de/10001612432

The Analysis of Sports Forecasting : Modeling Parallels between Sports Gambling and Financial Markets

Mallios, William S. - 2000

Given the magnitude of currency speculation and sports gambling, it is surprising that the literature contains mostly …. In this non-random walk through financial and sports gambling markets, parallels are drawn between modeling short term … explanation for the negative forecasting results. The Analysis of Sports Forecasting: Modeling Parallels Between Sports Gambling …

Persistent link: https://www.econbiz.de/10013521431

The analysis of sports forecasting : modeling parallels between sports gambling and financial markets

Mallios, William S. - 2000

Persistent link: https://www.econbiz.de/10013531527

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10013026463

The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time

Oskay, Bora - 2018

Persistent link: https://www.econbiz.de/10012913510

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