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Non-Stationarity and Structural Breaks in Financial Data : Challenges and Opportunities for Financial Accounting Researchers

Mukherjee, Shibashish - 2016

In empirical financial accounting research, ratios or first differences are usually calculated based on the financial and accounting data provided by the CRSP, Compustat and I/B/E/S datasets. However, in the construction of longer time series, the variables in these datasets present a challenge...

Persistent link: https://www.econbiz.de/10012994177

Risk-Return Patterns in Stock Markets and Currency Markets : A Study of NSE's Nifty and US Dollar

Sharma, Gagan Deep - 2015

This paper studies the return behaviour at National Stock Exchange, India and the Rupee-Dollar exchange rate, using NSE's Nifty as the benchmark for stock returns, while INR-USD rate is used as the benchmark for exchange rate. The daily closing levels of the two benchmarks for a period beginning...

Persistent link: https://www.econbiz.de/10013012056

Martingales, Detrending Data, and the Efficient Market Hypothesis

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2007

3-point or higher correlations to beat the market. We generalize our Markov scaling solutions presented earlier, and …

Persistent link: https://www.econbiz.de/10005623407

Information flow between volatilities across time scales

Gencay, Ramazan; Selcuk, Faruk; Whitcher, Brandon - Volkswirtschaftliche Fakultät, … - 2004

, resulting in a distribution that is non-Gaussian. This result has important implications regarding the scaling behavior of …

Persistent link: https://www.econbiz.de/10005787044

Scaling, self-similarity and multifractality in FX markets

Xu, Zhaoxia; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 578-590

This paper presents an empirical investigation of scaling and multifractal properties of US Dollar–Deutschemark (USD … exhibit power-law scaling in the tails. To test the multifractal properties of USD–DEM returns, the mean moment of the … different slopes for these powers of absolute returns. The nonlinearity of the scaling exponent indicates that the returns are …

Persistent link: https://www.econbiz.de/10010872935

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Gradojevic, Nikola; Selcuk, Faruk; … - Rimini Centre for Economic Analysis (RCEA) - 2009

, resulting in a distribution that is non-Gaussian. This result has important implications regarding the scaling behavior of …

Persistent link: https://www.econbiz.de/10008487534

Dynamics of real financial markets: A reply to Frank’s comment

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3239-3241

This reply addresses the assertion in the comment of T.D. Frank [T.D. Frank, Physica A 387 (2008) 773] on our paper [K.E. Bassler, G.H. Gunaratne, J.L. McCauley, Physica A 369 (2006) 343] that the approach to modeling financial markets that we propose is unrealistic. In our paper, we considered...

Persistent link: https://www.econbiz.de/10011061331

Scaling properties of financial time series

Schreier, David - 2007

fractal power laws and scaling will be explained. The main part focuses on the estimation of the tail index as a scaling …

Persistent link: https://www.econbiz.de/10009467109

Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Wang, Xiao-Tian; Yan, Hai-Gang; Tang, Ming-Ming; Zhu, En-Hui - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 3, pp. 452-458

A model for option pricing of fractional version of the Merton model with ‘Hurst exponent’ H being in [1/2,1) is established with transaction costs. In particular, for H∈(1/2,1) the minimal price Cmin(t,St) of an option under transaction costs is obtained, which displays that the timestep...

Persistent link: https://www.econbiz.de/10011058111

Refined scaling hypothesis for anomalously diffusing processes

Badii, R.; Talkner, P. - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 229-243

not scale like power laws, as generally assumed. A much improved scaling function is deduced, in analogy with a procedure … first applied to nearest-neighbour dimension estimators. Extremely accurate determination of the scaling exponents is thus …

Persistent link: https://www.econbiz.de/10010590063