This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and global levels as well as the general co-movements among the three types of correlations and their relative (real estate/stock) volatilities for a sample of eight Asian and two...

Fractal Analysis assesses the fractal characteristics of data. It consists of several methods to assign a fractal dimension and other fractal characteristics in a data set which may be a theoretical data set or a pattern of signals extracted from phenomena including natural geometric objects,...

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

We create an artificial stock market (ASM) which mimics results of the analytical game theory model. By showing the convergence of simulated results to analytical, we assess the created ASM as a powerful tool for further research of more sophisticated market compositions and set-ups, allowing...

This paper examines the temporal relationship between sin stocks and investor sentiment using vector autoregressive models. It decomposes sin returns into a market-based and pure sin component and then performs dynamic statistical modeling on the pure sin portfolio. Next, it attempts to...

This paper uses multivariate Hawkes processes to model the transactions behavior of the U.S. stock market as proxied by the 30 Dow Jones Industrial Average stocks before, during and after the May 6, 2010 flash crash, which lasted 36 minutes. The basis for our analysis is the excitation matrix,...

There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...

In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) does. Building on this, we also test how small market size and market liberalisation impact the efficiency of the...