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Long Term Trend Analysis in the Capital Market – The Case of Serbia

Radukić, Snežana; Radović, Milica - In: Journal of Central Banking Theory and Practice 3 (2014) 3, pp. 5-18

The paper explores the possibility of making investment decisions in emerging markets by using the trend analysis … (MACD): an intermediate term of 50 days and a long-term one of 100 days. The above mentioned moving averages identify the … establishment of a trend, the cessation of the existing one, a change and an establishment of the new one. The capital market in …

Persistent link: https://www.econbiz.de/10010930546

Long term trend analysis in the capital market : the case of Serbia

Radukić, Snežana; Radović, Milica - In: Journal of central banking theory and practice 3 (2014) 3, pp. 5-18

Persistent link: https://www.econbiz.de/10010415956

The effect of financial innovation on economic growth in transition countries

Thi Thuy Huong Luong; Attasuda Lerskullawat; Thanarak … - In: Scientific papers of the University of Pardubice 32 (2024) 1, pp. 1-12

This paper aims to explore the effect of financial innovation on economic growth in 28 transition countries from 2004 to 2021. Financial innovation is categorized based on the structure of the financial system, including commercial banks, non-commercial banks and financial markets. By applying...

Persistent link: https://www.econbiz.de/10014511551

Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry

Halperin, Igor - 2021

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Persistent link: https://www.econbiz.de/10013251128

Uncertainty of Multiple Period Risk Measures

Lönnbark, Carl - 2009

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

Persistent link: https://www.econbiz.de/10013155481

The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182

Bubble Detection in Financial Markets - A Survey of Theoretical Bubble Models and Empirical Bubble Detection Tests

Wöckl, Ines - 2019

Asset price bubbles have fascinated economists for decades. In consequence, the literature on bubbles and their detection is abundant, with many researchers taking very opposite positions on the topic, however. This survey gives a structured overview of the two branches of research that have...

Persistent link: https://www.econbiz.de/10012862168

Agent Behaviour, Financial Market and Welfare Theory

Paranque, Bernard - 2008

In previous papers we have shown another interpretation of the irrationality of financial market agents. Another methodology has been proposed. But it also shown that others questions might be highlighted from both epistemological and social welfare point of view. This paper tries to go further...

Persistent link: https://www.econbiz.de/10012774379

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

-linear trend along with fractional integration outperforms alternative models over long horizons. -- Fractional integration …

Persistent link: https://www.econbiz.de/10003720605

Markov Switching Garch Models of Currency Turmoil in Southeast Asia

Brunetti, Celso; Mariano, Roberto S.; Tan, Augustine H. H. - 2007

This paper analyzes exchange rate turmoil with a Markov Switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime,...

Persistent link: https://www.econbiz.de/10014051852