Digital analysis has become an accepted tool for computer forensic examination of suspicious financial transactions. A major component of digital analysis is Benford's Law which postulates that in accounting data not subject to substantial error or fraud, significant digits are not uniformly...

Emphasizing the need for risk mitigation arising out of excess volatility in rupee experienced by India post implementation of the market determined exchange rate regime in 1993, currency futures were introduced in India in 2008, and currency trading has become one of the most important...

The information theoretic concept of entropy is a useful tool in studying price manipulation in stock market. Sample entropy values computed for the price data of a scrip, for various trading days in the period during which the scrip is reported to be subject to price manipulation, prove to be...

Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January...

Volatility index is a measure of markets expectation of volatility over the near-term. It is a forward looking instrument and depicts the expected market volatility over the next 30 days. The constant ups and downs in the financial markets are a cause of concern for most investors. Thus, the...

Stock market volatility has always been an area of concern for market participants and policy regulators. Through this paper, an attempt has been made to model the volatility in the Indian equity market by employing the standard GARCH(1, 1) model. The paper also investigates whether the...