In the last decade, neural networks have drawn noticeable attention from many computer and operations researchers. While some previous studies have found encouraging results with using this artificial intelligence technique to predict the movements of established financial markets, it is...

This paper explores the link between capital market governance and several key characteristics of equity markets. Using detailed data glean from individual stock exchanges, we develop a composite capital market governance measure (CMG index) that captures three dimensions of market regulation...

Although there exists some studies which deal with the issues of forecasting stock market index and development of trading strategies, most of the empirical findings are associated with the developed financial markets (e.g., U.S., U.K., and Japan). Currently, many international investment...

Although there exists a vast number of articles addressing the predictability of stock market return, most of the proposed models rely on accurate forecasting of the level (i.e., value) of the underlying stock index or its return. In most cases, the degree of accuracy and the acceptability of...

Few proposed types of derivative securities have attracted as much attention as option contracts on volatility. Grunbichler and Longstaff (1996) proposes a model to value options written on a volatility index. Their model does not take into account the switching regime and asymmetry properties...

In recent years, there has been a growing trend of using multiobjective techniques. The primary advantage of using multiobjective techniques in decision making is, as stated in Spronk (1981), quot;that most of these (single objective) models and methods are unsuitable for decision situations in...

Few proposed types of derivative securities have attracted as much attention and interest as option contracts on volatility. Grunbichler and Longstaff (1996) is the only study that proposes a model to value options written on a volatility index. Their model, which is based on modeling volatility...

Few proposed types of derivative securities have attracted as much attention and interest as option contracts on volatility. Grunbichler and Longstaff (1996) is the only study that proposes a model to value options written on a volatility index. Their model, which is based on modeling volatility...

Previous work on crude oil price modeling has generally focused on two theoretical approaches, either the optimal control analysis of pricing of a depletable resource, or OPEC as a partial monopolist setting oil prices to maximize net present value. Neither has been wholly satisfactory. We...

This paper examines the link between capital market governance (CMG) and several key measures of market performance. Using detailed data from individual stock exchanges, we develop a composite CMG index that captures three dimensions of security laws: the degree of earnings opacity, the...