Progress in financial markets research / Catherine Kyrtsou and Costas Vorlow, editors.

Format:

Book

Contributor:

Kyrtsou, Catherine.

Vorlow, Costas.

Series:

Financial institutions and services.

Financial institutions and services

Language:

English

Subjects (All):

Finance--Research.

Finance.

Physical Description:

1 online resource (370 p.)

Edition:

1st ed.

Place of Publication:

Hauppauge, N.Y. : Nova Science Publishers, c2012.

Language Note:

English

Summary:

Numerous empirical studies have analysed the identification and nature of the underlying process of an economic system, as well as the influence of information on financial time series. The standard financial theory of efficient markets assumes identical investors having rational expectations of future stock prices. This means that there are no opportunities for speculative profit, and both trading volume and price volatility are not serially correlated. This book presents information on financial markets and covers topics such as time series and asset pricing methods, data mining, non-linear analysis, chaos and wavelet-based techniques.

Contents:

Intro

PROGRESS IN FINANCIAL MARKETS RESEARCH

LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA

CONTENTS

EDITORIAL INTRODUCTION

Chapter 1: LEARNING AND CONDITIONAL HETEROSCEDASTICITY IN ASSET RETURNS

1.1. Introduction

1.2. GARCH in the Linear Regression Model

1.3. A Model of Asset Pricing and Learning

1.4. The Covariance Structure of the Residuals

1.5. Finite Sample Properties

1.6. An Empirical Example

Conclusion

References

Chapter 2: MODELLING AND MEASURING THE SOVEREIGN BORROWER'S OPTION TO DEFAULT

2.1. Introduction

2.2. Modeling Country Risk

2.3. Implementation

Chapter 3: SUCCESS AND FAILURE OF TECHNICAL ANALYSIS IN THE COCOA FUTURES MARKET

3.1. Introduction

3.2. Forecasting Techniques in Technical Analysis

3.3. From Technical Forecasting Rule to Technical Trading Strategy

3.4. Effectiveness of Technical Analysis: Standard Statistical Tests

3.5. Effectiveness of Technical Analysis: The Bootstrap Method

3.6. Success and Failure of Technical Analysis

3.7. Concluding Remarks

Appendix

Chapter 4: WHEN NONRANDOMNESS APPEARS RANDOM: A CHALLENGE TO FINANCIAL ECONOMICS

4.1. Introduction

4.2. Deterministic versus Random Models

4.3. The Lorenz Equations

4.4. The Experiment

Evaluation and Conclusion

Chapter 5: FINITE SAMPLE PROPERTIES OF TESTS FOR STGARCH MODELS AND APPLICATION TO THE US STOCK RETURNS

5.1. Introduction

5.2. STGARCH Models and Test Statistics

5.3. Monte Carlo Experiment

5.4. An Application to the US Stock Returns

Concluding Remarks

Chapter 6: A STATISTICAL TEST OF CHAOTIC PURCHASING POWER PARITY DYNAMICS

6.1. Introduction

6.2. PPP and the Real Exchange Rate

6.3. A Statistical Test for Chaos.

6.4. Data and Results

6.5. Robustness

6.6. Conclusion

Chapter 7: A METHODOLOGY FOR THE IDENTIFICATION OF TRADING PATTERNS

7.1. Introduction

7.2. Methodology

7.3. Application to the Dow Jones Index Closing Values

7.4. Application to the Pound-dollar Exchange Rate Series

Chapter 8: TECHNICAL RULES BASEDON NEAREST-NEIGHBOUR PREDICTIONS OPTIMISED BY GENETIC ALGORITHMS: EVIDENCE FROM THE MADRID STOCK MARKET

8.1. Introduction

8.2. KNN Predictions

8.3. Trading Rules

8.4. Optimization of Technical Rules by Genetic Algorithms

8.5. Empirical Results

Chapter 9: MODERN ANALYSIS OF FLUCTUATIONSIN FINANCIAL TIME SERIES AND BEYOND

9.1. Introduction

9.2. Why Wavelets?

9.3. The Wavelet y

9.4. The H¨older Exponent

9.5. Multifractal Formalism on the WTMM Tree

9.6. Estimation of the Local, Effective H¨older Exponent Using the Multiplicative Cascade Model

9.7. Employing the Local Effective H¨older Exponent in the Characterisation of Time Series

9.8. Breaking with the Universality Picture: Reasoning from Non-stationarity

9.9. Discovering Structure Through the Analysis of Collective Properties of Non-stationary Behaviour

Chapter 10: SYNCHRONICITY BETWEEN MACROECONOMIC TIME SERIES

10.1. Introduction

10.2. Cointegration Testing Using the Ranges

Chapter 11: CONTAGION BETWEEN THE FINANCIAL SPHERE AND THE REAL ECONOMY. PARAMETRIC AND NON PARAMETRIC TOOLS: A COMPARISON

11.1. Introduction

11.2. Contagion's Concept

11.3. Parametric Models

11.4. Non Parametric Framework

11.5. Applications

11.6. Conclusion

Chapter 12: A MACRODYNAMIC MODEL OF REAL-FINANCIAL INTERACTION: IMPLICATIONS OF BUDGET EQUATIONS AND CAPITAL ACCUMULATION

12.1. Introduction.

12.2. The Blanchard (1981) Model with Intrinsic Stock-flow Dynamics

12.3. Intensive Form of the Model

12.4. Analysis

12.5. Outlook: Jump-variable Conundrum vs. Global Boundedness through Switching Phase Diagrams in the Real-financial Interaction

12.6. Appendix: Adding the Dynamics of the Government Budget Constraint

Chapter 13: MODELLING BENCHMARK GOVERNMENT BONDS VOLATILITY: DO SWAPTION RATES HELP?

13.1. Introduction

13.2. Literature Review

13.3. Bond Return and Bond Volatility Data

13.4. Volatility and Benchmark Models

13.5. The AR(p) Time Series and 'Mixed' Models

13.6. The Out-of-Sample Estimation Results

Appendix 1: Historical and Implied 10-Year Volatilites

Appendix 2: Out-Of-Sample Forecasting Accuracy (SimpleModels)

Appendix 3: Out-Of-Sample Forecasting Accuracy ('Mixed'Models)

Chapter 14: NONLINEAR COINTEGRATION USING LYAPUNOV STABILITY THEORY

14.1. Introduction

14.2. Methodology

14.3. Empirical Application

Conclusions

Chapter 15: ACTIVE PORTFOLIO MANAGEMENT: THE POWER OF THE TREYNOR-BLACK MODEL

15.1. Introduction

15.2. The Treynor-Black Framework

15.3. The Forecast Database and Sampling Procedures

15.4. Estimation of Beta Coefficients and Realized Abnormal Returns

15.5. Calibration of Alpha Forecasts

15.6. Out-of-Sample Test Procedures

15.7. Portfolio Performance Evaluation

Summary and Conclusions

Chapter 16: STOCK PRICE CLUSTERING AND DISCRETENESS: THE "COMPASS ROSE" AND COMPLEX DYNAMICS

16.1. Introduction

16.2. The Compass Rose in Scientific Literature

16.3. Methodology and Results

16.4. Conclusion and Future Research

INDEX.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record; title from PDF title page, viewed (07/09/2020).

ISBN:

1-61324-765-6

OCLC:

923667982