Long Memory In Financial Markets
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Author | : Gilles Teyssière |
Publisher | : Springer Science & Business Media |
Total Pages | : 394 |
Release | : 2006-09-22 |
Genre | : Business & Economics |
ISBN | : 3540346252 |
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Author | : Min Zheng |
Publisher | : |
Total Pages | : 29 |
Release | : 2018 |
Genre | : |
ISBN | : |
During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two types of boundedly rational investors -fundamentalists and chartists. We examine the dynamics of the market price and market behavior, which depend on investors' behavior and the interaction of the two types of investors. Numerical simulations of the corresponding stochastic model demonstrate that the model is able to replicate the stylized facts of financial time series, in particular the long-term dependence (long memory) of asset return volatilities. We further investigate the source of the long memory according to asset pricing mechanism of our model, and provide evidences of long memory by applying the modified R/S analysis. Our results demonstrate that the key parameter that has impact on the long memory is the speed of the price adjustment of the market maker at the equilibrium of demand and supply.
Author | : Inna Nekrasova |
Publisher | : IGI Global, Business Science Reference |
Total Pages | : 306 |
Release | : 2018 |
Genre | : Business & Economics |
ISBN | : 9781522537670 |
"This book explores fractal structure and long-term memory of the financial markets to predict prices of financial assets and financial crisis. It identifies the criteria to select financial assets for investment and the creation of a randomized algorithm of R/S-analysis, which allows to give a more accurate assessment of the fractal dimension in the financial markets"--
Author | : Ramazan Gençay |
Publisher | : Elsevier |
Total Pages | : 411 |
Release | : 2001-05-29 |
Genre | : Business & Economics |
ISBN | : 008049904X |
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Author | : Cornelis Los |
Publisher | : Routledge |
Total Pages | : 513 |
Release | : 2003-07-24 |
Genre | : Business & Economics |
ISBN | : 1134469314 |
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,
Author | : Long Hai Vo |
Publisher | : |
Total Pages | : 31 |
Release | : 2014 |
Genre | : Capital market |
ISBN | : |
Author | : Jacques Lévy-Véhel |
Publisher | : Springer Science & Business Media |
Total Pages | : 288 |
Release | : 2005-12-06 |
Genre | : Technology & Engineering |
ISBN | : 1846280486 |
The application of fractals in the engineering sciences is evolving swiftly and the editors have turned to Springer for the third time to bring you the latest research emerging from the rapid growth in techniques available for the employment of the ideas of fractals and complexity to a variety of disciplines in and associated with the engineering field. The strong potential of this research can be seen in real industrial situations with recent progress being made in areas such as chemical engineering, internet traffic, physics and finance. Image processing continues to be a major field of application for fractal analysis and is well-represented here. It is important to note that the applications models are presented with a firm basis in theoretical argument, the qualitative observation of fractal phenomena no longer being sufficient. Consisting of papers written by a world-wide pool of experts, the multidisciplinary approach of this third volume will be of particular interest to industrial researchers and practitioners as well as to academics from many backgrounds. Fractals in Engineering: New Trends in Theory and Applications continues the publication of engineering-related research in fractal techniques begun in Fractals in Engineering and Fractals: Theory and Applications in Engineering (Springer London 1997 and 1999).
Author | : Gourishankar S. Hiremath |
Publisher | : Springer Science & Business Media |
Total Pages | : 135 |
Release | : 2013-10-28 |
Genre | : Business & Economics |
ISBN | : 8132215907 |
India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
Author | : Cheng Few Lee |
Publisher | : World Scientific |
Total Pages | : 5053 |
Release | : 2020-07-30 |
Genre | : Business & Economics |
ISBN | : 9811202400 |
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author | : Christiansen, Bryan |
Publisher | : IGI Global |
Total Pages | : 377 |
Release | : 2016-03-17 |
Genre | : Psychology |
ISBN | : 1466699906 |
Neuroeconomics has emerged as a field of study with the goal of understanding the human decision-making process and the mental consideration of multiple outcomes based on a selected action. In particular, neuroeconomics emphasizes how economic conditions can impact and influence the decision-making process and alternately, how human actions have the power to impact economic conditions. Neuroeconomics and the Decision-Making Process presents the latest research on the relationship between neuroscience, economics, and human decision-making, including theoretical foundations, real-world applications, and models for implementation. Taking a cross-disciplinary approach to neuroeconomic theory and study, this publication is an essential reference source for economists, psychologists, business professionals, and graduate-level students across disciplines.