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Author : Ignacio Norberto Lobato García Mijan
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Long Memory in Stock Market Trading Volume written by Ignacio Norberto Lobato García Mijan and published by . This book was released on 1998 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alok Kumar
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long Memory in Stock Trading Volume written by Alok Kumar and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined the long memory property of Indian stock market by analyzing the trading volume series. Given the absence of trading volume index data, we have constructed trading volume series for the Indian stock market. We used maximum likelihood method to analyze the constructed trading volume index. The estimation of ARFIMA model, obtained a significant parameter for the order of fractional integration, and this could be consistent with the long autocorrelations observed in the trading volume series. The finding that stock-trading volume is a long memory process is robust, given different estimating methods, different sub samples, temporal aggregation and tests on individual stocks. Because of the conditional heteroscedasticity in the series, we have also carried out ARFIMA-GARCH procedures to check whether long persistence was robust in the presence of conditional heteroscedasticity.
Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long-Memory in an Order-Driven Market written by Blake LeBaron and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and adaptation. The simulation results show that our model with learning and adaptation successfully replicates long-memories in trading volume, stock return volatility, and signs of market orders. We also discuss why evolutionary dynamics are important in generating these long memory features.
Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book Long-term Memory in Stock Market Prices written by Andrew Wen-Chuan Lo and published by . This book was released on 1989 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several different time periods. Contrary to previous findings, there is no evidence of long-range dependence in any of the indexes over any sample period or sub-period once short-term autocorrelations are taken into account. Illustrative Monte Carlo experiments indicate that the modified R/S test has power against at least two specific models of long-run memory, suggesting that stochastic models of short-range dependence may adequately capture the time series behavior of stock returns
Author : Dilip Kumar
Publisher : Anchor Academic Publishing (aap_verlag)
ISBN 13 : 3954892456
Total Pages : 105 pages
Book Rating : 4.9/5 (548 download)
Download or read book Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data written by Dilip Kumar and published by Anchor Academic Publishing (aap_verlag). This book was released on 2014-04-10 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.
Author : Edward A. Dyl
Publisher :
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.F/5 ( download)
Download or read book The Effect of Capital Gains Taxation on the Stock Market written by Edward A. Dyl and published by . This book was released on 1973 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shibley Sadique
Publisher :
ISBN 13 : 9781864461701
Total Pages : 18 pages
Book Rating : 4.4/5 (617 download)
Download or read book Long-term Memory in Stock Market Prices written by Shibley Sadique and published by . This book was released on 1998 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thorsten Hens
Publisher : Elsevier
ISBN 13 : 0080921434
Total Pages : 607 pages
Book Rating : 4.0/5 (89 download)
Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author : Roman Liesenfeld
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)
Download or read book Identifying Common Long-Range Dependence in Volume and Volatility Using High-Frequency Data written by Roman Liesenfeld and published by . This book was released on 2002 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the joint long-run dynamics of trading volume and return volatility in futures contracts on the German stock index DAX using a sample of 5-minute returns and trading volume. Employing robust semiparametric methods of inference on memory parameters, I find that volume and volatility exhibit the same degree of long-memory which is consistent with a mixture-of-distributions (MOD) model in which the latent number of information arrivals follows a long-memory process. However, there is some evidence that volume and volatility are not driven by the same long-memory process suggesting that the MOD model cannot explain the joint long-run dynamics of volatility and volume.
Author : Patel Ishaan
Publisher :
ISBN 13 : 9785403184199
Total Pages : 0 pages
Book Rating : 4.1/5 (841 download)
Download or read book Trading Volume and Market Efficiency written by Patel Ishaan and published by . This book was released on 2023-03-04 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on asset market and market microstructure has devoted surprisingly little attention to trading volume. Many economic models of financial markets and market microstructure have been developed to explain the predictability of prices (returns), and information content of it. However, far less attention has been devoted to explain the behavior of trading volume. To fill this gap in the literature, this study tries to expand our understanding of trading volume for an emerging market by empirically estimating econometric models using recently available daily volume data for individual securities listed on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The analysis carried out serves several purposes: a) understand the motives for trade & the process by which trades are realized, b) the interaction between price and volume, and c) the roles that risk preferences and market frictions play in determining stock trading activity. Our empirical contributions include: (1) the construction of a volume based index for the Indian equity markets & comprehensive exploratory data analysis of the time-series behavior of trading volume; (2) modeling trading volume series using long-memory models and its forecasting performance; (3) estimation of dynamic price & volume relations using Markov Switching framework; and (4) a new approach for empirically identifying various factors determining the stock trading volume. The empirical result that stock trading volume is a long-memory process, does not affect market efficiency.
Download or read book Forecasting Volatility and Volume in the Tokyo Stock Market written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Naoyuki Yoshino
Publisher : Springer Nature
ISBN 13 : 9811670625
Total Pages : 671 pages
Book Rating : 4.8/5 (116 download)
Download or read book Studies in International Economics and Finance written by Naoyuki Yoshino and published by Springer Nature. This book was released on 2022-03-30 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: This festschrift volume presents discussions on contemporary issues in international economics and finance. It is aimed to serve as a reference material for researchers. There are two broad sections of the book -- International Macroeconomics and International Finance. The chapters in the International Macroeconomics section discuss critical topics like aggregate level macro model for India with a new Keynesian perspective, balance of payments, service sector exports, foreign exchange constraints for import demands, foreign direct investment and knowledge spill over, the relationship between forex rate fluctuation and investment, Institutional quality-trade openness-economic growth nexus, currency crises and debt-deficit relationship in the BRICS countries in the backdrop of COVID-19. Apart from these, various analytical issues related to macroeconomic policies are also covered in this section. The topics discussed includes the nature of forex market interventions, the issue of disinvestment and privatization, changing nature of fiscal policy, the inflation-growth nexus, macroeconomic simulation modelling, measuring core inflation, central bank credibility, monetary policy, inflation targeting, Infrastructure, trade, unemployment and inequality nexus. In the International Finance section, topics such as COVID-19 induced financial crisis, commodity futures volatility, stock market connectivity, volatility persistence, determinants of sovereign bond yields, FII and stock market volatility, cryptocurrency price formation, financialization of Indian commodity market, and a Keynesian view of the financial crisis are discussed. Overall, thirty two chapters in the volume discuss cutting edge research in the areas of the two sections. A tour de force... a lucid guide to some of the diverse and complex issues in International Macroeconomics and Finance. This collection of scholarly works is a fitting tribute to respected Prof. Bandi Kamaiah and his enviable academic contributions. - Prof. Y V Reddy, Former Governor, Reserve Bank of India This volume comprising thoughtful essays by our leading scholars on some of important policy issues that India is facing is indeed a rich tribute to Professor Bandi Kamaiah . This book will greatly benefit the academic community as well as our policy makers. - Prof. Vijay Kelkar, Chairman, 13th Finance Commission of India; Chairman, India Development Foundation, Mumbai, India Noted economists from India and abroad gather to apply the rigorous searchlight that Professor Bandi Kamaiah used so effectively in his career. Major current topics in macroeconomics and international finance are effectively explored in the volume. - Prof. Ashima Goyal, Emeritus Professor, Indira Gandhi Institute of Development Research, Mumbai, India; and Member, Monetary Policy Committee of Reserve Bank of India This volume of 32 papers in macroeconomics, international economics, and international finance is intended as a tribute to the eminent econometrician , Prof B Kamaiah. Post-graduate students and researchers will find much valuable literature in the volume, which is a fitting tribute to Prof Kamaiah. The editors and authors deserve rich compliments. - Prof. K L Krishna, Former Director, Delhi School of Economics, New Delhi, India I am so happy to hear that Dr. Kamaiah's colleagues and ex-students are bringing out a special volume of articles in his honor. Nothing can be more appropriate. Dr. Kamaiah, being a man of tremendous publications, deserves this tribute. I wish all the luck and success to the new book. - Prof. Kishore Kulkarni, Distinguished Professor of Economics, Metropolitan State University of Denver, USA
Author : Jean-Philippe Bouchaud
Publisher : Cambridge University Press
ISBN 13 : 1108639062
Total Pages : 464 pages
Book Rating : 4.1/5 (86 download)
Download or read book Trades, Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Author : Gourishankar S. Hiremath
Publisher : Springer Science & Business Media
ISBN 13 : 8132215907
Total Pages : 135 pages
Book Rating : 4.1/5 (322 download)
Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Esther David
Publisher : Springer
ISBN 13 : 3642348890
Total Pages : 139 pages
Book Rating : 4.6/5 (423 download)
Download or read book Agent-Mediated Electronic Commerce. Designing Trading Strategies and Mechanisms for Electronic Markets written by Esther David and published by Springer. This book was released on 2013-01-03 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains ten thoroughly refereed and revised papers detailing recent advances in research on designing trading agents and mechanisms for agent-mediated e-commerce. They were originally presented at the 13th International Workshop on Agent-Mediated Electronic Commerce (AMEC 2011), collocated with AAMAS 2011 in Taipei, Taiwan, or at the 2011 Workshop on Trading Agent Design and Analysis (TADA 2011), collocated with IJCAI 2011 in Barcelona, Spain. The papers presented at these two workshops illustrate both the depth and broad range of research topics in this field. They range from providing solutions to open theoretical problems in online scheduling and bargaining under uncertainty, to designing bidding agents in a wide area of application areas, such as electronic commerce, supply chain management, or keyword advertising, to designing agents that can successfully replicate actual human behaviors in realistic games.
Author : Leigh Tesfatsion
Publisher : Elsevier
ISBN 13 : 0080459870
Total Pages : 905 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Computational Economics written by Leigh Tesfatsion and published by Elsevier. This book was released on 2006-05-15 with total page 905 pages. Available in PDF, EPUB and Kindle. Book excerpt: The explosive growth in computational power over the past several decades offers new tools and opportunities for economists. This handbook volume surveys recent research on Agent-based Computational Economics (ACE), the computational study of economic processes modeled as dynamic systems of interacting agents. Empirical referents for "agents" in ACE models can range from individuals or social groups with learning capabilities to physical world features with no cognitive function. Topics covered include: learning; empirical validation; network economics; social dynamics; financial markets; innovation and technological change; organizations; market design; automated markets and trading agents; political economy; social-ecological systems; computational laboratory development; and general methodological issues. *Every volume contains contributions from leading researchers *Each Handbook presents an accurate, self-contained survey of a particular topic *The series provides comprehensive and accessible surveys
