Download or read book A Test of the Null Hypothesis that Stock Prices Fluctuate as a Random Walk written by William Arnold Barnett and published by . This book was released on 1963 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Random Walk Down Wall Street The Time Tested Strategy for Successful Investing Ninth Edition written by Burton G. Malkiel and published by W. W. Norton & Company. This book was released on 2007-12-17 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Download or read book Stock Market Prices Do Not Follow Random Walks written by A. Craig MacKinlay and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
Download or read book Elements of Time Series Econometrics An Applied Approach written by Evžen Kočenda and published by Karolinum Press. This book was released on 2014-03-01 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into four major sections. The first section, "The Nature of Time Series?, gives an introduction to time series analysis. The second section, "Difference Equations?, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, "Univariate Time Series?, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, "Multiple Time Series?, deals with time series models of multiple interrelated variables. Appendices contain an introduction to simulation techniques and statistical tables.
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Half of all Americans have money in the stock market, yet economists can't agree on whether investors and markets are ration and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe - and as financial bubbles, crashes, and crises suggest. This is one of the biggest debates in economics, and the value or futility of investment management and financial regulation hang on the outcome. In this groundbreaking book, Andrew Lo cuts through this debate with a new framework, the Adaptive Markets Hypothesis, in which rationality and irrationality coexist. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, "Adaptive Markets" shows that the theory of marked efficiency isn't wrong but merely incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo's new paradigm explains how financial evolution shapes behavior and markets at the speed of thought - a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation."--Inside flap.
Download or read book Statistics and Finance written by David Ruppert and published by Springer. This book was released on 2014-02-26 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book emphasizes the applications of statistics and probability to finance. The basics of these subjects are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance and it introduces the newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students. Those in the finance industry can use it for self-study.
Download or read book Explorations in Pragmatic Economics written by George A. Akerlof and published by OUP Oxford. This book was released on 2005 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: A valuable collection of papers illustrating Akerlof's 'modern', Nobel Prize-winning methodology at work. This ovlume covers the economics of information, the theory of unemployment, the demand for money, psychology and economics, and the nature of discrimination.
Download or read book The Banker s Handbook on Credit Risk written by Morton Glantz and published by Academic Press. This book was released on 2008-04-23 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Banker's Handbook on Credit Risk shows you how to comply with Basel II regulations on credit risk step by step, building on the basics in credit risk up to advanced credit risk methodologies. This advanced credit/risk management book takes a "new tools" approach to Basel II implementation. The hands-on applications covered in this book are vast, including areas of Basel II banking risk requirements (credit risk, credit spreads, default risk, value at risk, market risk, and so forth) and financial analysis (exotic options and valuation), to risk analysis (stochastic forecasting, risk-based Monte Carlo simulation, portfolio optimization) and real options analysis (strategic options and decision analysis). This book is targeted at banking practitioners and financial analysts who require the algorithms, examples, models, and insights in solving more advanced and even esoteric problems. The book comes complete with a DVD filled with sample modeling videos, case studies, and software applications to help the reader get started immediately. The various trial software applications included allows the reader to quickly access the approximately 670 modeling functions, 250 analytical model templates, and powerful risk-based simulation software to help in the understanding and learning of the concepts covered in the book, and also to use the embedded functions and algorithms in their own models. In addition, the reader can get started quickly in running risk-based Monte Carlo simulations, run advanced forecasting methods, and perform optimization on a myriad of situations, as well as structure and solve customized real options and financial options problems. - Only book to show bankers step by step how to comply with Basel II regulations on credit risk - Over 150 hands-on software applications included on the DVD accompanying the book, including sample modeling videos - Provides all the latest quantitative tools
Download or read book The Random Walk Behaviour of Stock Prices written by Arusha Cooray and published by . This book was released on 2003 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Evaluation of Selected Hypotheses Related to Price Changes in the Stock Market written by Robert Leslie Hagin and published by . This book was released on 1966 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Prices Do Not Follow Random Walks written by Andrew W. Lo and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
Download or read book Operations Research Proceedings 2002 written by Ulrike Leopold-Wildburger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains a selection of papers presented at the International Conference on Operations Research (SOR 2002).The contributions cover the broad interdisciplinary spectrum of Operations Research and present recent advances in theory, development of methods, and applications in practice. Subjects covered are Production, Logistics and Supply Chain Production, Marketing and Data Analysis, Transportation and Traffic, Scheduling and Project Management, Telecommunication and Information Technology, Energy and Environment, Public Economy, Health, Agriculture, Education, Banking, Finance, Insurance, Risk Management, Continuous Optimization, Discrete and Combinatorial Optimization, Stochastic and Dynamic Programming, Simulation, Control Theory, Systems Dynamics, Dynamic Games, Game Theory, Auctioning and Bidding, Experimental Economics, Econometrics, Statistics and Mathematical Economics, Fuzzy Logic, Multicriteria Decision Making, Decision Theory.
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Download or read book The Efficiency of China s Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.
