Download or read book Testing the Random Walk Hypothesis for Japanese Stock Prices in S Taylor s Model written by Takeaki Kariya and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
Download or read book Strategic Analysis Of Financial Markets The In 2 Volumes written by Steven D Moffitt and published by World Scientific Publishing Company. This book was released on 2017-03-24 with total page 1119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1 of 'The Strategic Analysis of Financial Markets,' — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that order results primarily from the 'predictable irrationality' of investors, as well as from people's uncoordinated attempts to profit. The market patterns that result do not rely on rationality or efficiency.A framework is developed for understanding financial markets using a combination of psychology, statistics, game and gambling analysis, market history and the author's experience. It expresses analytically how professional investors and traders think about markets — as games in which other participants employ inferior, partially predictable strategies. Those strategies' interactions can be toxic and lead to booms, bubbles, busts and crashes, or can be less dramatic, leading to various patterns that are mistakenly called 'market inefficiencies' and 'stylized facts.'A logical case is constructed, starting from two foundations, the psychology of human decision making and the 'Fundamental Laws of Gambling.' Applying the Fundamental Laws to trading leads to the idea of 'gambling rationality' (grationality), replacing the efficient market's concept of 'rationality.' By classifying things that are likely to have semi-predictable price impacts (price 'distorters'), one can identify, explore through data analysis, and create winning trading ideas and systems. A structured way of doing all this is proposed: the six-step 'Strategic Analysis of Market Method.' Examples are given in this and Volume 2.Volume 2 of 'The Strategic Analysis of Financial Markets' — Trading System Analytics, continues the development of Volume 1 by introducing tools and techniques for developing trading systems and by illustrating them using real markets. The difference between these two Volumes and the rest of the literature is its rigor. It describes trading as a form of gambling that when properly executed, is quite logical, and is well known to professional gamblers and analytical traders.But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle theory of trading systems. Apart from a few sections that develop background material, Volume 2 creates from scratch a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory 'backtesting' literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in momentum trading and suggestions on improvements are also discussed.
Download or read book Quantitative Methods for Portfolio Analysis written by T. Kariya and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for: (1) `Quants' (quantitatively-inclined analysts) in financial industries; (2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems; (3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and (4) investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, with practical analysis, models for Japanese financial markets.
Download or read book Time Series Analysis of Speculative Returns written by Zhuanxin Ding and published by . This book was released on 1994 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Discussion Paper written by and published by . This book was released on 1992 with total page 42 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 Journal of Empirical Finance written by and published by . This book was released on 1993 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Non linear Time Series written by Chor-Yiu Sin and published by . This book was released on 1993 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Random Walk Semi Strong Hypothesis and Stock Market Behavior written by Godwin Chigozie Okpara and published by LAP Lambert Academic Publishing. This book was released on 2012-06 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study, using end of the month stock market index investigated the efficiency of the Nigerian stock market employing unit root test, and standard GARCH (1,1) model as major alternate form methods. The simple descriptive statistics was necessarily used for snapshot decisions.The unit root test and the GARCH model proved that the Nigerian stock market follows a random walk process while a wider informational determining test-the Granger causality showed that the market as far as information is concerned is not semi-strong efficient. The descriptive statistics and the GARCH model showed that the Nigeria stock market is volatile implying that there exists a high level of risk in stock trading in Nigeria. However, the result suggested a low persistence of volatility clustering for the market indicating that increase in volatility is not likely to remain high over several periods.The researcher therefore made some recommendations such as restricting the debt/equity ratio, palliating further the listing requirements, establishing a functional derivatives market to boost the market size, assuring effective information dissemination and awareness to forestall sluggish market behavior.
Download or read book Bibliography of Asian Studies written by and published by . This book was released on 1996 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book Market Risk Analysis Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Download or read book The Random Walk Theory of Stock Price Behavior written by John R. Pickett and published by . This book was released on 1970 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper surveys the literature concerning the random walk theory of stock market price movement. Research is classified as either tests for independence of increments or attempts to define a probability distribution which approximates the price changes in the increments. Two typical investor problems are formulated. It is shown that the probability of success for the investor can be bounded from below by using bounds which are independent of the form of the probability distribution. The second case is shown to be analagous to a first passage problem the positive quadrant of a general random walk on the real line. (Author).
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.
