Long Memory in Stock Market Trading Volume PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Long Memory in Stock Market Trading Volume PDF full book. Access full book title Long Memory in Stock Market Trading Volume by Ignacio Norberto Lobato García Mijan. Download full books in PDF and EPUB format.
Author: Ignacio Norberto Lobato García Mijan
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 72
Get Book Here
Book Description
Author: Ignacio Norberto Lobato García Mijan
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 72
Get Book Here
Book Description
Author: Gilles Teyssière
Publisher: Springer Science & Business Media
ISBN: 3540346252
Category : Business & Economics
Languages : en
Pages : 394
Get Book Here
Book Description
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: Dilip Kumar
Publisher: diplom.de
ISBN: 3954897458
Category : Business & Economics
Languages : en
Pages : 99
Get Book Here
Book Description
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: Gourishankar S. Hiremath
Publisher: Springer Science & Business Media
ISBN: 8132215907
Category : Business & Economics
Languages : en
Pages : 135
Get Book Here
Book Description
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: Jean-Philippe Bouchaud
Publisher: Cambridge University Press
ISBN: 1108639062
Category : Science
Languages : en
Pages : 464
Get Book Here
Book Description
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: Thorsten Hens
Publisher: Elsevier
ISBN: 0080921434
Category : Business & Economics
Languages : en
Pages : 607
Get Book Here
Book Description
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: Jacques Lévy-Véhel
Publisher: Springer Science & Business Media
ISBN: 1846280486
Category : Technology & Engineering
Languages : en
Pages : 288
Get Book Here
Book Description
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: Naoyuki Yoshino
Publisher: Springer Nature
ISBN: 9811670625
Category : Business & Economics
Languages : en
Pages : 671
Get Book Here
Book Description
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: Harold L. Vogel
Publisher: Springer
ISBN: 3319715283
Category : Business & Economics
Languages : en
Pages : 508
Get Book Here
Book Description
Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Author: Esther David
Publisher: Springer
ISBN: 3642348890
Category : Computers
Languages : en
Pages : 139
Get Book Here
Book Description
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.
