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Instability and chaotic dynamics in stock returnsInstability and chaotic dynamics in stock returns
(Sociedade Brasileira de Econometria, 2001)
Price clusters and stock price stabilityClusters de preços e estabilidade do preço das ações
(Universidade Federal de Santa Maria, 2022)
Non-Gaussian Price Dynamics and Implications for Option Pricing
(2012)
It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...
Confidence and self-attribution bias in an artificial stock market
(2017-02-01)
Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find ...
Long correlations and truncated Levy walks applied to the study Latin-American market indices
(Elsevier Science, 2005-12)
This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Utilização do dentreded fluctuation analysis e do dentreded cross-correlation analysis para estudo do espectro de correlação de ações constantes no Ibovespa no período de crise do subprime
(Universidade Estadual Paulista (Unesp), 2016-12-02)
As crises que ocorrem no mercado de ações são prejudiciais não só à parte monetária da economia de um país, mas ao desenvolvimento do país como um todo. A crise do subprime em 2008, que se iniciou nos Estados Unidos da ...
Use the profit model to evaluate the tax framework Applied Study in the General Authority for Taxation / Iraq
(Universidad del Zulia, 2019)
Impact of gold and oil prices on the stock market in Pakistan
(Universidad ESAN. ESAN EdicionesPE, 2020-12-01)
Purpose: The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach: This study uses the data on gold prices, stock exchange and oil prices for the period ...