Volume And The Nonlinear Dynamics Of Stock Returns

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Volume And The Nonlinear Dynamics Of Stock Returns

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Author : Chiente Hsu
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Volume And The Nonlinear Dynamics Of Stock Returns written by Chiente Hsu and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.

Volume And The Nonlinear Dynamics Of Stock Returns

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Author : Chiente Hsu
language : en
Publisher:
Release Date : 1998-03-18

Volume And The Nonlinear Dynamics Of Stock Returns written by Chiente Hsu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-03-18 with categories.

Nonlinear Labor Market Dynamics

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Author : Michael Neugart
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Nonlinear Labor Market Dynamics written by Michael Neugart and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Nonlinear Labor Market Dynamics discusses adjustment processes in labor markets. Contrary to linear-stochastic approaches this book is based on a non-linear deterministic framework. It is shown that even textbook-like-models of the labor market can generate long lasting adjustment processes, local instabilities, and chaotic movements, once nonlinear relationships and widely accepted adjustment rules are introduced. Thus, labor market dynamics may have an endogenous component that is governed by a nonlinear deterministic core. Of course, all results are tied to the particular models discussed in this book. Nevertheless, these models imply that by incorporating nonlinear relationships, one may arrive at an explanation of labor market behavior where linear stochastic approaches fell. Time series studies for German labor market data support this point of view.

Combined Relaxation Methods For Variational Inequalities

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Author : Igor Konnov
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Combined Relaxation Methods For Variational Inequalities written by Igor Konnov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Variational inequalities proved to be a very useful and powerful tool for in vestigation and solution of many equilibrium type problems in Economics, Engineering, Operations Research and Mathematical Physics. In fact, varia tional inequalities for example provide a unifying framework for the study of such diverse problems as boundary value problems, price equilibrium prob lems and traffic network equilibrium problems. Besides, they are closely re lated with many general problems of Nonlinear Analysis, such as fixed point, optimization and complementarity problems. As a result, the theory and so lution methods for variational inequalities have been studied extensively, and considerable advances have been made in these areas. This book is devoted to a new general approach to constructing solution methods for variational inequalities, which was called the combined relax ation (CR) approach. This approach is based on combining, modifying and generalizing ideas contained in various relaxation methods. In fact, each com bined relaxation method has a two-level structure, i.e., a descent direction and a stepsize at each iteration are computed by finite relaxation procedures.

Design Of Master Agreements For Otc Derivatives

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Author : Dietmar Franzen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Design Of Master Agreements For Otc Derivatives written by Dietmar Franzen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

I first came across the issue of derivatives documentation when writing my diploma thesis on measuring the credit risk ofOTC derivatives while I was an economics student at the University of Bonn. Despite the fact that security design has been an area of research in economics for many years and despite the widespread use of derivatives documentation in financial practice, the task of designing contracts for derivatives transactions has not been dealt with in financial theory. The one thing that aroused my curiosity was that two parties with usually opposing interests, namely banking supervisors and the banking industry's lobby, unanimously endorse the use ofcertain provisions in standardized contracts called master agreements. Do these provisions increase the ex ante efficiency of contracts for all parties involved? I actually began my research expecting to find support for the widely held beliefs about the efficiency or inefficiency of certain provisions and was sur prised to obtain results that contradicted the conventional wisdom. I would strongly advise against using these results in any political debate on deriva tives documentation. They were obtained within a highly stylized model with some restrictive assumptions. This work should rather be seen as an attempt to formalize the discussion on derivatives documentation and to challenge the notion that certain provisions are generally ex ante efficient. It is also an invitation to all those advocating the use of certain provisions in master agreements to formalize their arguments and to explain the economic ratio nale behind these provisions.

A Theory Of International Trade

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Author : Wei-Bin Zhang
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

A Theory Of International Trade written by Wei-Bin Zhang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Over more than two centuries the development ofeconomic theory has created a wide array of different concepts, theories, and insights. My recent book Capital and Knowledge (Zhang, 1999a) shows how separate economic theories such as the Marxian economics, the Keynesian economics, the general equilibrium theory, and the neoclassical growth theory can be examined within a single theoretical framework. The Capital and Knowledge constructs an economic theory to account for the phenomena explained by the main economic theories (of national economies) in a unified manner. It tries to draw together the disparate branches of economics into a single organized system ofknowledge. This book is a part of my economic theory with endogenous population, capital, knowledge, preferences, sexual division of labor and consumption, institutions, economic structures and exchange values over time and space (Zhang, 1996a). As an extension of the Capital and Knowledge, which is focused on the dynamics of national economies, this book is to construct a theory of international trade. We are concerned with dynamic relations between international division of labor, division of consumption and determination of prices structure in global economy. We examine dynamic interdependence between capital accumulation, knowledge creation and utilization, economic growth, price structures and international trade patterns under free competition. Our theory is constructed on the basis of a few concepts within a compact framework.

Optimization

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Author : Van Hien Nguyen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Optimization written by Van Hien Nguyen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

The 9th Belgian-French-German Conference on Optimization has been held in Namur (Belgium) on September 7-11, 1998. This volume is a collection of papers presented at this Conference. Originally, this Conference was a French-German Conference but this year, in accordance with the organizers' wishes, a third country, Belgium, has joined the founding members of the Conference. Hence the name: Belgian French-German Conference on Optimization. Since the very beginning, the purpose of these Conferences has been to bring together researchers working in the area of Optimization and partic ularly to encourage young researchers to present their work. Most of the participants come from the organizing countries. However the general ten dancy is to invite outside researchers to attend the meeting. So this year, among the 101 participants at this Conference, twenty researchers came from other countries. The general theme of the Conference is everything that concerns the area of Optimization without specification of particular topics. So theoretical as pects of Optimization, in addition to applications and algorithms of Opti mization, will be developed. However, and this point was very important for the organizers, the Conference must retain its convivial character. No more than two parallel sessions are organized. This would allow useful contacts between researchers to be promoted. The editors express their sincere thanks to all those who took part in this Conference. Their invaluable discussions have made this volume possible.

New Trends In Distribution Logistics

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Author : M. Grazia Speranza
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

New Trends In Distribution Logistics written by M. Grazia Speranza and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

The globalization of markets has reinforced the interest in logistics. A constantly raising level of competition among companies stresses the need for improved logistic processes, in terms of cost reduction and increased service level. The book covers the main problems of distribution logistics: network design and location problems, tactical and operational planning of transport, internal logistics, and inventory management. The book contains a rigorous methodological approach with an emphasis on practical problems. Two survey papers provide references and open problems.

Model Reduction Methods For Vector Autoregressive Processes

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Author : Ralf Brüggemann
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-25

Model Reduction Methods For Vector Autoregressive Processes written by Ralf Brüggemann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-25 with Mathematics categories.

1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Pricing In In Complete Markets

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Author : Angelika Esser
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-27

Pricing In In Complete Markets written by Angelika Esser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-27 with Business & Economics categories.

In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.