搜索结果: 1-13 共查到“金融市场 returns”相关记录13条 . 查询时间(0.093 秒)
The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
The nature of price returns during periods of high market activity
price returns periods market activity
2010/10/22
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...
The predictions of the S&P 500 returns made in 2007 have been tested and the underlying models amended. The period between 2003 and 2008 should be described by the dependence of the S&P 500 stock mark...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...
Impact of the tick-size on financial returns and correlations
Financial correlations Epps e ect Market emergence Covariance estimation
2010/10/18
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
Probabilities of Positive Returns and Values of Call Options
Black-Scholes formula probability of positive return growth rate of stock price
2010/11/3
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearin...
A queueing theory description of fat-tailed price returns in imperfect financial markets
queueing theory description imperfect financial markets
2010/11/2
In a nancial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investm...
Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China主讲人 Prof. Jun CaiCity University of Hong Kong
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
asymmetric correlations market portfolios felicity function
2011/4/6
In this paper, we provide a model-free test for asymmetric correlations in which stocks move
more often with the market when the market goes down than when it goes up. We also provide
such tests for...
Breadth of Ownership and Stock Returns
Differences of opinion Short-sales constraints Return predictability
2014/3/18
We develop a stock market model with differences of opinion and short-sales constraints.When breadth is low—i.e., when few investors have long positions—this signals that the shortsales constraint is ...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...