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Jelena Radojicic,Ognjen Radovic
Pág. 053 - 069
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of retu...
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Leah Downey, Stefan Eich
Pág. Finance an - 72
What began with an intense bout of crypto fever has since the onset of the pandemic engendered an explosive rise in online retail trading. While the original political promise of financial decentralization has become ever harder to sustain, the idea of d...
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Congxin Wu, Xinyu Wang, Shan Luo, Jing Shan and Feng Wang
This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model...
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Jaehwan Park
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position ...
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Arindam Banerjee
Pág. 268 - 276
The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto reg...
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Tim Leung, Jiao Li and Xin Li
This paper studies an optimal trading problem that incorporates the trader?s market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by an exponentia...
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Xiangdong Chen, Fei Wang, Wei Wang and Valerie Hunstock
The Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using ...
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Sebastien Lleo and William T. Ziemba
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are th...
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Xiaofeng Zhao
This paper examines the unusual and puzzling stock price performance of USEC Inc. during July 2013. The stock price surged as much as ten times during merely sixteen trading days without apparent value-changing information being released. Four possible r...
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