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Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
LABOR RESOURCES AND THE COMPARISON OF GENERAL ECONOMIC INDICES BY UNION REPUBLIC
productive forces social production agricultural production
2011/10/6
Examines the role of labor resources as one of the factors influencing the level of development of the productive forces of an economic region. Relation between the level of employment of the populati...
Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
Universal nonuniversal world stock market indices
2010/11/2
The investigations of financial markets from a complex network perspective have unveiled many
phenomenological properties, in which the majority of these studies map the financial markets into one co...
An Empirical Test of the Athens Exchange New-Sector Indices Predictability Based on Wavelets
Time series forecasting stock market prediction
2010/9/7
A new forecasting method is employed using Haar and Daubechies-4 filters. Backtesting results, using four indices of the Athens Exchange (ATHEX), are benchmarked against an optimised Auto-Regressive ...
Temporal structure and gain/loss asymmetry for real and artificial stock indices
Temporal structure gain/loss asymmetry mutual information
2010/11/1
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index c...
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pac...
Investor Confidence Indices Statement by Director of Yale International Center for Finance
2007/12/25
As Executive Director of the International Center for Finance at the Yale School of Management, I am pleased to announce the introduction and publication of the Yale School of Management-Chinese Cente...
TESTING THE INTERPRETATION OF INDICES IN A MACROECONOMIC INDEX MODEL
TESTING THE INTERPRETATION INDICES MACROECONOMIC INDEX MODEL
2014/3/18
This paper discusses and contrasts different approaches to the construction of dynamic model> containing unobservables. It is argued that some analysis is easy IO cam out wing...