Ricerca per argomento in ordine alfabetico
Annual reports, Financial management, Financial reporting
Indice degli argomenti per la parola chiave :
Modelli Econometrici
Kernel Regression Applicazione alla Previsione del Fib 30
Lo sviluppo di questa tesi è una diretta conseguenza dell’esperienza maturatadurante lo stage presso un’ ente che si occupa di previsioni finanziarie, nonché di un costante scambio di informazioni via e-mail con l’autore del libro “Expert Trading System: Modeling Financial Markets with Kernel Regression”.La tesi tratta la descrizione e lo studio di fattibilità di una metodo di regressione non parametrica, la kernel regression, applicata alla previsione intraday dei valori del Fib30.
Indice VIX, Volatilità, Modelli e Analisi Empirica
La ricerca e l’analisi di relazioni tra la volatilità dei prezzi degli strumenti finanziari e il loro rendimento è stata ed è tutt’oggi al centro di grande attenzione da parte degli studiosi di econometria, finanza e statistica. Uno dei principali interrogativi riguarda la previsione del rischio legato all’andamento globale dell’economia e dei mercati sulla base dell’informazione disponibile (la storia passata). Mirko cavallaro
Di Monica Billio e Domenico Sartore Università Ca' Foscari e GRETA , Venezia. Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA,1999.
L' Analisi Tecnica e la previsione economentrica
Luca Cappellina e Domenico Sartore Università Ca'Foscari e GRETA , Venezia. Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA, 1999.
L'Analisi Tecnica e i modelli Garch
Davide Dalan e Domenico Sartore Università Ca' Foscari e GRETA .Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA,1999.
Si possono prevedere i mercati?
Metodologia per affrontare il problema di "previsione del mercato" si tratta di una delle assunzioni chiave per molti esercizi di pianificazione finanziaria e budgeting e gestione proattiva del rischio finanziario. A cura di Francesco Ceci
This paper aims to pursue two closely connected purposes. The first is to provide a theoretical framework, based on coherence constraints, for a technique of multicriteria analysis that allows to convert a partial pre-order into a total pre-order. The second it to show the possibility of measuring statistically the amount of modification implicitly made to the evaluations concretely expressed in the binary comparisons in order to make them coherent. This information may be useful both to the decision-maker who may wish to redefine certain evaluation criteria, and to the user of the ranking obtained with the multicriteria method, in order to determine its reliability. By Dr Elvio Mattioli
DF Structure models for options pricing
Based on the Partial Distribution, we presents the concepts and expressions of DF process and DF structure and put forward the DF structure models of pricing options on a non-dividend-paying underlying for the first time. The DF structure models are able to price the call and put options exercised at any time, so it is applicable to pricing the American and European options. Finally, examples are given to compare the options priced by DF formulas and by Black-Scholes formulas, they show, as a whole, that the DF’ prices of options are closer to the trading prices than Black-Scholes’ prices in many cases.Prof. Feng Dai and Prof. Zifu Qin
In tale articolo si valuta l’abilità del modello stocastico univariato di Cox, Ingersoll e Ross di identificare titoli caratterizzati da mispricing, ovvero caratterizzati da una condizione di sopravvalutazione (prezzo di mercato superiore al prezzo equo) o di sottovalutazione (prezzo di mercato inferiore al prezzo equo), e di fornire, conseguentemente, informazioni utili per il trading.Fulvio Pegoraro
Continuous overreaction, insiders trading
activities and momentum strategies
The paper investigates the influence and explanatory power of aggregate insiders trading activities on momentum trading strategies. We find that insiders trading activities can predict cross-sectional returns and can strengthen the naı¨ve momentum effects. The risk factors such as size and BM cannot explain the strong momentum effects in our refined momentum strategies. We interpret our findings as that the continuous overreaction causes the mediate term momentum effects and over pricing. In the long term, these overly priced stocks will be corrected with passing time. The correction of over pricing causes long-term reversals. © 2002 Elsevier Science B.V. All rights reserved. Jihong Xiang, Jia He , Min Cao
Comparison and problems using local
We can estimate the market view using the volatility which is implied by the market prices. Using real data from the market, we can simulate the asset price path with its corresponding implied, local and stochastic volatility. By Prof. Klaus Erich Schmitz Abe
Introduction to Implied, Local and Stochastic Volatility
The purpose of this document is to introduce implied, local and stochastic volatility, to review evidence of non-constant volatility, and to consider the implications for option pricing of alternative random or stochastic volatility models. We focus on continuous time diffusion models for the volatility, but we also briefly discuss certain classes of discrete time models, such as ARV or ARCH. By Prof. Klaus Erich Schmitz Abe
Strong Taylor Schemes for Stochastic Volatility
We can price any financial instrument using Monte Carlo and the payoff. Another method of pricing is using the exact solution for its corresponding SDEs. This method requires formulas that are not always easy or possible to find. In this document, we present the corresponding approximations for both Euler and Milstein schemes for the usual Geometric Brownian Motion and the stochastic volatility models. Also, we present five methods of how we can simulate the double integrals for the 2 dimensional Milstein approximation.By Prof. Klaus Erich Schmitz Abe
High Frequency Exchange Rate Forecasting
In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low and Close prices of daily exchange rates. Since, for a given exchange rate, it can be shown that these prices have different time series properties, it is possible to explore the structural relationships between them using multivariate cointegration methods. By Prof. Ronald MacDonald, Prof. Norbert Fiess
Metodi Monte Carlo per la valutazione di Opzioni Finanziarie
I metodi di simulazione Monte Carlo si sono rivelati uno strumento efficace e computazionalmente flessibile per la risoluzione di problematiche di carattere finanziario.
Moving Averages and Market Inefficiency
We introduce a stochastic price model where, together with a random com-
ponent, a moving average of logarithmic prices contributes to the price for-
mation. By Prof. R. Baviera, Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva
On the complete model with stochastic volatility by Hobson and Rogers
In this note, we aim to emphasize the mathematical tractability of the model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment. M. Di Francesco e Andrea Pascucci
Lezioni di Econometria del Prof. Paolo Mattana Dipartimento di Economia Università degli Studi di Cagliari
On the Predictive Content of Technical Analysis
Notwithstanding its widespread use in financial markets and well-documented profitability, technical analysis is still perceived to carry useless information. This paper provides a possible explanation for this puzzle that goes beyond the standard self-fulfilling prophecy argumentation. If at least some of the asset price fundamentals are not currently observable, the oscillator model is able to infer regime shifts in the process of these variables through past asset prices. From this point of view, technical analysis can be interpreted as a cheap proxy for Bayesian learning. Prof. Stefan Reitz