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When analyzing investment decisions, we did not consider in any detail the largest investment decisions that most firms make, i.e., their acquisitions of other firms. Boeing’s largest investment of the last decade was not a new commercial aircraft but its acquisition of McDonnell Douglas in 1996. By Prof. Aswath Damodaran
La storia della Terra ha conosciuto profondi cambiamenti, cataclismi e rivoluzioni. L'uomo spesso, per sopravvivere, si è dovuto adattare ai "capricci" del pianeta. Negli due ultimi secoli, e in particolare negli ultimi cento anni, grazie alla rivoluzione industriale, all'utilizzo di combustibili fossili per la produzione di energia e agli sviluppi della scienza e della tecnologia sembra che l'uomo abbia finalmente raggiunto standard di vita che un tempo nemmeno poteva immaginare dominando la natura come mai era accaduto nella storia dell'umanità. La nostra vita e la nostra economia sono radicalmente cambiate, ma sono allo stesso tempo divenute tremendamente dipendenti dall'energia e in particolare dal petrolio e da altre fonti esauribili quali gas naturale e carbone. Nuovi problemi si trovano ora di fronte a noi, un tempo sconosciuti, quali l'inquinamento, la sovrappopolazione del pianeta, l'esaurimento delle risorse in particolare quelle energetiche. A cura di Pierangela Magioncalda e realizzato
An Introduction to This introduction to R is derived from an original set of notes describing the S and S-Plus environments written by Bill Venables and David M. Smith (Insightful Corporation). We have made a number of small changes to reflect differences between the R and S programs, and expanded some of the material.
Overconfidence, Investor Sentiment, and Evolution
We examine the survival of nonrational investors in an evolutionary game model with a population dynamic for a large economy. The dynamic indicates that the growth rate of wealth accumulation drives the evolutionary process. We focus our analysis on the survival of overconfidence and investor sentiment.We find that underconfidence or pessimism cannot survive, but moderate overconfidence or optimism can survive and even dominate, particularly when the fundamental risk is large. These findings provide new empirical implications for the survivability of active fund management. Our results lend support to the relevance of the psychology of investors in studying financial markets. Prof. F. Albert Wang
It is shown in this letter that the magnitude of exchange rate overshooting is larger than in Dornbusch (1976) when chartists are introduced into the model. Also, the extent of overshooting depends inversely on the planning horizon. The latter follows from explicitly modelling the empirical observation that, for shorter planning horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer planning horizons. Prof. Mikael Bask
Essays on Exchange Rates Deterministic Chaos and Technical Analysis
Prof. Mikael Bask
Heterogeneous Beliefs in a Sticky-Price Foreign Exchange Model
It is demonstrated in this paper that the exchange rate "overshoots the overshooting equilibrium" when chartists are introduced into a sticky-price monetary model due originally to Dornbusch (1976). Chartists are introduced since questionnaire surveys reveal that currency trade to a large extent is based on technical trading, where moving averages is the most commonly used technique. Prof. Mikael Bask and Carina Selander
Determining bottom price-levels after a speculative peak
During a stock market peak the price of a given stock (i) jumps from an initial level p1(i) to a peak level p2(i) before falling back to a bottom level p3(i). The ratios A(i) = p2(i)/p1(i) and B(i) = p3(i)/p1(i) are referred to as the peak- and bottom-amplitude respectively. The paper shows that for a sample of stocks there is a linear relationship between A(i) and B(i) of the form: B = 0.4A+b. In words, this means that the higher the price of a stock climbs during a bull market the better it resists during the subsequent bear market. That rule, which we call the resilience pattern, also applies to other speculative markets. It provides a useful guiding line for Monte Carlo simulations. By Dr B.M. Roehner
La gestione di obbligazioni a lungo termine nel breve termine:un approccio dinamico
Come sfruttare al meglio i Titoli di credito con l'introduzione di nuovi strumenti finanziari a disposizione dell' investitore. L'articolo è apparso sulla rivista "Bancaria" nel 1996. A cura di Francesco Ceci
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
Commodity Prices and Debt Sustainability
This paper is based on an earlier paper, “Realignment of debt service obligations and ability to pay in concessional lending: feasibility and modalities” which was commissioned by the World Bank. By Prof. Christopher L. Gilbert, Prof. Alexandra Tabova
This paper proposes a hybrid financial trading system that incorporates the application of chaos theory, non-linear statistical models and artificial intelligence/soft computing methods, specifically, Artificial Neural Networks (ANNs) and Genetic Algorithms (GAs). Prof. Dr Clarence N W Tan, Ph.D. Assistant Professor, Computational Finance School of Information Technology Bond University
Trading System for Australian Dollar using multiple moving averages and autoregressive models
This paper tested two of the simplest and most popular trading rules – Auto- Regressive Models and Moving Averages – by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. This data set was used by Tan [1995, 1997] in his study in comparing the profitability of systems based on Artificial Neural Networks and ARIMA models. Dr. Clarence N W Tan and Herlina Dihardjo
The Partial Distribution:Definition, Properties and Applications in Economy
In this discussed draft, we want to present the Partial Distribution (F.Dai, 2001) for discussing. We compare the partial distribution with lognormal and levy distribution.Prof. Feng Dai
Volatility and Structure: Building Blocks of Classical Chart Pattern Analysis
In the following discussion I will try to describe that common thread by breaking chart patterns into generic components and examining each in turn before assembling them into a single model. By Daniel L. Chesler, CMT, CTA
Sulle dinamiche del ciclo misesiano
Di recente l’analisi austriaca del ciclo economico è stata oggetto di rinnovato interesse: contrariamente alla maggior parte delle analisi tradizionali, infatti, la visione originaria di Mises non spiega il ciclo richiamandosi a shock esogeni o a illusioni di cui sarebbero vittime gruppi di agenti economici. Per contro, l’accento viene posto sul fenomeno dell’inflazione sequenziale generato dal sistema bancario e dalla variazione nei fondamentali a essa legata.
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
On fractal distribution function estimation and applications
In this paper we review some recent results concerning the approximations of distribution functions and measures on [0, 1] based on iterated function systems. The two different approaches available in the literature are considered and their relation are investigated in the statistical perspective. In the second part of the paper we propose a new class of estimators for the distribution function and the related characteristic and density functions. Glivenko-Cantelli, LIL properties and local asymptotic minimax efficiency are established for some of the proposed estimators. Via Monte Carlo analysis we show that, for small sample sizes, the proposed estimator can be as efficient or even better than the empirical distribution function and the kernel density estimator respectively. This paper is to be considered as a first attempt in the construction of new class of estimators based on fractal objects. Pontential applications to survival analysis with random censoring are proposed at the end of the paper. Stefano M. Iacus Davide La Torre
Con questa rassegna si vuole fornire una visione d'insieme di quanto prodotto dalla psicologia applicata allo studio dei mercati finanziari. I dati prodotti dalla psicologia dei mercati finanziari hanno evidenziato tre principali settori di ricerca: il primo settore è quello relativo alle strategie cognitive sistematiche che guidano le decisioni di investimento delle persone; il secondo settore è quello relativo alla percezione del rischio connesso agli investimenti; infine il terzo settore è costituito dagli studi relativi alla comunicazione ed ai comportamenti collettivi all'interno dei mercati finanziari. Lo studio del comportamento dell'investitore nasce dal bisogno di risolvere la discrepanza tra un contesto teorico-normativo razionale ed un agire reale che appare poco ancorato ai canoni della razionalità. Enrico Rubaltelli www.finanzacomportamentale.it
Come Creare un Expert di Metastock
L' obbiettivo che ci poniamo è la costruzione di un Expert per Metastock i pochi semplici passaggi. Ma partiamo con ordine che cosa è un Expert ? Un Expert è un sistema che sia in grado di darci dei segnali e questi posso essere utilizzati come avvisi di ingresso ed uscita dal mercato. A cura di Ivan Degiovanni