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Indice dei documenti su: 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

Indice VIX, Volatilità, Modelli e Analisi Empirica/AT/Combinazione/cprIndex.htm/a 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).

Combinazione di previsioni

GRETA, Venezia. Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA,1999.

Prof. Monica Billio
e Domenico Sartore Università Ca' Foscari.

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Analisi tecnica e la previsione econometrica

Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA, 1999.

Luca Cappellina e Domenico Sartore Università Ca'Foscari.
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L'Analisi Tecnica e i modelli Garch

Una versione dell'articolo è pubblicata nel volume a cura di D. Sartore, Gli strumenti derivati, IPSOA,1999.

Davide Dalan e Domenico Sartore Università Ca' Foscari.
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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.

The measurement of coherence in the evaluation of criteria and its effect on ranking problems illustrated using a mlticriteria decision method

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
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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.

Prof. Feng Dai and Prof. Zifu Qin.
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La Struttura a Termine dei Tassi di Interesse e Trading su Titoli: un Approccio con il Modello CIR al Mercato Italiano dei BTP

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.

By Fulvio Pegoraro.
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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
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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.
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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.
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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.
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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.

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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.

Prof. R. Casarin & Prof. M. Gobbo.
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Moving Averages and Market Inefficiency

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation.

By Prof. R. Baviera,
Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva.

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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.

By M. Di Francesco e Andrea Pascucci.
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Corso di Econometria

Lezioni di Econometria del Prof. Paolo Mattana Dipartimento di Economia Università degli Studi di Cagliari

Prof. Paolo Mattana.
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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.
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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.
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