The cryptomarket has evolved into a complex system of different types of cryptoassets,each playing an important role within the system.With specific features,opportunities,and risks.Studying their apparent and hidden ...The cryptomarket has evolved into a complex system of different types of cryptoassets,each playing an important role within the system.With specific features,opportunities,and risks.Studying their apparent and hidden linkages and general connectedness not only inside the system but also the linkages to the outer markets,being it either the traditional financial markets or the macroeconomic and monetary indicators and variables,plays a crucial role in understanding the market,managing risks,and aiming for profitable opportunities.The cryptomarkets are far from being simply Bitcoin or even just the most popular and capitalised cryptocurrencies and tokens which might have been the case just a few years back.展开更多
This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices,including the industrial,financial,service,information technology,basic metals,tourism...This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices,including the industrial,financial,service,information technology,basic metals,tourism,real estate investment,and chemical petrol plastic,during the COVID-19 outbreak and the global financial crisis(GFC)within the framework of the adaptive market hypothesis.This study employs multifractal detrended fluctuation analysis to illustrate these sectors’multifractality and short-and long-term dependence.The results show that all sectoral returns have greater persis-tence during the COVID-19 outbreak than during the GFC.Second,the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak.Lastly,the fat-tailed distribution has a greater effect on multifractality in these industries.Our results validate the conclusions of the adaptive market hypothesis,according to which arbitrage opportunities vary over time,and contribute to policy formulation for future outbreak-induced economic crises.展开更多
Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the ...Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.展开更多
High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorith...High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.展开更多
While the advancement of Internet Technology generates massive amounts of data that can facilitate decision makings of financial markets,it also arouses new challenges to financial activities,such as the acquisition,p...While the advancement of Internet Technology generates massive amounts of data that can facilitate decision makings of financial markets,it also arouses new challenges to financial activities,such as the acquisition,processing and analysis of multiple information resources.In addition,the external environment of the financial market is full of uncertainties,such as the occurrence of COVID-19 pandemic and government intervention,which makes the asset pricing and management much more challenging.In recent years,artificial intelligence technology has developed rapidly and has been widely used in various fields,including the financial markets.Due to its capability of mining patterns from big data,artificial intelligence is regarded as an efficient tool to address the abovementioned challenges.展开更多
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the for...The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.展开更多
We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the M...We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.展开更多
In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous beha...In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.展开更多
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the ...This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.展开更多
This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies...This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.展开更多
Corporate social responsibility is the foremost business strategy focus for managers who aim to have long-term success in competitive environment. Different scholars have found it difficult with its definition, explan...Corporate social responsibility is the foremost business strategy focus for managers who aim to have long-term success in competitive environment. Different scholars have found it difficult with its definition, explanation, application, and measurement in organizations on who and how it should be done reciprocally. The present study seeks to review societal change with contribution from corporate social responsibility in international financial markets of Africa. The study is qualitative in nature and seeks to analyze the maximum practice of CSR activities and where there is room for improvement in CSR initiatives among African firms. There are three important forms of corporate social responsibility which are aligned to the emerging social needs of community for true fulfillment and addressing the social responsibility at corporate level.展开更多
Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the...Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.展开更多
We establish an exchange rate determination model for central banks' interventiorm in financial markets.The model shows that central banks can adjuct exchange rate by several policy instruments and that different ...We establish an exchange rate determination model for central banks' interventiorm in financial markets.The model shows that central banks can adjuct exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination.It specifies potetial policy instruments for central banks as well as their policy effects.Based on these effects,feasible matches of policy instruments in contingent intervention are put forth.展开更多
This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This pa...This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.展开更多
This study proposes a social-financial approach(SFA)to fill the methodological research gap in strategic policy design for managing financial transitions during social changes.The SFA seeks to characterize inclusive t...This study proposes a social-financial approach(SFA)to fill the methodological research gap in strategic policy design for managing financial transitions during social changes.The SFA seeks to characterize inclusive transitions in response to innovation and analyze financial management in social changes.Using a multilevel perspective,we combine evolutionary finance and inclusive growth analytics into this framework.We contend that the interaction between the different levels can be summarized as spontaneous adjustments and the alignment of financial elements with the indicators.Actors who attempt to achieve their goals based on past performance evaluations and other forms of bounded rationality strive to cope with adjustments and further trigger a reorientation of the existing regime.We also developed a new configuration tool called the three-axis description to describe the evolution of financial transitions at different stages.These methods allow us to analyze the evolution of financial transition and efficiency,and we argue that market efficiency evolves in stages with the finan-cial transition.Finally,to demonstrate the capability of SFA to identify diverse financial transition pathways,we examined an example case:the establishment of the Bretton Woods System.展开更多
Predicting stock price movements is a challenging task for academicians and practitioners. In particular, forecasting price movements in emerging markets seems to be more elusive because they are usually more volatile...Predicting stock price movements is a challenging task for academicians and practitioners. In particular, forecasting price movements in emerging markets seems to be more elusive because they are usually more volatile often accompa-nied by thin trading-volumes and they are susceptible to more manipulation compared to mature markets. Technical analysis of stocks and commodities has become a science on its own;quantitative methods and techniques have been applied by many practitioners to forecast price movements. Lagging and sometimes leading technical indicators pro-vide rich quantitative tools for traders and investors in their attempt to gain advantage when making investment or trading decisions. Artificial Neural Networks (ANN) have been used widely in predicting stock prices because of their capability in capturing the non-linearity that often exists in price movements. Recently, Polynomial Classifiers (PC) have been applied to various recognition and classification application and showed favorable results in terms of recog-nition rates and computational complexity as compared to ANN. In this paper, we present two prediction models for predicting securities’ prices. The first model was developed using back propagation feed forward neural networks. The second model was developed using polynomial classifiers (PC), as a first time application for PC to be used in stock prices prediction. The inputs to both models were identical, and both models were trained and tested on the same data. The study was conducted on Dubai Financial Market as an emerging market and applied to two of the market’s leading stocks. In general, both models achieved very good results in terms of mean absolute error percentage. Both models show an average error around 1.5% predicting the next day price, an average error of 2.5% when predicting second day price, and an average error of 4% when predicted the third day price.展开更多
文摘The cryptomarket has evolved into a complex system of different types of cryptoassets,each playing an important role within the system.With specific features,opportunities,and risks.Studying their apparent and hidden linkages and general connectedness not only inside the system but also the linkages to the outer markets,being it either the traditional financial markets or the macroeconomic and monetary indicators and variables,plays a crucial role in understanding the market,managing risks,and aiming for profitable opportunities.The cryptomarkets are far from being simply Bitcoin or even just the most popular and capitalised cryptocurrencies and tokens which might have been the case just a few years back.
文摘This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices,including the industrial,financial,service,information technology,basic metals,tourism,real estate investment,and chemical petrol plastic,during the COVID-19 outbreak and the global financial crisis(GFC)within the framework of the adaptive market hypothesis.This study employs multifractal detrended fluctuation analysis to illustrate these sectors’multifractality and short-and long-term dependence.The results show that all sectoral returns have greater persis-tence during the COVID-19 outbreak than during the GFC.Second,the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak.Lastly,the fat-tailed distribution has a greater effect on multifractality in these industries.Our results validate the conclusions of the adaptive market hypothesis,according to which arbitrage opportunities vary over time,and contribute to policy formulation for future outbreak-induced economic crises.
基金The National Natural Science Foundation of China (No70331001)
文摘Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.
文摘High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.
文摘While the advancement of Internet Technology generates massive amounts of data that can facilitate decision makings of financial markets,it also arouses new challenges to financial activities,such as the acquisition,processing and analysis of multiple information resources.In addition,the external environment of the financial market is full of uncertainties,such as the occurrence of COVID-19 pandemic and government intervention,which makes the asset pricing and management much more challenging.In recent years,artificial intelligence technology has developed rapidly and has been widely used in various fields,including the financial markets.Due to its capability of mining patterns from big data,artificial intelligence is regarded as an efficient tool to address the abovementioned challenges.
基金supported by four funding projects,including National Social Science Foundation of ChinaFunding Project of Education Ministry for the Development of Liberal Arts and Social Sciences+1 种基金National Natural Science Foundation of ChinaProgram for Changjiang Scholars and Innovative Research Team in University of Ministry of Education of China.
文摘The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.
基金Supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars of State Education Ministry
文摘We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.
基金supported by the National Natural Science Foundation of China(Grant No.11222544)the Fok Ying Tung Education Foundation(Grant No.131008)the Program for New Century Excellent Talents in University,China(Grant No.NCET-12-0121)
文摘In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.
基金supported by grants PGC2018-101555-B-I00(Ministerio Español de Ciencia,Innovación y Universidades and FEDER),PID2021-127836NB-I00(Ministerio Español de Ciencia e Innovación and FEDER)and UAL18-FQM-B038-A(UAL/CECEU/FEDER).
文摘This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.
基金Funding was provided by Anadolu University Scientific Research Project Commission(Grant number:1605E282).
文摘This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.
文摘Corporate social responsibility is the foremost business strategy focus for managers who aim to have long-term success in competitive environment. Different scholars have found it difficult with its definition, explanation, application, and measurement in organizations on who and how it should be done reciprocally. The present study seeks to review societal change with contribution from corporate social responsibility in international financial markets of Africa. The study is qualitative in nature and seeks to analyze the maximum practice of CSR activities and where there is room for improvement in CSR initiatives among African firms. There are three important forms of corporate social responsibility which are aligned to the emerging social needs of community for true fulfillment and addressing the social responsibility at corporate level.
文摘Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.
基金supported in part by National Natural Science Foundations of China under Grant Nos.70571027,70401020,10647125,and 10635020by the Ministry of Education of China under Grant No.306022
文摘We establish an exchange rate determination model for central banks' interventiorm in financial markets.The model shows that central banks can adjuct exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination.It specifies potetial policy instruments for central banks as well as their policy effects.Based on these effects,feasible matches of policy instruments in contingent intervention are put forth.
文摘This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.
文摘This study proposes a social-financial approach(SFA)to fill the methodological research gap in strategic policy design for managing financial transitions during social changes.The SFA seeks to characterize inclusive transitions in response to innovation and analyze financial management in social changes.Using a multilevel perspective,we combine evolutionary finance and inclusive growth analytics into this framework.We contend that the interaction between the different levels can be summarized as spontaneous adjustments and the alignment of financial elements with the indicators.Actors who attempt to achieve their goals based on past performance evaluations and other forms of bounded rationality strive to cope with adjustments and further trigger a reorientation of the existing regime.We also developed a new configuration tool called the three-axis description to describe the evolution of financial transitions at different stages.These methods allow us to analyze the evolution of financial transition and efficiency,and we argue that market efficiency evolves in stages with the finan-cial transition.Finally,to demonstrate the capability of SFA to identify diverse financial transition pathways,we examined an example case:the establishment of the Bretton Woods System.
文摘Predicting stock price movements is a challenging task for academicians and practitioners. In particular, forecasting price movements in emerging markets seems to be more elusive because they are usually more volatile often accompa-nied by thin trading-volumes and they are susceptible to more manipulation compared to mature markets. Technical analysis of stocks and commodities has become a science on its own;quantitative methods and techniques have been applied by many practitioners to forecast price movements. Lagging and sometimes leading technical indicators pro-vide rich quantitative tools for traders and investors in their attempt to gain advantage when making investment or trading decisions. Artificial Neural Networks (ANN) have been used widely in predicting stock prices because of their capability in capturing the non-linearity that often exists in price movements. Recently, Polynomial Classifiers (PC) have been applied to various recognition and classification application and showed favorable results in terms of recog-nition rates and computational complexity as compared to ANN. In this paper, we present two prediction models for predicting securities’ prices. The first model was developed using back propagation feed forward neural networks. The second model was developed using polynomial classifiers (PC), as a first time application for PC to be used in stock prices prediction. The inputs to both models were identical, and both models were trained and tested on the same data. The study was conducted on Dubai Financial Market as an emerging market and applied to two of the market’s leading stocks. In general, both models achieved very good results in terms of mean absolute error percentage. Both models show an average error around 1.5% predicting the next day price, an average error of 2.5% when predicting second day price, and an average error of 4% when predicted the third day price.