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Author: Carl Chiarella Publisher: ISBN: Category : Languages : en Pages : 25
Book Description
This paper seeks to model the adjustment process in the stock market by a continuous time state space model focusing on input-out relations. The value of the Samp;P 500 is generated as the output of the model with earnings and the interest rate as input. The model is found to fit the data well, and indicates that the stock price dynamics can be considered as a price-following-value process. The value determines the time varying trend of price, and random buy-sell pressure drives price fluctuations about value. The 1987 stock price bubble shows up clearly as a gap between price and value.
Author: Carl Chiarella Publisher: ISBN: Category : Languages : en Pages : 25
Book Description
This paper seeks to model the adjustment process in the stock market by a continuous time state space model focusing on input-out relations. The value of the Samp;P 500 is generated as the output of the model with earnings and the interest rate as input. The model is found to fit the data well, and indicates that the stock price dynamics can be considered as a price-following-value process. The value determines the time varying trend of price, and random buy-sell pressure drives price fluctuations about value. The 1987 stock price bubble shows up clearly as a gap between price and value.
Author: Xiaolian Zheng Publisher: Springer ISBN: 9781447151562 Category : Technology & Engineering Languages : en Pages : 161
Book Description
Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.
Author: Nikolaos Panigirtzoglou Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper presents a new approach to modeling the dynamics of implied distributions. First, we obtain a parsimonious description of the dynamics of the Samp;P 500 implied cumulative distribution functions (CDFs) by applying Principal Components Analysis. Subsequently, we develop new arbitrage-free Monte-Carlo simulation methods that model the evolution of the whole distribution through time as a diffusion process. Our approach generalizes the conventional approaches of modeling only the first two moments as diffusion processes, and it has important implications for smile-consistent option pricing and for risk management. The out-of-sample performance within a Value-at-Risk framework is examined.
Author: Bernard Amadei Publisher: Momentum Press ISBN: 1947083554 Category : Architecture Languages : en Pages : 234
Book Description
This two-volume book describes a flexible and adaptive system-based methodology and associated guidelines for the management and allocation of community-based WELF resources. Over the next 50 years, rapid population, urbanization, and economic growth worldwide will create unprecedented demands for water, energy, land, and food (WELF) resources. The discussion on how to meet human needs for WELF resources and how to guarantee their respective securities has changed over time from looking at all four sectors in isolation to understanding their interdependency through the so-called WELF nexus. The approach presented in this book responds to the overall agreement in the WELF nexus literature that the management and allocation of WELF resources at the community level need to be examined in a more systemic, multidisciplinary, participatory, and practical manner while seeking to increase synergies and reduce trade-offs. This book was written to explore the value proposition of that approach. This two-volume book describes a flexible and adaptive system-based methodology and associated guidelines for the management and allocation of community-based WELF resources. Volume 1 focuses on defining the landscape in which the nexus operates and outlines the proposed methodology. Volume 2 explores the quantitative and qualitative modeling of the nexus and landscape using system modeling tools including system dynamics. It presents a road map for the formulation, simulation, selection, and ranking of possible intervention plans. The proposed methodology is designed to serve as a guide for different groups involved in the science and policy decision aspects of the WELF nexus within the context of community development. The methodology focuses mostly on WELF-related issues in small-scale and low-income communities where securing resources is critical to their short- and long-term livelihood and development.
Author: Gregory James Fitch Publisher: ISBN: Category : Languages : en Pages :
Book Description
By doing so, this research contributes to the existing body of knowledge and demonstrates how SD models are effectively used to value real options that are termed exotic. These exotic types of real options occur within a portfolio of competing infrastructure assets where the valuation of each real option must consider the compounding effects of competing alternatives as well as the value of the underlying asset. This research presents a methodology for the valuation of multiple types of exotic options in real investments that traverse across various types of infrastructure systems. This method can also be applied to the valuation of other types of exotic options in various industries including research and development pursuits.
Author: Carl Chiarella
Author: Carl Chiarella
Author: Xiaolian Zheng
Author: 
Author: National Institute of Standards and Technology (U.S.)
Author: United States. National Bureau of Standards
Author: Nikolaos Panigirtzoglou
Author: Bernard Amadei
Author: United States. National Bureau of Standards
Author: United States. National Bureau of Standards
Author: Gregory James Fitch