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Journal articles on the topic 'Absolute return'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 April 2022

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1

Clifford, Christopher, Bradford Jordan, and Timothy Brandon Riley. "Do Absolute-Return Mutual Funds Have Absolute Returns?" Journal of Investing 22, no. 4 (November 30, 2013): 23–40. http://dx.doi.org/10.3905/joi.2013.22.4.023.

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2

McKean, Paul F. "Absolute-Return Strategies." AIMR Conference Proceedings 1998, no. 5 (August 1998): 49–59. http://dx.doi.org/10.2469/cp.v1998.n5.7.

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3

Valle, C. A., N. Meade, and J. E. Beasley. "Absolute return portfolios." Omega 45 (June 2014): 20–41. http://dx.doi.org/10.1016/j.omega.2013.12.003.

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4

Gerlach, Philipp, and Raimond Maurer. "Return-based classification of absolute return funds." Journal of Asset Management 16, no. 2 (March 2015): 117–30. http://dx.doi.org/10.1057/jam.2015.9.

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5

Pojarliev, Momtchil, and Richard M. Levich. "Evaluating absolute return managers." Financial Markets and Portfolio Management 28, no. 1 (January 1, 2014): 95–103. http://dx.doi.org/10.1007/s11408-013-0224-7.

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6

Brunel, Jean L. P. "Absolute Return Strategies Revisited." Journal of Wealth Management 4, no. 4 (January 31, 2002): 63–75. http://dx.doi.org/10.3905/jwm.2002.320426.

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7

Aspadarec, Waldemar. "Quasi-hedge funds market in Poland in view of their performance persistence." Investment Management and Financial Innovations 18, no. 3 (August 6, 2021): 82–93. http://dx.doi.org/10.21511/imfi.18(3).2021.08.

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Performance persistence analysis is important as it has a decisive influence on investor allocation decisions. Investors can use quasi-hedge funds’ persistence to build effective investment strategies. Thus, the paper explores performance persistence of quasi-hedge funds operating at the Polish capital market. The methodology is based on constructing the new market performance index intended only for absolute return funds. It is validated regarding absolute returns of Polish quasi-hedge funds. The Absolute Return Index (ARI) is used to rate quasi-hedge funds’ performance persistence in assessing their fundamental purpose: to deliver consistently positive returns in all market conditions. For this, their quarterly return rates are used. All 53 funds operating for at least 36 months and representing 48.2% of the entire segment of absolute return funds are analyzed. The use of ARI allows examining quasi-hedge funds’ performance persistence in terms of market changes and the assessment of their purpose. In the short term (6 months) profitability remained persistent, while in the long term (12 months) such a hypothesis could be refuted. More than 40% of funds showed positive persistence within six months; only positive persistence occurred in the short term. 9.4% of funds repeatedly obtained negative returns, so absolute return funds’ negative performance persisted neither in the short nor long term. Closed-ended investment funds showed much stronger persistence of above-average positive returns, which additionally tended to avoid repeating negative returns in two-quarter and four-quarter series. This confirms the assumption that in this respect the Polish market is similar to the developed ones.

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8

Till, Hillary, and Joseph Eagleeye. "Traditional investment versus absolute return programmes." Quantitative Finance 3, no. 3 (June 2003): C42—C48. http://dx.doi.org/10.1088/1469-7688/3/3/605.

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9

Waring, M. Barton, and Laurence B. Siegel. "The Myth of the Absolute-Return Investor." Financial Analysts Journal 62, no. 2 (March 2006): 14–21. http://dx.doi.org/10.2469/faj.v62.n2.4080.

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10

Effron, Laurie. "A Second Look at Absolute Return Strategies." CFA Digest 29, no. 1 (February 1999): 55–56. http://dx.doi.org/10.2469/dig.v29.n1.422.

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11

Brunel, Jean L. P. "A Second Look at Absolute Return Strategies." Journal of Wealth Management 1, no. 1 (January 31, 1998): 67–78. http://dx.doi.org/10.3905/jwm.1998.409790.

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12

CHOI, HYUNG WOOC, SEONG EUN MAENG, and JAE WOO LEE. "EFFECTS OF INTRADAY PATTERNS ON ANALYSIS OF STOCK MARKET INDEX AND TRADING VOLUME." International Journal of Modern Physics: Conference Series 16 (January 2012): 41–50. http://dx.doi.org/10.1142/s2010194512007763.

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We review the stylized properties of the stock market and consider effects of the intraday patterns on the analysis of the time series for the stock index and the trading volume in Korean stock market. In the stock market the probability distribution function (pdf) of the return and volatility followed the power law for the stock index and the change of the volume traded. The volatility of the stock index showed the long-time memory and the autocorrelation function followed a power law. We applied two eliminating methods of the intraday patterns: the intraday patterns of the time series itself, and the intraday patterns of the absolute return for the index or the absolute volume change. We scaled the index and return by two types of the intraday patterns. We considered the probability distribution function and the autocorrelation function (ACF) for the time series scaled by the intraday patterns. The cumulative probability distribution function of the returns scaled by the intraday patterns showed a power law, P>(r) ~ r-α±, where α± corresponds to the exponent of the positive and negative fat tails. The pdf of the return scaled by intraday patterns by the absolute return decayed much steeper than that of the return scaled by intraday patterns of the index itself. The pdf for the volume change also followed the power law for both methods of eliminating intraday patterns. However, the exponents of the power law at fat tails do not depend on the intraday patterns. The ACF of the absolute return showed long-time correlation and followed the power law for the scaled index and for the scaled volume. The daily periodicity of the ACF was removed for scaled time series by the intraday patterns of the absolute return or the absolute volume change.

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13

Lam, Weng Siew, Weng Hoe Lam, and Saiful Hafizah Jaaman. "Portfolio Optimization with a Mean–Absolute Deviation–Entropy Multi-Objective Model." Entropy 23, no. 10 (September 28, 2021): 1266. http://dx.doi.org/10.3390/e23101266.

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Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk. However, the maximization of entropy is not considered in the mean-absolute deviation model according to past studies. In fact, higher entropy values give higher portfolio diversifications, which can reduce portfolio risk. Therefore, this paper aims to propose a multi-objective optimization model, namely a mean-absolute deviation-entropy model for portfolio optimization by incorporating the maximization of entropy. In addition, the proposed model incorporates the optimal value of each objective function using a goal-programming approach. The objective functions of the proposed model are to maximize the mean return, minimize the absolute deviation and maximize the entropy of the portfolio. The proposed model is illustrated using returns of stocks of the Dow Jones Industrial Average that are listed in the New York Stock Exchange. This study will be of significant impact to investors because the results show that the proposed model outperforms the mean-absolute deviation model and the naive diversification strategy by giving higher a performance ratio. Furthermore, the proposed model generates higher portfolio mean returns than the MAD model and the naive diversification strategy. Investors will be able to generate a well-diversified portfolio in order to minimize unsystematic risk with the proposed model.

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14

Och, Dan. "Opportunities and Challenges in Absolute-Return Hedge Funds." CFA Institute Conference Proceedings 2004, no. 5 (August 17, 2004): 10–14. http://dx.doi.org/10.2469/cp.v2004.n5.3422.

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15

Effron, Laurie. "The Hedge Fund “Industry” and Absolute Return Funds." CFA Digest 29, no. 4 (November 1999): 43–44. http://dx.doi.org/10.2469/dig.v29.n4.568.

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16

Klement, Joachim. "The Cross-Section of Liquid Absolute Return Funds." Journal of Index Investing 6, no. 3 (November 30, 2015): 21–32. http://dx.doi.org/10.3905/jii.2015.6.3.021.

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17

Klement, Joachim. "Liquid Absolute Return Funds: An Alternative to Alternatives?" Journal of Wealth Management 18, no. 2 (July 31, 2015): 35–46. http://dx.doi.org/10.3905/jwm.2015.18.2.035.

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18

Perez, Katarzyna. "Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison." Folia Oeconomica Stetinensia 14, no. 2 (December 1, 2014): 179–97. http://dx.doi.org/10.1515/foli-2015-0016.

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Abstract In this paper I focus on analyzing whether Polish absolute return funds, which I call quasi-hedge funds, add value to a portfolio of an individual investor by reaching higher returns than Polish stock funds. I use a sample of 25 Polish absolute return investment funds to contrast their short and long term performance, measured by Sharpe, Sortino and Jensen ratios, to the short and long term performance of 20 biggest Polish stock funds and build rankings based on that performance. Later I build funds of funds (with a different number of stock funds and/or quasi-hedge funds) and check which of them is the most efficient. I find out that in both short and long term Polish quasi-hedge funds have better returns than stock funds and they add much value to the investors’ portfolios. It can be explained by the fact that they are much smaller and younger than traditional funds, so they have much higher potential to grow and reach abnormal returns.

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19

Lötter, Rousseau. "The persistence of risk levels of general equity funds in an emerging market economy." Journal of Governance and Regulation 2, no. 4 (2013): 22–28. http://dx.doi.org/10.22495/jgr_v2_i4_p3.

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The persistence of risk levels of local General Equity unit trusts is evaluated. Variations in absolute and market-adjusted returns are measured to determine whether investors can use historical risk as a proxy for future risk levels. The General Equity funds are fairly homogenous, and different funds should exhibit stable risk levels if the fund managers’ investment mandates and investment styles remain stable over time. The results indicate a degree of absolute and market-adjusted risk stability over time. The market-adjusted risk and return relationship remained stable through the 2008 global crises, indicating that, on average, the fund managers maintained their benchmark-related risk exposures. Both the absolute and market-adjusted results indicate no statistically significant relationship between risk and return for the 2000 to 2012 period.

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20

Lötter, Rousseau. "The persistence of risk levels of general equity funds in an emerging market economy." Risk Governance and Control: Financial Markets and Institutions 3, no. 3 (2013): 85–91. http://dx.doi.org/10.22495/rgcv3i3c1art2.

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The persistence of risk levels of local General Equity unit trusts is evaluated. Variations in absolute and market-adjusted returns are measured to determine whether investors can use historical risk as a proxy for future risk levels. The General Equity funds are fairly homogenous, and different funds should exhibit stable risk levels if the fund managers’ investment mandates and investment styles remain stable over time. The results indicate a degree of absolute and market-adjusted risk stability over time. The market-adjusted risk and return relationship remained stable through the 2008 global crises, indicating that, on average, the fund managers maintained their benchmark-related risk exposures. Both the absolute and market-adjusted results indicate no statistically significant relationship between risk and return for the 2000 to 2012 period.

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21

Mpofu, Raphael Tabani. "The relationship between trading volume and stock returns in the JSE securities exchange in South Africa." Corporate Ownership and Control 9, no. 4-2 (2012): 199–207. http://dx.doi.org/10.22495/cocv9i4c2art1.

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This study examines the relationship between trading volume and stock returns in the JSE Securities Exchange in South Africa. The study looked at the price and trading returns of the FTSE/JSE index from July 22, 1988 till June 11, 2012. The study revealed that stock returns are positively related to the contemporary change in trading volume. Further, it was found that past returns were not affected significantly by changes in trading volumes. The results present a significant relationship between trading volume and the absolute value of price changes. Autoregressive tests were used to explore whether return causes volume or volume causes return. The results suggest that volume is influenced by a lagged returns effect for the FTSE/JSE index. Therefore, return seems to contribute some information to investors when they make investment decisions.

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22

Merrill, Dana N. "“The Myth of the Absolute-Return Investor”: A Comment." Financial Analysts Journal 62, no. 4 (July 2006): 10. http://dx.doi.org/10.2469/faj.v62.n4.4179.

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23

Waring, M. Barton, and Laurence B. Siegel. "“The Myth of the Absolute-Return Investor”: Author Response." Financial Analysts Journal 62, no. 4 (July 2006): 11. http://dx.doi.org/10.2469/faj.v62.n4.4180.

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24

Kozhemiakin, Alexander. "“The Myth of the Absolute-Return Investor”: A Comment." Financial Analysts Journal 62, no. 6 (November 2006): 10. http://dx.doi.org/10.2469/faj.v62.n6.4344.

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25

Waring, M. Barton, and Laurence B. Siegel. "“The Myth of the Absolute-Return Investor”: Author Response." Financial Analysts Journal 62, no. 6 (November 2006): 11–12. http://dx.doi.org/10.2469/faj.v62.n6.4345.

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26

Sackley, William H. "Evolution of an Essential Asset Class—Absolute Return Strategies." CFA Digest 31, no. 3 (August 2001): 96. http://dx.doi.org/10.2469/dig.v31.n3.941.

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27

Beeman, David, Kenneth Yip, Joshua weinreich, Craig Russell, and Dean Barr. "Evolution of an Essential Asset Class—Absolute Return Strategies." Journal of Investing 9, no. 4 (November 30, 2000): 9–24. http://dx.doi.org/10.3905/joi.2000.319435.

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28

Illmer, Stefan J., and Wolfgang Marty. "Return decomposition of absolute-performance multi-asset class portfolios." Financial Markets and Portfolio Management 21, no. 1 (November 11, 2006): 121–34. http://dx.doi.org/10.1007/s11408-006-0028-0.

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29

SUYASA, NI KADEK NITA SILVANA, KOMANG DHARMAWAN, and KARTIKA SARI. "PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION." E-Jurnal Matematika 10, no. 2 (May 24, 2021): 65. http://dx.doi.org/10.24843/mtk.2021.v10.i02.p322.

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Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

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30

Chowdhury, Shah Saeed Hassan, M. Arifur Rahman, and M. Shibley Sadique. "Stock return autocorrelation, day of the week and volatility." Review of Accounting and Finance 16, no. 2 (May 8, 2017): 218–38. http://dx.doi.org/10.1108/raf-12-2014-0146.

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Purpose The main purpose of this paper is to investigate autocorrelation structure of stock and portfolio returns in a unique market setting of Saudi Arabia, where nearly all active traders are the retail individuals and the market operates under severe limits to arbitrage. Specifically, the authors examine how return autocorrelation of Saudi Arabian stock market is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design/methodology/approach The sample consists of the daily stock price and index data of 159 firms listed in Tadawul (Saudi Arabian Stock Exchange) for the period from January 2004 through December 2015. The methodology of Safvenblad (2000) is primarily used to investigate the autocorrelation structure of individual stock and index returns. The authors also use the Sentana and Wadhwani (1992) methodology to test for the presence of feedback traders in the Saudi stock market. Findings Results show that there is significantly positive autocorrelation in individual stock, size portfolio and market returns and that the last two are almost always larger than the first. Return autocorrelation is negatively related to firm size. Interestingly, return autocorrelation is positively related to trading frequency. For portfolios, autocorrelation of returns following a high absolute return day is significantly higher than that following a low absolute return day. Similarly, return autocorrelation during volatile periods is generally larger than that during tranquil periods. Return correlation between weekdays is usually larger than that between the first and last days of the week. Overall, the results suggest that the possible reason for positive autocorrelation in stock returns could be the presence of negative feedback traders who are engaged in frequent profit-taking activities. Originality/value This is the first paper that thoroughly investigates the autocorrelation structure of the returns of the Saudi stock market using both index and individual stock returns. As this US$583bn (as of August 21, 2014) market opened to foreign institutional investors in June 2015, the results of this paper should be of significant value for the potential uninformed foreign investors in this relatively lesser known and previously closed yet highly prospective market.

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31

Mubarik, Fauzia, Sadia Saeed, and Hina Shahab. "ANALYSIS AND FORECASTABILITY OF MARKET MODEL: EVIDENCE FROM PAKISTANI MARKET INDEX AND EMERGING MARKET INDEX." Humanities & Social Sciences Reviews 9, no. 3 (June 30, 2021): 1566–76. http://dx.doi.org/10.18510/hssr.2021.93157.

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Purpose of the Study: This study examines and analyzes the influence of the Market Model on the Market Level Return (KSE-100 index) and the Emerging Market Level Return (MSCI Index). Methodology: The study has employed the sample data of the companies’ representatives of the Oil and Gas Sector of Pakistan from July 2001 to June 2018 respectively. For estimation, the Panel Regression techniques are employed followed by the Forecast Error Statistics for the in-sample forecast ability of the variables under study. Main Findings: The results of the study depict that the Market Model comprising of the Market Value Financial Ratios strongly influences the returns of the Emerging Market Index relative to the Market Level Return respectively. Similarly, the predictive power of the Market Model is more influential at the Emerging Market Level Return but not less at Market Level Return. Application of the Study: The findings of the study suggest that the domestic and foreign investors may consider the Market Value Financial Ratios for the valuation and estimation of asset prices. Moreover, the local authorities may take robust steps to continuously reforms in the Energy Mix policy to enhance local as well as foreign investment. Novelty/Originality of this study: The prime novelty of the study is to analyze the market model based on Market Value Financial Ratios to forecast the Market Level Return and Emerging Market Index Returns using three standard symmetric measures; root mean square error (RMSE), the mean absolute error (MAE), the mean absolute percentage error (MAPE) and the Theil inequality coefficient (TIC) respectively.

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32

Akbaş, Serkan, Türkan Erbay Dalkiliç, and Tuğba Gül Aksoy. "A Study on Portfolio Selection Based on Fuzzy Linear Programming." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 30, no. 02 (April 2022): 211–30. http://dx.doi.org/10.1142/s021848852250009x.

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Portfolio management is the allocation of funds in the hands of the investor to ensure minimum risk and maximum profitability among the existing securities. In the finance sector related to portfolio management, many approaches, theories, and models have been developed. In this study, a new model is proposed. The basic objective of this model is to minimize the risk of portfolio while maximizing expected return of the portfolio. The proposed model is based on the Mean Absolute Deviation Model (MAD) proposed by Konno-Yamazaki. Considering the uncertainty of expected returns in the Mean Absolute Deviation Model, the problem was remodeled with fuzzy logic approach. In the application section, the proposed model has been applied to two different indexes, namely Istanbul Stock Exchange (ISE-30) and Standard & Poor’s 500 (S&P 500). In application, 64-month return movements of stocks traded in both indexes between 01.01.2016-30.04.2021 were used. In order to examine the effectiveness of the model, firstly, monthly return data for both indexes were modeled with the Mean-Absolute Deviation method and the Mean Variance method. Then, the same data were modeled with the proposed method. In the conclusion section of the study, the results obtained from each method were compared.

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33

Yang, Guo-Hui, Yang Dong, Hai-Feng Li, and Jiang-Cheng Li. "Stochastic resonance of volatility influenced by price periodic information in financial market." Modern Physics Letters B 35, no. 21 (June 8, 2021): 2150362. http://dx.doi.org/10.1142/s0217984921503620.

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General researches show that all kinds of random risk information and periodic information in the financial system are mainly transmitted to the asset price through influencing the volatility, thus impacting the whole market. So can the periodic information and random factors in the price be transmitted to the volatility in reverse and cause volatility changes? Hence, in this paper, we investigate the stochastic resonance of volatility which is influenced by price periodic information in financial market, based on our proposed periodic Brownian Motion model and absolute return volatility. The parameter estimation of the periodic Brownian Motion model is obtained by minimizing the mean square deviation between the theoretical and empirical return distributions for the CSI300 data set. The good agreements of the probability density functions of the price returns, realized volatility (RV) at 5 minutes, RV at 15 minutes and absolute return volatility between theoretical and empirical calculation are found. After simulating the absolute return volatility and signal power amplification (SPA) of volatility via periodic Brownian Motion model, the results indicated that (i) single and double inverse resonance phenomena can be observed in the function of SPA versus random information intensity or economic growth rate; (ii) multiple inverse resonance phenomena can be also observed for SPA versus frequency of periodic information. The results imply that the transmission of stochastic factors and periodic information is not only from the volatility to the price, but also from the price to the volatility.

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34

Granger and Ding. "Some Properties of Absolute Return: An Alternative Measure of Risk." Annales d'Économie et de Statistique, no. 40 (1995): 67. http://dx.doi.org/10.2307/20076016.

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35

Mack, Barbara J. "Practical Applications of Liquid Absolute Return Funds:An Alternative to Alternatives?" Practical Applications 3, no. 2 (October 31, 2015): 1.11–4. http://dx.doi.org/10.3905/pa.2015.3.2.130.

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36

NE, Gyamfi, Kyei KA, and Gill R. "African Stock Markets and Return Predictability." Journal of Economics and Behavioral Studies 8, no. 5(J) (October 30, 2016): 91–99. http://dx.doi.org/10.22610/jebs.v8i5(j).1434.

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This article re-examines the return predictability of eight African stock markets. When returns of stocks are predictable, arbitrageurs make abnormal gains from analyzing prices. The study uses a non-parametric Generalised Spectral (GS) test in a rolling window approach. The rolling window approach tracts the periods of efficiency over time. The GS test is robust to conditional heteroscedasticity and it detects the presence of linear and nonlinear dependencies in a stationary time series. Our results support the Adaptive Market Hypothesis (AMH). This is because, indices whose returns were observed to be predictable by analyzing them in absolute form and therefore weak - form inefficient showed trends of unpredictability in a rolling window.

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37

Louw, Elbie, and I. C. de Beer. "Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa." Corporate Ownership and Control 9, no. 2 (2012): 274–86. http://dx.doi.org/10.22495/cocv9i2c2art3.

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By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation

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38

Bathala, Chenchuramaiah T. "Constructing Absolute Return Funds with ETFs: A Dynamic Risk-Budgeting Approach." CFA Digest 39, no. 2 (May 2009): 71–73. http://dx.doi.org/10.2469/dig.v39.n2.15.

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39

Murray, Steve. "Comment on “Evolution of an Essential Asset Class—Absolute Return Strategies”." Journal of Investing 12, no. 3 (August 31, 2003): 70–72. http://dx.doi.org/10.3905/joi.2003.319556.

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40

Zheng, Zeyu, Zhi Qiao, Tetsuya Takaishi, H. Eugene Stanley, and Baowen Li. "Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk." PLoS ONE 9, no. 7 (July 23, 2014): e102940. http://dx.doi.org/10.1371/journal.pone.0102940.

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41

Jasman, Jumawan, and Muhammad Kasran. "Profitability, Earnings Per Share on Stock Return with Size as Moderation." TRIKONOMIKA 16, no. 2 (December 28, 2017): 88. http://dx.doi.org/10.23969/trikonomika.v16i2.559.

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The purpose of this study was to analyze the effect of profitability and earnings per share on stock returns and the role of size as a moderating variable in state-owned companies listed in the Indonesia Stock Exchange (IDX) in the period of 2011-2016. By using purposive sampling, the number of samples included 18 companies. Method was conducted by downloading summary of financial statements in the Indonesia Stock Exchange. The research began with classical assumption test, multiple linear regression analysis was done with the absolute difference test. The research found that profitability had no effect on stock return. Earnings per share and size had a significant negative effect on stock return. The role of size as a moderating variable strengthened the relationship of earnings per share with stock returns, but it did not play a role in the relationship of profitability with stock returns.

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42

Alan, Chow, and Lahtinen Kyre. "Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data." Studies in Business and Economics 14, no. 3 (December 1, 2019): 60–71. http://dx.doi.org/10.2478/sbe-2019-0043.

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AbstractMarket Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent. Using historical return data to calculate the volatility of a stock return provides a measure of the realized volatility. Realized volatility is often measured using some method of calculating a deviation from the mean of the returns for the stock price, the summation of squared returns, or the summation of absolute returns. We look to the stocks that make up the DJIA, using tick-by-tick data from June 2015 - May 2016. This research helps to address the question of what is the better measure of realized volatility? Several measures of volatility are used as proxies and are compared at four estimation time intervals. We review these measures to determine a closer/better fit estimator to the true realized volatility, using MSE, MAD, Diebold-Mariano test, and Pitman Closeness. We find that when using a standard deviation based on transaction level returns, shorter increments of time, while containing some levels of noise, are better estimates of volatility than longer increments.

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43

Glensk, Barbara, and Reinhard Madlener. "Fuzzy Portfolio Optimization of Power Generation Assets." Energies 11, no. 11 (November 6, 2018): 3043. http://dx.doi.org/10.3390/en11113043.

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Fuzzy theory is proposed as an alternative to the probabilistic approach for assessing portfolios of power plants, in order to capture the complex reality of decision-making processes. This paper presents different fuzzy portfolio selection models, where the rate of returns as well as the investor’s aspiration levels of portfolio return and risk are regarded as fuzzy variables. Furthermore, portfolio risk is defined as a downside risk, which is why a semi-mean-absolute deviation portfolio selection model is introduced. Finally, as an illustration, the models presented are applied to a selection of power generation mixes. The efficient portfolio results show that the fuzzy portfolio selection models with different definitions of membership functions as well as the semi-mean-absolute deviation model perform better than the standard mean-variance approach. Moreover, introducing membership functions for the description of investors’ aspiration levels for the expected return and risk shows how the knowledge of experts, and investors’ subjective opinions, can be better integrated in the decision-making process than with probabilistic approaches.

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Emir, Senol. "Predicting the Istanbul Stock Exchange Index Return using Technical Indicators." International Journal of Finance & Banking Studies (2147-4486) 2, no. 3 (July 21, 2013): 111–17. http://dx.doi.org/10.20525/ijfbs.v2i3.158.

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The aim of this study to examine the performance of Support Vector Regression (SVR) which is a novel regression method based on Support Vector Machines (SVM) approach in predicting the Istanbul Stock Exchange (ISE) National 100 Index daily returns. For bechmarking, results given by SVR were compared to those given by classical Linear Regression (LR). Dataset contains 6 technical indicators which were selected as model inputs for 2005-2011 period. Grid search and cross valiadation is used for finding optimal model parameters and evaluating the models. Comparisons were made based on Root Mean Square (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), Theil Inequality Coefficient (TIC) and Mean Mixed Error (MME) metrics. Results indicate that SVR outperforms the LR for all metrics.

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Chan, Konan, Li Ge, and Tse-Chun Lin. "Informational Content of Options Trading on Acquirer Announcement Return." Journal of Financial and Quantitative Analysis 50, no. 5 (October 2015): 1057–82. http://dx.doi.org/10.1017/s0022109015000484.

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AbstractThis study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, as compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if the acquirer’s options trading is more liquid. Finally, we find that a higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms.

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Liu, Mark H. "Analysts’ Incentives to Produce Industry-Level versus Firm-Specific Information." Journal of Financial and Quantitative Analysis 46, no. 3 (February 15, 2011): 757–84. http://dx.doi.org/10.1017/s0022109011000056.

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AbstractUsing stock returns around recommendation changes to measure the information produced by analysts, I find that analysts produce more firm-specific than industry-level information. Analysts produce more firm-specific information on stocks with higher idiosyncratic return volatilities. The amount of industry information produced by analysts increases with the absolute value of the stock’s industry beta and decreases with the stock’s idiosyncratic volatility. Other stocks in the industry also respond to the recommendation change, and the magnitude of the response increases with the absolute value of the industry beta of the recommended stock and that of other stocks in the industry. I also offer results on how investors may use analyst research more effectively and potentially improve their investment performance.

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Ferrer, Diogo. "Sobre a Interpretação do Neoplatonismo por Hegel." Philosophica: International Journal for the History of Philosophy 29, no. 58 (2021): 93–106. http://dx.doi.org/10.5840/philosophica2021295817.

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This article shows that Hegel was a pioneer in the rediscovery of Neoplatonism, and that this rediscovery was an important influence on his thought. The importance of Neoplatonism in the early period of Hegel’s thought is addressed, when the Neoplatonic influence is apparent in themes such as the absolute as an original unity, the oppositions produced by the reflective thought, love as synthesis of the finite and the infinite, the importance of the first two hypotheses of Plato’s Parmenides, the concept of a “trinitarian” process of separation and return from the finite into the absolute, and the need of a via negationis for the thought of the absolute. The interpretations of Plotinus and Proclus in Hegel’s Lessons on the History of Philosophy are thereupon studied. Proclus is understood as the culmination of ancient philosophy, as he both anticipates and influences Hegel on issues such as the relationship between the negative-rational and the positive-rational or speculative moment of the Hegelian method, the categories as an expression of the absolute or the nous as a third moment that develops the determinations of the absolute and prepares the return to it. Finally, Hegel emphasizes that other main philosophical elements for the understanding of Modernity, which were inaccessible to Neoplatonism, are a contribution of Christianism.

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Hu, Zexin, Yiqi Zhao, and Matloob Khushi. "A Survey of Forex and Stock Price Prediction Using Deep Learning." Applied System Innovation 4, no. 1 (February 2, 2021): 9. http://dx.doi.org/10.3390/asi4010009.

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Predictions of stock and foreign exchange (Forex) have always been a hot and profitable area of study. Deep learning applications have been proven to yield better accuracy and return in the field of financial prediction and forecasting. In this survey, we selected papers from the Digital Bibliography & Library Project (DBLP) database for comparison and analysis. We classified papers according to different deep learning methods, which included Convolutional neural network (CNN); Long Short-Term Memory (LSTM); Deep neural network (DNN); Recurrent Neural Network (RNN); Reinforcement Learning; and other deep learning methods such as Hybrid Attention Networks (HAN), self-paced learning mechanism (NLP), and Wavenet. Furthermore, this paper reviews the dataset, variable, model, and results of each article. The survey used presents the results through the most used performance metrics: Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), Mean Absolute Error (MAE), Mean Square Error (MSE), accuracy, Sharpe ratio, and return rate. We identified that recent models combining LSTM with other methods, for example, DNN, are widely researched. Reinforcement learning and other deep learning methods yielded great returns and performances. We conclude that, in recent years, the trend of using deep-learning-based methods for financial modeling is rising exponentially.

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Saichev, A., and D. Sornette. "A simple microstructure return model explaining microstructure noise and Epps effects." International Journal of Modern Physics C 25, no. 06 (April 23, 2014): 1450012. http://dx.doi.org/10.1142/s0129183114500120.

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We present a novel simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii) the fat tail structure of the distribution of returns and (iv) the non-Poissonian statistics of inter-trade intervals. This model allows us to explain both qualitatively and quantitatively important stylized facts observed in the statistics of both microstructure and macrostructure returns, including the short-ranged correlation of returns, the long-ranged correlations of absolute returns, the microstructure noise and Epps effects. According to the microstructure noise effect, volatility is a decreasing function of the time-scale used to estimate it. The Epps effect states that cross correlations between asset returns are increasing functions of the time-scale at which the returns are estimated. The microstructure noise is explained as the result of the negative return correlations inherent in the definition of the bid-ask bounce component (ii). In the presence of a genuine correlation between the returns of two assets, the Epps effect is due to an average statistical overlap of the momentum of the returns of the two assets defined over a finite time-scale in the presence of the long memory process (i).

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Dangel, Tobias. "Hegel's Reception of Aristotle's Theology." Hegel Bulletin 41, no. 1 (September 27, 2019): 102–17. http://dx.doi.org/10.1017/hgl.2019.14.

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AbstractIn several of his writings Hegel suggests an identification of his absolute idea/spirit with Aristotle's God in the Metaphysics. This suggestion is remarkable since it indicates that Hegel regarded his philosophy in line with classical positions in ancient metaphysics. Although there is increasing discussion of the relation between Hegel and Aristotle it is still doubtful what it was that Hegel seemed to find at the highest point of Aristotle's philosophy. To clarify this relation within the realm of first philosophy I will first give a short reconstruction of Aristotle's conception of God in order, second, to confront this conception with the absolute idea/spirit in Hegel. Against Ferrarin, I will not primarily discuss the conception of actuality/activity and infinite subjectivity; rather I will focus on Aristotle's and Hegel's ontological understanding of truth. The new thesis in my paper is that Hegel can relate his theory of the absolute idea/spirit to Aristotle's God on the basis of their shared understanding of truth. This understanding allows both of them to find the highest realization and thus the fulfillment of truth in the self-thinking thinking of God (Aristotle) or the self-thinking thinking of the absolute idea/spirit (Hegel). When Hegel seems to return to Aristotle at the end of his system, this return has its systematic link in the idea of a fulfilled truth which is God or the Absolute in the sense of self-thinking thinking. Although Hegel's return to Aristotle's theology has a certain plausibility, it is also limited by the fact that for Aristotle God's self-thinking thinking is not a process of self-determination, as Hegel finds it to be and which leads him to miss a crucial feature of Aristotle's theology.

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