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Relevant bibliographies by topics / Logarithmic Returns

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Academic literature on the topic 'Logarithmic Returns'

Author: Grafiati

Published: 7 June 2025

Last updated: 2 August 2025

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Journal articles on the topic "Logarithmic Returns"

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Miskolczi, Panna. "Note on simple and logarithmic return." Applied Studies in Agribusiness and Commerce 11, no. 1-2 (2017): 127–36. http://dx.doi.org/10.19041/apstract/2017/1-2/16.

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In this paper we describe and clarify the definitions and the usage of the simple and logarithmic returns for financial assets like stocks or portfolios. It can be proven that the distributions of the simple and logarithmic returns are really close to each other. Because of this fact we investigate the question whether the calculated financial risk depends on the use of simple or log returns. To show the effect of the return-type on the calculations, we consider and compare the riskiness order of stocks and portfolios. For our purposes, in the empirical study we use seven Hungarian daily stock

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Peters, Edgar E. "R/S Analysis Using Logarithmic Returns." Financial Analysts Journal 48, no. 6 (1992): 81–82. http://dx.doi.org/10.2469/faj.v48.n6.81.

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Krivolapov, Sergei Ya. "PREDICTING LOGARITHMIC STOCK RETURNS BASED ON A NAIVE BAYESIAN CLASSIFIER." SOFT MEASUREMENTS AND COMPUTING 9, no. 70 (2023): 39–46. http://dx.doi.org/10.36871/2618-9976.2023.09.004.

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The time series of the results of stock quotations of a certain company and the values of logarithmic profitability calculated from them are considered. The forecast of the future value of logarithmic profitability is carried out based on the values of this indicator in previous periods. A Gaussian naive Bayesian classifier is used to calculate the forecast.

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Mamcarz, Katarzyna. "The Causal Relationship Between Stocks, Gold, Crude Oil, and Bond Returns in Poland." Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia 58, no. 4 (2024): 127–47. http://dx.doi.org/10.17951/h.2024.58.4.127-147.

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Theoretical background: Capital investments involve taking risks to achieve a favourable rate of return. Investors are offered various options, including stocks, bonds, and commodities. The aforementioned investment opportunities are considered alternatives due to their varying price volatility and risk levels. Bonds and gold demonstrate a low or negative correlation with equities. On the other hand, crude oil and gold are positively correlated. An essential issue in analysing financial markets is to capture the dynamic behaviour of the financial time-series data, i.e. variables such as prices

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Raudys, Aistis, and Edvinas Goldstein. "Forecasting Detrended Volatility Risk and Financial Price Series Using LSTM Neural Networks and XGBoost Regressor." Journal of Risk and Financial Management 15, no. 12 (2022): 602. http://dx.doi.org/10.3390/jrfm15120602.

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It is common practice to employ returns, price differences or log returns for financial risk estimation and time series forecasting. In De Prado’s 2018 book, it was argued that by using returns we lose memory of time series. In order to verify this statement, we examined the differences between fractional differencing and logarithmic transformations and their impact on data memory. We employed LSTM (long short-term memory) recurrent neural networks and an XGBoost regressor on the data using those transformations. We forecasted risk (volatility) and price value and compared the results of all m

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Chen, Yongjie. "Application of ARIMA Model in Portfolio Optimization." Advances in Economics, Management and Political Sciences 26, no. 1 (2023): 227–36. http://dx.doi.org/10.54254/2754-1169/26/20230575.

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This paper investigates the portfolio allocation strategy using the ARIMA time series model with eight companies in four industries: Technology, Healthcare, Financial Services, and New Energy. This research aims to identify the best portfolio allocation approach that maximizes the returns for investors in each industry. This paper collected daily stock prices of Apple and Microsoft in the technology industry, Johnson & Johnson and Pfizer in the healthcare industry, JPMorgan Chase and Goldman Sachs in the financial services industry, and Tesla and NextEra Energy in the new energy industry f

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Ulu, Yasemin. "Volatility Distribution of the DJSTOXXE50 Index." Applied Economics and Finance 7, no. 6 (2020): 101. http://dx.doi.org/10.11114/aef.v7i6.5065.

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In this paper using data from 1995-2005 on 5-minute intraday returns, we construct a model free estimate of the daily realized volatility for the DJSTOXXE50 index. We compute the unconditional volatility distribution of the DJSTOXXE50 index by a nonparametric kernel estimation method. Our results indicate that the unconditional volatility distribution of the DJSTOXXE50 returns are leptokurtic and highly skewed to the right. The logarithmic standard deviations seem to be approximately Gaussian. Our results are inline with previous research for individual DJIA equity return volatility and for Ja

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BASNARKOV, LASKO, VIKTOR STOJKOSKI, ZORAN UTKOVSKI, and LJUPCO KOCAREV. "OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS." International Journal of Theoretical and Applied Finance 22, no. 07 (2019): 1950041. http://dx.doi.org/10.1142/s0219024919500419.

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A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here, we develop a discrete time framework for pricing of European options. Probability density functions of log returns for different periods are conveniently taken to be convolutions of the Student’s [Formula: see text]-distribution with three degrees of freedom. The supports of these distributions are truncated in order to obtain finite values for the options. Within this framework, options with different strikes and ma

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Dwiana Putra, I. Made Pande, and I. Dewa Nyoman Badera. "Identifikasi Hubungan Linier dan Non-Linier antara Rasio-Rasio Keuangan dan Return Saham." Akuntabilitas 12, no. 1 (2019): 83–92. http://dx.doi.org/10.15408/akt.v12i1.10093.

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Researches on relevance of financial ratios on stock returns mostly adopt linearity assumptions. This research aims to show the relevance of financial ratios on stock return and to compare the accuracy of linear and non linear models. Linear and non linear multivariate regression models are constructed from several financial ratios towards stock return to identify ratios with significant influences and subsequently compared in regard of their determinations. The samples consist of manufacturing companies listed on IDX from 2009 through 2016 totaling 97 companies. Results of bivariate regressio

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REMER, RALF, and REINHARD MAHNKE. "STOCHASTIC VOLATILITY MODELS AND THEIR APPLICATION TO GERMAN DAX DATA." Fluctuation and Noise Letters 04, no. 04 (2004): R67—R78. http://dx.doi.org/10.1142/s0219477504002166.

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We focus on the stochastic description of the stock price dynamics. Thereby we concentrate on the Heston model and the Hull–White model. We derive the stationary probability density distribution of the variance of both models in the case of zero correlation coefficient. These distributions are used to calculate solutions for the logarithmic returns of the stock price for short time lags. Furthermore we apply the solutions of both models to the German tick-by-tick Dax data [1]. The data are from May 1996 to December 2001. We use the probability density distributions of the logarithmic returns,

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Book chapters on the topic "Logarithmic Returns"

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Rescher, Nicholas. "The Law of Logarithmic Returns and Its Implications." In Issues and Images in the Philosophy of Science. Springer Netherlands, 1997. http://dx.doi.org/10.1007/978-94-011-5788-9_16.

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"Chapter 4: THE LAW OF LOGARITHMIC RETURNS." In Studies in the Philosophy of Science. De Gruyter, 2006. http://dx.doi.org/10.1515/9783110326468.41.

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Qi, Hao, and Yuanshen Wang. "Prediction and Analysis of Stock Logarithmic Returns Based on ARMA-GARCH Model." In Frontiers in Artificial Intelligence and Applications. IOS Press, 2022. http://dx.doi.org/10.3233/faia220575.

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With the rapid development of economy, investment has become a hot word. Many people hope to find an investment method to make profits. Many investment methods such as stocks, wealth management and funds have emerged. In the process of investment, forecasting the trend of investment products is one of the most important links. This paper analyzes the time series of APPLE, AMERICAN AIRLINES and AMD based on ARMA-GARCH model, and evaluates the model according to AIC, BIC, HQIC and other indicators to select the optimal model. The research results show that ARMA (3,2) – GARCH (1,1) model is appli

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Renshaw, Geoff. "Returns to scale and homogeneous functions; partial elasticities; growth accounting; logarithmic scales." In Maths for Economics. Oxford University Press, 2021. http://dx.doi.org/10.1093/hebz/9780198839507.003.0021.

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This chapter examines several economic concepts that can be explained and analysed by using simple mathematical techniques. First, it considers the concept of economies of scale. Then it looks at the algebraic characteristics of the production function and how these relate to the mathematician's concept of a homogeneous function. It also examines several other characteristics of a homogeneous production function. The concept of partial elasticity is also developed. Then it demonstrates the proportionate differential of a function, which plays a major role in both theoretical and empirical anal

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Rescher, Nicholas. "Complex Knowledge: The Growth of Science and the Law of Logarithmic Returns." In Complexity. Routledge, 2020. http://dx.doi.org/10.4324/9780429336591-4.

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Osorio, Roberto, and Lisa Borland. "Distributions of High-Frequency Stock-Market Observables." In Nonextensive Entropy. Oxford University Press, 2004. http://dx.doi.org/10.1093/oso/9780195159769.003.0023.

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Power laws and scaling are two features that have been known for some time in the distribution of returns (i.e., price fluctuations), and, more recently, in the distribution of volumes (i.e., numbers of shares traded) of financial assets. As in numerous examples in physics, these power laws can be understood as the asymptotic behavior of distributions that derive from nonextensive thermostatistics. Recent applications of the (Q-Gaussian distribution to returns of exchange rates and stock indices are extended here for individual U.S. stocks over very small time intervals and explained in terms

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Gratzer, Walter. "The emperor’s chessboard." In Eurekas and euphorias. Oxford University PressNew York, NY, 2002. http://dx.doi.org/10.1093/oso/9780192804037.003.0109.

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Abstract According to legend, a Chinese Emperor asked a sage what reward he would require in return for an important service. The sage named his price: nothing more than some rice, two grains to be placed on the first square of a chessboard, four on the second, eight on the third, and so on. A modest demand, the Emperor thought, and happily agreed; but he had failed to grasp the principle of logarithmic progressions. The entire rice crop of the empire would have had to go on a single square, long before the sixty-fourth was reached. It was the same simple calculation, so obvious to anyone conv

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Jacquier, Eric, Nicholas G. Polson, and Peter E. Rossi. "Bayesian Analysis of Stochastic Volatility Models." In Stochastic Volatility. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199257195.003.0010.

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Abstract New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to construct a Markov-chain simulation tool. Simulations from this Markov chain converge in distribution to draws from the posterior distribution enabling exact finite-sample inference. The exact solution to the filtering/smoothing problem of inferring about the unobserved variance states is a by-product of our Markov-chain method. In addition, multistep-ahead predictive densities can be cons

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Jardine, Boris. "The Life Mathematick." In Beyond the Learned Academy. Oxford University PressOxford, 2024. http://dx.doi.org/10.1093/oso/9780198863953.003.0015.

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Abstract John Speidell (1577–1649) was one of the pre-eminent teachers of mathematics in London in the first half of the seventeenth century, and was author of an important early work on logarithms, as well as various elementary mathematical works. His son Euclid was also a teacher of mathematics. Beyond information gleaned from their published works, we know very little about these two men. However, a manuscript written by Euclid Speidell towards the end of his life is preserved at the Lincolnshire Archives, and this sheds a great deal of light on the life and times of John Speidell. Incident

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Conference papers on the topic "Logarithmic Returns"

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Niu, Yukun. "Forecasting logarithmic returns on bitcoin based on the Informer model." In DECS 2024: 2024 International Conference on Digital Economy and Computer Science. ACM, 2024. https://doi.org/10.1145/3705618.3705662.

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bin Zolkepley, Zunna'aim, and Maman Abdurachman Djauhari. "Logarithmic returns of electricity maximum loads during weekends and special days: Malaysia study case." In 2012 International Conference on Statistics in Science, Business and Engineering (ICSSBE2012). IEEE, 2012. http://dx.doi.org/10.1109/icssbe.2012.6396644.

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Noda, T. "A double logarithmic approximation of Carson's ground-return impedance." In 2006 IEEE Power Engineering Society General Meeting. IEEE, 2006. http://dx.doi.org/10.1109/pes.2006.1708910.

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XIE, RUOTING. "THE IMPACT OF INVESTOR SENTIMENT ON THE RETURN OF STOCKS—EMPIRICAL ANALYSIS BASED ON THE DCC-GARCH MODEL." In 2021 INTERNATIONAL CONFERENCE ON ADVANCED EDUCATION AND INFORMATION MANAGEMENT (AEIM 2021). Destech Publications, Inc., 2021. http://dx.doi.org/10.12783/dtssehs/aeim2021/35991.

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Abstract. With the gradual inapplicability of the “rational man” and the efficient market hypothesis in the contemporary financial field, modern finance represented by behavioral finance has emerged. Behavioral finance is guided by the study of human psychology and behavior, exploring the internal connections and fluctuations in the financial market. Investor sentiment is often regarded as the most effective data reflected from a human perspective. Therefore, this article selects the monthly data of CICSI Investor Sentiment Index, Shenzhen Component Index, and Shanghai Composite Index logarith

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Ding, Yang. "Empirical Analysis of Logarithmic Return Rate of China’s Financial Stocks—based on the ARMA-GARCH Model." In Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018). Atlantis Press, 2019. http://dx.doi.org/10.2991/ssmi-18.2019.51.

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Goel, Karan, Christoph Dann, and Emma Brunskill. "Sample Efficient Policy Search for Optimal Stopping Domains." In Twenty-Sixth International Joint Conference on Artificial Intelligence. International Joint Conferences on Artificial Intelligence Organization, 2017. http://dx.doi.org/10.24963/ijcai.2017/237.

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Optimal stopping problems consider the question of deciding when to stop an observation-generating process in order to maximize a return. We examine the problem of simultaneously learning and planning in such domains, when data is collected directly from the environment. We propose GFSE, a simple and flexible model-free policy search method that reuses data for sample efficiency by leveraging problem structure. We bound the sample complexity of our approach to guarantee uniform convergence of policy value estimates, tightening existing PAC bounds to achieve logarithmic dependence on horizon le

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Pekárová, Pavla, Pavol Miklánek, Veronika Bačová Mitková, Marcel Garaj, and Ján Pekár. "ASSESSMENT HARMONIZATION PROBLEMS OF THE LONG RETURN PERIOD FLOODS ON THE DANUBE RIVER." In XXVII Conference of the Danubian Countries on Hydrological Forecasting and Hydrological Bases of Water Management. Nika-Tsentr, 2020. http://dx.doi.org/10.15407/uhmi.conference.01.16.

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One of the basic problems of the flood hydrology was (and still is) the solution of the relationship between peak discharges of the flood waves and probability of their return period. The assessment of the design values along the Danube channel is more complicated due to application of different estimation methods of design values in particular countries downstream the Danube. Therefore, it is necessary to commence the harmonization of the flood design values assessment methods. All methods of estimating floods with a very long return period are associated with great uncertainties. Determining

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Iskra, Andrej, and Helena Gabrijelčič Tomc. "Analysis of observing and recognition profile facial images using eye tracking system." In 10th International Symposium on Graphic Engineering and Design. University of Novi Sad, Faculty of technical sciences, Department of graphic engineering and design,, 2020. http://dx.doi.org/10.24867/grid-2020-p54.

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Facial images have been the subject of research for many years, using the eye-tracking system. However, most researchers concentrate on the frontal view of facial images. Much less research has been done on faces shown at different angles or profile views of faces in facial images. However, as we know, in reality we often view faces from different angles and not just from a frontal view. In our research we used a profile presentation of facial images and analyzed memory and recognition depending on the display time and dimensions of the facial images. Two tests were performed, i.e. the observa

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Ralph, Freeman, and Ian Jordaan. "Probabilistic Methodology for Design of Arctic Ships." In ASME 2013 32nd International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/omae2013-10533.

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With the increased demand for hydrocarbon and mineral resources, as well as tourism, marine transportation in the arctic continues to increase. The region is harsh and fragile, making safety and environmental protection paramount. A key concern is how to estimate extreme design events that first and foremost satisfy safety and then economy. A rational approach to design of arctic ships based on probabilistic methods is detailed in this paper, including global impact forces and local panel design. Using a probabilistic approach, extreme design events can be identified by combining annual, seaso

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