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Journal articles on the topic 'Stock options – Econometric models'

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Published: 4 June 2021

Last updated: 1 February 2022

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1

Hammarlid, Ola. "On Minimizing Risk in Incomplete Markets Option Pricing Models." International Journal of Theoretical and Applied Finance 01, no. 02 (1998): 227–33. http://dx.doi.org/10.1142/s0219024998000126.

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I study the Bouchaud–Sornette, Schweizer and Schäl way of pricing options, presenting the methodology in accordance with Bouchaud–Sornette. The definitions of the wealth balance and risk from trading in options and stocks are presented. The problem of finding a risk minimizing strategy in an incomplete market model where a perfect hedge is not possible is analyzed. Using this strategy according to the approach of Bouchaud and Sornette the option is priced by a fair game condition. In this article I establish the equivalence between global and local risk minimization and prove an option price c

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2

Core, John E., Wayne R. Guay, and S. P. Kothari. "The Economic Dilution of Employee Stock Options: Diluted EPS for Valuation and Financial Reporting." Accounting Review 77, no. 3 (2002): 627–52. http://dx.doi.org/10.2308/accr.2002.77.3.627.

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In this paper, we derive a measure of diluted EPS that incorporates the economic implications of the dilutive effects of employee stock options. We show that the existing FASB treasury-stock method of accounting for the dilutive effects of outstanding options systematically understates the options' dilutive effect, and thus overstates reported EPS. Using firm-wide data on 731 employee stock option plans, our proposed measure suggests that economic dilution from options is, on average, 100 percent greater than dilution in reported diluted EPS using the FASB treasury-stock method. We examine the

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3

EKSTRÖM, ERIK, and JOHAN TYSK. "OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS." International Journal of Theoretical and Applied Finance 07, no. 07 (2004): 901–7. http://dx.doi.org/10.1142/s0219024904002694.

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There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contra

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4

Galai, Dan. "A Note on "Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options"." Journal of Accounting Research 27, no. 2 (1989): 313. http://dx.doi.org/10.2307/2491238.

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5

Huang, Fangzhou, Jiao Song, and Nick J. Taylor. "The impact of time-varying risk on stock returns: an experiment of cubic piecewise polynomial function model and the Fourier Flexible Form model." Data Science in Finance and Economics 1, no. 2 (2021): 141–64. http://dx.doi.org/10.3934/dsfe.2021008.

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<abstract> <p>With fast evolving econometric techniques being adopted in asset pricing, traditional linear asset pricing models have been criticized by their limited function on capturing the time-varying nature of data and risk, especially the absence of data smoothing is of concern. In this paper, the impact of data smoothing is explored by applying two asset pricing models with non-linear feature: cubic piecewise polynomial function (CPPF) model and the Fourier Flexible Form (FFF) model are performed on US stock returns as an experiment. The traditional beta coefficient is treat

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6

GAN, JUNWU. "ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS." International Journal of Theoretical and Applied Finance 08, no. 08 (2005): 1019–57. http://dx.doi.org/10.1142/s0219024905003384.

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This paper develops a unified formulation and a new computational methodology for the entire class of the multi-factor Markovian interest rate models. The early exercise premium representation for general American options is derived for all Markovian models. The option cash flow functions are decomposed into fast and slowly varying components. The fast varying components have the same expression for all options within a model. They are calculated analytically. Only the slowly varying components are option specific. Their backward induction for a finite time interval is carried out from Taylor

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7

SCHOUTENS, WIM, and STIJN SYMENS. "THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 06, no. 08 (2003): 839–64. http://dx.doi.org/10.1142/s0219024903002249.

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Recently, stock price models based on Lévy processes with stochastic volatility were introduced. The resulting vanilla option prices can be calibrated almost perfectly to empirical prices. Under this model, we will price exotic options, like barrier, lookback and cliquet options, by Monte–Carlo simulation. The sampling of paths is based on a compound Poisson approximation of the Lévy process involved. The precise choice of the terms in the approximation is crucial and investigated in detail. In order to reduce the standard error of the Monte–Carlo simulation, we make use of the technique of co

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8

Bonilla, Claudio A., Rafael Romero-Meza, and Carlos Maquieira. "NONLINEARITIES AND GARCH INADEQUACY FOR MODELING STOCK MARKET RETURNS: EMPIRICAL EVIDENCE FROM LATIN AMERICA." Macroeconomic Dynamics 15, no. 5 (2010): 713–24. http://dx.doi.org/10.1017/s1365100510000295.

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In this paper, we analyze the adequacy of using GARCH as the data-generating process to model conditional volatility of stock market index rates-of-return series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fail to provide an adequate characterization for the underlying process of the main Latin American stock market indices. Policymakers need to be careful when using autoregressive models for policy analysis and forecast because the inadequacy of GARCH models has strong implications for the pricing of stock index options, portfolio

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9

ERIKSSON, JONATAN. "MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES." International Journal of Theoretical and Applied Finance 09, no. 06 (2006): 987–96. http://dx.doi.org/10.1142/s0219024906003822.

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We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the following cases: • If the risk-free rate of return dominates the dividend rate, then it holds for up-and-out options if the contract function is zero at the barrier and for down-and-in options in general. • If the risk-free rate of return is dominated by the dividend rate, then it holds for down-and-out option

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10

ARETZ, KEVIN, and PETER F. POPE. "Real Options Models of the Firm, Capacity Overhang, and the Cross Section of Stock Returns." Journal of Finance 73, no. 3 (2018): 1363–415. http://dx.doi.org/10.1111/jofi.12617.

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11

VON HAMMERSTEIN, ERNST AUGUST, EVA LÜTKEBOHMERT, LUDGER RÜSCHENDORF, and VIKTOR WOLF. "OPTIMALITY OF PAYOFFS IN LÉVY MODELS." International Journal of Theoretical and Applied Finance 17, no. 06 (2014): 1450041. http://dx.doi.org/10.1142/s0219024914500411.

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In this paper, we determine the lowest cost strategy for a given payoff in Lévy markets where the pricing is based on the Esscher martingale measure. In particular, we consider Lévy models where prices are driven by a normal inverse Gaussian (NIG)- or a variance Gamma (VG)-process. Explicit solutions for cost-efficient strategies are derived for a variety of vanilla options, spreads, and forwards. Applications to real financial market data show that the cost savings associated with these strategies can be quite substantial. The empirical findings are supplemented by a result that relates the m

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Markowski, Łukasz, and Jakub Keller. "Fear Anatomy – an Attempt to Assess the Impact of Selected Macroeconomic Variables on the Variability of the VIX S&P 500 Index." Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia 54, no. 2 (2020): 41. http://dx.doi.org/10.17951/h.2020.54.2.41-51.

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<p>This article deals with the subject of volatility of financial markets in relation to the US stock market and its volatility index, i.e. the VIX index. The authors analyzed previous studies on the VIX index and based on them, defined a research gap that relates to the problem of market response to emerging macroeconomic information about the US economy. The vast majority of research on the VIX index relates to its forecasting based on mathematical models not taking into account current market data. The authors attempted to assess the impact of emerging macro data on the variability of

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13

Karmakar, Madhusudan. "Modeling Conditional Volatility of the Indian Stock Markets." Vikalpa: The Journal for Decision Makers 30, no. 3 (2005): 21–38. http://dx.doi.org/10.1177/0256090920050303.

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Traditional econometric models assume a constant one period forecast variance. However, many financial time series display volatility clustering, that is, autoregressive conditional heteroskedasticity (ARCH). The aim of this paper is to estimate conditional volatility models in an effort to capture the salient features of stock market volatility in India and evaluate the models in terms of out-ofsample forecast accuracy. The paper also investigates whether there is any leverage effect in Indian companies. The estimation of volatility is made at the macro level on two major market indices, name

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14

Bell, Timothy B., Wayne R. Landsman, Bruce L. Miller, and Shu Yeh. "The Valuation Implications of Employee Stock Option Accounting for Profitable Computer Software Firms." Accounting Review 77, no. 4 (2002): 971–96. http://dx.doi.org/10.2308/accr.2002.77.4.971.

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We use the Ohlson (1995, 1999) and Feltham and Ohlson (1999) valuation models to investigate the market's perception of the economic effect of employee stock options (ESOs) on firm value for a sample of 85 profitable computer software companies. Our results suggest that the market appears to value these firms' ESO expense not as an expense but as an intangible asset (even after controlling for the endogeneity bias arising from the mechanical relation between ESOs and the underlying stock prices). However, we also find a conflict between: (1) the positive manner in which investors appear to val

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15

BORMETTI, GIACOMO, VALENTINA CAZZOLA, and DANILO DELPINI. "OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL." International Journal of Theoretical and Applied Finance 13, no. 07 (2010): 1047–63. http://dx.doi.org/10.1142/s0219024910006108.

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We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we derive the exact expression of the characteristic function associated to the risk neutral probability density. This expression allows us to compute option prices exploiting a formula derived by Lewis and Lipton. We analyze in detail the case of Plain Vanilla calls, being liquid i

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HOOGLAND, J. K., C. D. D. NEUMANN, and M. H. VELLEKOOP. "SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK." International Journal of Theoretical and Applied Finance 06, no. 02 (2003): 135–72. http://dx.doi.org/10.1142/s0219024903001803.

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It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of "change of numeraire", but in recent work it was shown that when invoked as a fundamental first principle, it provides a powerful alternative method for the derivation of prices and hedges of derivative securities, when prices of the underlying tradables are driven by Wiener processes. In this article we extend this work to the pricing problem in markets driven not only by Wiener processes but also

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17

Trindade, A. Alexandre, Abootaleb Shirvani, and Xiaohan Ma. "A Socioeconomic Well-Being Index." Applied Economics and Finance 7, no. 4 (2020): 48. http://dx.doi.org/10.11114/aef.v7i4.4855.

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An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of the index in order to quantify its tail risk and perform option pricing and risk budgeting. By providing a statistically sound assessment of socioeconomic contentment, the index is consistent with rational finance theory, enabling the construction and valuation of insurance-type financial instruments to serve as contracts written against it. Endogenously, the VXO volatility measure of the stock m

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18

FRAME, SAMUEL J., and CYRUS A. RAMEZANI. "BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES." Annals of Financial Economics 09, no. 03 (2014): 1450008. http://dx.doi.org/10.1142/s2010495214500080.

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The hypothesis that asset returns are normally distributed has been widely rejected. The literature has shown that empirical asset returns are highly skewed and leptokurtic. The affine jump-diffusion (AJD) model improves upon the normal specification by adding a jump component to the price process. Two important extensions proposed by Ramezani and Zeng (1998) and Kou (2002) further improve the AJD specification by having two jump components in the price process, resulting in the asymmetric affine jump-diffusion (AAJD) specification. The AAJD specification allows the probability distribution of

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19

Lazzati, Natalia, and Amilcar A. Menichini. "A Dynamic Approach to the Dividend Discount Model." Review of Pacific Basin Financial Markets and Policies 18, no. 03 (2015): 1550018. http://dx.doi.org/10.1142/s0219091515500186.

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We derive a dynamic model of the firm with endogenous investment and leverage ratio within the framework of the dividend discount model (DDM). Our valuation model incorporates two relevant components, namely, managerial flexibility and long-run growth. We dispense with any utility specification capturing the preferences of shareholders and obtain closed-form solutions for the firm problem. A standard parameterization suggests that the value of the real options and long-run growth opportunities can easily represent more than 8% and 10% of share price, respectively. We also find that these two c

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20

ANDERSON, DENNIS, and SARAH WINNE. "Energy system change and external effects in climate change mitigation." Environment and Development Economics 12, no. 3 (2007): 359–78. http://dx.doi.org/10.1017/s1355770x07003580.

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Through a dynamic model of energy system change the paper examines the role of innovation in bringing about a low carbon energy system. The processes of innovation and technological substitution are cumulative, dynamic, and highly non-linear processes such that how the energy system evolves in the long term is extraordinarily sensitive to the strength and duration of the initial policies. It is possible, under some policy assumptions, that energy systems would continue to depend on fossil fuels for so long as fossil fuels remain abundant and the least cost resource; and under other assumptions

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21

Isleib, Bruce, Barry Marks, and Michael N. Wolfe. "Employee Stock Options: Alternative Valuation Models." Compensation & Benefits Review 35, no. 6 (2003): 46–52. http://dx.doi.org/10.1177/0886368703258650.

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22

Chiang, Min-Hsien, and Hsin-Yi Huang. "Stock market momentum, business conditions, and GARCH option pricing models." Journal of Empirical Finance 18, no. 3 (2011): 488–505. http://dx.doi.org/10.1016/j.jempfin.2011.01.004.

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23

Collver, Charles. "Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions." Journal of Financial Markets 12, no. 1 (2009): 87–106. http://dx.doi.org/10.1016/j.finmar.2008.01.002.

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24

Hu, Yuan, Abootaleb Shirvani, Stoyan Stoyanov, Young Shin Kim, Frank J. Fabozzi, and Svetlozar T. Rachev. "OPTION PRICING IN MARKETS WITH INFORMED TRADERS." International Journal of Theoretical and Applied Finance 23, no. 06 (2020): 2050037. http://dx.doi.org/10.1142/s0219024920500375.

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The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets, where we consider traders with information on the stock price direction and stock return mean. The Black–Scholes–Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate

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25

Wang, Xingchun, Zhiwei Su, and Guangli Xu. "THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS." Probability in the Engineering and Informational Sciences 32, no. 3 (2017): 409–33. http://dx.doi.org/10.1017/s0269964817000316.

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In this paper, we investigate executive stock options with endogenous departure and time-varying variances. We use a “Generalized Autoregressive Conditional Heteroskedasticity” process to capture the variance process of the log stock price. In addition, we take into consideration the departure risk of the executive and assume that the probability of remaining employed has a power form of stock price ratios. After deriving the closed-form pricing formulae of executive stock options, we illustrate the effects of the departure risk on the values of executive stock options.

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Chong, James. "Value at risk from econometric models and implied from currency options." Journal of Forecasting 23, no. 8 (2004): 603–20. http://dx.doi.org/10.1002/for.934.

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27

Volontyr, L., and L. Mykhalchyshyna. "Organizational and economic mechanism of grain sales: information component." Scientific Messenger of LNU of Veterinary Medicine and Biotechnologies 21, no. 92 (2019): 81–89. http://dx.doi.org/10.32718/nvlvet-e9213.

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A significant part of the output of the agro-industrial complex of Ukraine is exported. Therefore, it is desirable to determine the optimal volume of products to be implemented each month. Prices for grain are formed depending on demand and supply, costs for production and sale, market fees, etc. The analysis of the price situation on the Ukrainian cities shows a large variation. The average price of 1 kg of grain crops does not give a full opportunity to characterize the price situation of the Ukrainian grain market. There is seasonal price cyclicality: their growth with the decrease of stock

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Johnston, L. Danielle, Sarah Knutson, Natalie Warholic, et al. "EZH2 Inhibitor EPZ-6438 Synergizes With Anti-Lymphoma Therapies In Preclinical Models." Blood 122, no. 21 (2013): 4416. http://dx.doi.org/10.1182/blood.v122.21.4416.4416.

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Preclinical data have suggested that small molecule inhibitors for the histone methyltransferase EZH2 represent potential new treatment modalities for Non-Hodgkin lymphomas (NHL) expressing EZH2 change of function mutations. Our group has previously reported that selective inhibition of EZH2 results in specific killing of lymphoma cells bearing EZH2 mutations in vitro and in vivo, with minimal effects on non-mutant lymphoma cells [Knutson et al. Nature Chemical Biology 2012; Keilhack et al. Blood (ASH Annual Meeting Abstracts) 2012, 120, Abstract 3712]. Since epigenetic changes have been sugge

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Rudzkis, Rimantas, and Roma Valkavičienė. "ECONOMETRIC MODELS OF THE IMPACT OF MACROECONOMIC PROCESSES ON THE STOCK MARKET IN THE BALTIC COUNTRIES." Technological and Economic Development of Economy 20, no. 4 (2014): 783–800. http://dx.doi.org/10.3846/20294913.2014.949901.

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The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on macroeconomic indicators, using econometric methods. Regression models are constructed using quarterly time series of 2000–2011 years while the methodology is backed with the findings of Lithuanian and foreign scientists from an extensive overview of specific literature. Regression equations, obtained in the paper, allows us to identify the key macroeconomic and global indicators that statistically significantly affect the Baltic securities market and to quantify their impact on th

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30

Behera, Prashanta kumar, and Dr Ramraj T. Nadar. "Dynamic Approach for Index Option Pricing Using Different Models." Journal of Global Economy 13, no. 2 (2017): 105–20. http://dx.doi.org/10.1956/jge.v13i2.460.

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Option pricing is one of the exigent and elementary problems of computational finance. Our aims to determine the nifty index option price through different valuation technique.Â In this paper, we illustrate the techniques for pricing of options and extracting information from option prices. We also describe various ways in which this information has been used in a number of applications. When dealing with options, we inevitably encounter the Black-Scholes-Merton option pricing formula, which has revolutionized the way in which options are priced in modern time. Black and Scholes (1973) and Mer

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Zhu, Rong, Zuo Quan Zhang, Xiao Yue Li, Xuan Wu, and Su Zhang. "The Study on the Plasticity Theoretical Models of the Volatility of Stock Prices." Advanced Materials Research 518-523 (May 2012): 5963–67. http://dx.doi.org/10.4028/www.scientific.net/amr.518-523.5963.

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This paper analyzes the characteristics of the stock price fluctuation compared with elastic-plastic theory in mechanics and introduces the concept of stock equilibrium price, plasticity of stock price analogically. A basic model of the stock plasticity under the relationship between stock price fluctuation and trading volume changes is also built. Tested by 20 kinds of stocks from Shanghai and Shenzhen stock markets in China by using the econometric analysis software Eviews3.0 afterwards, the basic model is improved, and three developed models are built from it. Finally, this paper obtains mo

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Chlebus, Marcin, Michał Dyczko, and Michał Woźniak. "Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem." Central European Economic Journal 8, no. 55 (2021): 44–62. http://dx.doi.org/10.2478/ceej-2021-0004.

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Abstract Statistical learning models have profoundly changed the rules of trading on the stock exchange. Quantitative analysts try to utilise them predict potential profits and risks in a better manner. However, the available studies are mostly focused on testing the increasingly complex machine learning models on a selected sample of stocks, indexes etc. without a thorough understanding and consideration of their economic environment. Therefore, the goal of the article is to create an effective forecasting machine learning model of daily stock returns for a preselected company characterised b

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Yu, Cindy L., Haitao Li, and Martin T. Wells. "MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES." Mathematical Finance 21, no. 3 (2010): 383–422. http://dx.doi.org/10.1111/j.1467-9965.2010.00439.x.

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Akbulaev, Nurkhodzha, Basti Aliyeva, and Shehla Rzayeva. "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange." Pénzügyi Szemle = Public Finance Quarterly 66, no. 1 (2021): 151–66. http://dx.doi.org/10.35551/pfq_2021_1_8.

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This article is a review on the impact of prices and their dependence on the cost of oil and natural gas on the world stock markets. The main studies and results achieved in the field of the impact of prices on both the stock index and industrial stocks and the dependence on the level of oil prices are presented. The paper presents an econometric study on the choice of offers on the securities market that allows us to identify the main specifics of changes in prices for the stock index and industrial shares in the daily period from 13. 05. 2012 to 01. 12. 2019. The article uses methods for est

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Lieu, Derming. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models." International Review of Economics & Finance 6, no. 3 (1997): 259–86. http://dx.doi.org/10.1016/s1059-0560(97)90038-1.

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Jia, Fang, and Boli Yang. "Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function." Complexity 2021 (February 25, 2021): 1–13. http://dx.doi.org/10.1155/2021/5511802.

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Volatility is widely used in different financial areas, and forecasting the volatility of financial assets can be valuable. In this paper, we use deep neural network (DNN) and long short-term memory (LSTM) model to forecast the volatility of stock index. Most related research studies use distance loss function to train the machine learning models, and they gain two disadvantages. The first one is that they introduce errors when using estimated volatility to be the forecasting target, and the second one is that their models cannot be compared to econometric models fairly. To solve these two pro

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Olena Nikolaieva, Anzhela Petrova, and Rostyslav Lutsenko. "FORECASTING OF THE STOCK RATE OF LEADING WORLD COMPANIES USING ECONOMETRIC METHODS AND DCF ANALYSIS." International Journal of Innovative Technologies in Economy, no. 2(29) (May 31, 2020): 33–41. http://dx.doi.org/10.31435/rsglobal_ijite/31052020/7067.

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In this article, we will cover various models for forecasting the stock price of global companies, namely the DCF model, with well-reasoned financial analysis and the ARIMA model, an integrated model of autoregression − moving average, as an econometric mechanism for point and interval forecasting. The main goal is to compare the obtained forecasting results and evaluate their real accuracy. The article is based on forecasting stock prices of two companies: Coca-Cola HBC AG (CCHGY) and Nestle S.A. (NSRGF). At the moment, it is not determined which approach is better for predicting the stock pr

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Spalt, Oliver G. "Probability Weighting and Employee Stock Options." Journal of Financial and Quantitative Analysis 48, no. 4 (2013): 1085–118. http://dx.doi.org/10.1017/s0022109013000380.

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AbstractThis paper documents that riskier firms with higher idiosyncratic volatility grant more stock options to nonexecutive employees. Standard models in the literature cannot easily explain this pattern; a model in which a risk-neutral firm and an employee with prospect theory preferences bargain over the employee's pay package can. The key feature which makes stock options attractive is probability weighting. The model fits the data on option grants well when calibrated using standard parameters from the experimental literature. The results are the first evidence that risky firms can profi

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Watanapalachaikul, Sethapong, and Sardar M. N. Islam. "Rational Speculative Bubbles in the Thai Stock Market: Econometric Tests and Implications." Review of Pacific Basin Financial Markets and Policies 10, no. 01 (2007): 1–13. http://dx.doi.org/10.1142/s0219091507000921.

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Understanding of factors like economic fundamentals or bubbles that normally determine the returns of stock in any emerging market such as the Thai stock market is essential for academic, investment planning and public policy reasons. An empirical study of the existence of rational speculative bubbles in the Thai stock market is undertaken by using the Weibull Hazard model. The conventional Weibull Hazard model is used as a benchmark model for other speculative bubble models. Empirical results suggest the presence of rational speculative bubbles in the Thai stock market, especially during the

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Majewski, Sebastian, Waldemar Tarczynski, and Malgorzata Tarczynska-Luniewska. "Measuring investors’ emotions using econometric models of trading volume of stock exchange indexes." Investment Management and Financial Innovations 17, no. 3 (2020): 281–91. http://dx.doi.org/10.21511/imfi.17(3).2020.21.

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Traditional finance explains all human activity on the ground of rationality and suggests all decisions are rational because all current information is reflected in the prices of goods. Unfortunately, the development of information technology and a growth of demand for new, attractive possibilities of investment caused the process of searching new, unique signals supporting investment decisions. Such a situation is similar to risk-taking, so it must elicit the emotional reactions of individual traders.The paper aims to verify the question that the market risk may be the determinant of traders’

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Canil, Jean M., and Bruce A. Rosser. "Tests of two optimal incentive models for executive stock options." Corporate Ownership and Control 9, no. 1 (2011): 136–55. http://dx.doi.org/10.22495/cocv9i1art9.

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Using a unique data set, we test theoretical propositions relating to grant size and exercise price in determination of optimal executive compensation. For Hall and Murphy, pay-performance sensitivity does not behave as predicted with respect to CEO risk aversion and diversification, but the latter supports observed grant size while ATM grants exhibit positive abnormal returns as predicted. Consistent with Choe, exercise price is found inversely related to leverage. The unexpected positive relation between grant size and stock volatility is conjectured driven by CEOs’ influencing large grants,

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Khanom, Najrin. "Can Multistep Nonparametric Regressions Beat Historical Average in Predicting Excess Stock Returns?" International Journal of Financial Research 12, no. 5 (2021): 71. http://dx.doi.org/10.5430/ijfr.v12n5p71.

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Several economic and financial variables are said to have predictive power over excess stock returns. Empirically there is little consensus among academics, whether these variables have predictive power or not. Results are often sensitive to the econometric model of choice. The econometric models can produce biased results due to the high degree of persistence in predictive variables. Apart from high persistence, the relationship between stock return and the predictive variable may also be misspecified in the model. In order to address possible non-linearities and endogeneity between the resid

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Banik, Shipra, Mohammed Anwer, and A. F. M. Khodadad Khan. "Modeling Chaotic Behavior of Chittagong Stock Indices." Applied Computational Intelligence and Soft Computing 2012 (2012): 1–7. http://dx.doi.org/10.1155/2012/410832.

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Stock market prediction is an important area of financial forecasting, which attracts great interest to stock buyers and sellers, stock investors, policy makers, applied researchers, and many others who are involved in the capital market. In this paper, a comparative study has been conducted to predict stock index values using soft computing models and time series model. Paying attention to the applied econometric noises because our considered series are time series, we predict Chittagong stock indices for the period from January 1, 2005 to May 5, 2011. We have used well-known models such as,

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Penebre, Elayne, Kristy G. Kuplast, Christina R. Majer, et al. "Identification of a First-in-Class PRMT5 Inhibitor with Potent in Vitro and in Vivo Activity in Preclinical Models of Mantle Cell Lymphoma." Blood 124, no. 21 (2014): 438. http://dx.doi.org/10.1182/blood.v124.21.438.438.

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Abstract Protein Arginine Methyltransferase-5 (PRMT5) has been reported to play a role in multiple diverse cellular processes including tumorigenesis. Overexpression of PRMT5 has been demonstrated in cell lines and primary patient samples derived from lymphomas, particularly Mantle Cell Lymphoma (MCL). Furthermore, knockdown of PRMT5 expression inhibits the proliferation of MCL cell lines. The mechanisms behind the oncogenic potential of PRMT5 are unclear, but the protein has been postulated to regulate processes such as cell death, cell cycle progression, and RNA processing through the dimeth

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Jin, Yunguo, and Shouming Zhong. "Pricing Spread Options with Stochastic Interest Rates." Mathematical Problems in Engineering 2014 (2014): 1–11. http://dx.doi.org/10.1155/2014/734265.

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Although spread options have been extensively studied in the literature, few papers deal with the problem of pricing spread options with stochastic interest rates. This study presents three novel spread option pricing models that permit the interest rates to be random. The paper not only presents a good approach to formulate spread option pricing models with stochastic interest rates but also offers a new test bed to understand the dynamics of option pricing with interest rates in a variety of asset pricing models. We discuss the merits of the models and techniques presented by us in some asse

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Jang, H., and J. Lee. "Machine learning versus econometric jump models in predictability and domain adaptability of index options." Physica A: Statistical Mechanics and its Applications 513 (January 2019): 74–86. http://dx.doi.org/10.1016/j.physa.2018.08.091.

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Chow, C., and Yum K. Kwan. "Rational Expectations is not Generally Valid for Econometric Models: Evidence from Stock Market Data." Pacific Economic Review 2, no. 3 (1997): 149–63. http://dx.doi.org/10.1111/1468-0106.00031.

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DeJong, David N., and Charles H. Whiteman. "Modeling Stock Prices without Knowing How to Induce Stationarity." Econometric Theory 10, no. 3-4 (1994): 701–19. http://dx.doi.org/10.1017/s0266466600008732.

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Bayesian procedures for evaluating linear restrictions imposed by economic theory on dynamic econometric models are applied to a simple class of presentvalue models of stock prices. The procedures generate inferences that are not conditional on ancillary assumptions regarding the nature of the nonstationarity that characterizes the data. Inferences are influenced by prior views concerning nonstationarity, but these views are formally incorporated into the analysis, and alternative views are easily adopted. Viewed in light of relatively tight prior distributions that have proved useful in forec

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Angelidis,, Dimitrios, Athanasios Koulakiotis, and Apostolos Kiohos. "Feedback Trading Strategies: The Case of Greece and Cyprus." South East European Journal of Economics and Business 13, no. 1 (2018): 93–99. http://dx.doi.org/10.2478/jeb-2018-0006.

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Abstract This paper examines whether or not feedback trading strategies are present in the Athens (ASE) and Cyprus Stock Exchanges (CSE). The analysis employs two econometric models: the feedback trading strategy model, introduced by Sentana and Wadhwani (1992), and the exponential autoregressive model, proposed by LeBaron (1992). These two theoretical frameworks, separately, were joined with the FIGARCH (1, d, 1) approach. Both models assume two different groups of traders - the “rational” investors that build their portfolio by following the firms’ fundamentals and the “noise” speculators th

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Ercolani, Joanne S. "CYCLICAL TRENDS IN CONTINUOUS TIME MODELS." Econometric Theory 25, no. 4 (2009): 1112–19. http://dx.doi.org/10.1017/s0266466608090440.

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It is undoubtedly desirable that econometric models capture the dynamic behavior, like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, for instance, the cyclical growth models of Bergstrom (1966); the economy-wide macroeconometric models of, for example, Bergstrom and Wymer (1976); unobserved stochastic trends of Harvey and Stock (1988 and 1993) and Bergstrom (1997); and differential-difference equations of Chambers and McGarry (2002). This paper considers continuous t

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