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Data publikacji: 3 czerwca 2025

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1

Stádník, Bohumil. "Model dynamického finančního trhu." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-73090.

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The correct model of a liquid financial market is one of the most important matter for a management of all financial market activities including for example a stock or bond porfolio management or an asset pricing. Clear random walk models, which consider a market price/yield development on liquid financial markets to be a random walk within the meaning of a symmetric normal (gaussian) distribution, is very useful to explain quite accurately many financial market effects. If we study financial markets more closely, we recognize that such development can be partly causal and a clear random walk

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2

Marques, João Francisco Magro. "Dynamics of financial markets : study of an agent-based model." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/9328.

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Mestrado em Matemática Financeira<br>Nas últimas décadas, o mercado financeiro mundial tem enfrentado vários problemas e colapsos que motivaram anos conturbados para a economia real e para as famílias. Os sistemas dinâmicos apareceram na literatura de matemática financeira para ajudar a compreender melhor as características únicas destes mercados financeiros e a dinâmica do preço ao longo do tempo. Este trabalho consiste principalmente numa aproximação estatística ao sistema dinâmico de modelo de mercado com um ponto de descontinuidade introduzido por Tramontana, Westerhoff e Gardini (2010). U

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3

Bates, Brandon. "Essays in Financial Economics and Econometrics." Thesis, Harvard University, 2011. http://dissertations.umi.com/gsas.harvard:10419.

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In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent

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4

Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.

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5

Trönnberg, Filip. "Empirical evaluation of a Markovian model in a limit order market." Thesis, Uppsala universitet, Matematiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-176726.

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A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. In this model, several key quantities can be analytically calculated, such as the distribution of times between price moves, price volatility and the probability of an upward price move, all conditional on the state of the order book. We show that the exponential distribution poorly fits the occurrences of order book events and further show that littl

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6

Jottreau, Benoît. "Financial models and price formation : applications to sport betting." Thesis, Paris Est, 2009. http://www.theses.fr/2009PEST1031.

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Cette thèse est composée de quatre chapitres. Le premier chapitre traite de l'évaluation de produits financiers dans un modèle comportant un saut pour l'actif risque. Ce saut représente la faillite de l'entreprise correspondante. On étudie alors l'évaluation des prix d'options par indifférence d'utilité dans un cadre d'utilité exponentielle. Par des techniques de programmation dynamique on montre que le prix d'un Bond est solution d'une équation différentielle et le prix d'options dépendantes de l'actif est solution d'une équation aux dérives partielles d'Hamilton-Jacobi-Bellman. Le saut dans

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7

Zhitlukhin, Mikhail Valentinovich. "Stochastic dynamics of financial markets." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-dynamics-of-financial-markets(4eb80d2a-e90a-4ab0-b9e2-ad930c8a4d94).html.

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This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general result

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8

Borsi, Mihály Tamás. "Essays on Empirical Macroeconomics." Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/51005.

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9

Jin, Binping. "Dynamics of price cycles in agent-based models of financial markets /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202009%20JIN.

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10

Li, Honghong. "The dynamic model of double auction market." Thesis, University of Bath, 2009. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.518124.

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Most financial markets operate as double auction markets in which buyers and sellers submit limit and market orders. In this case the traders have to decide firstly whether they want to submit a buy or sell order and then secondly what the limit price of this order is. In this thesis I develop further a theoretical model based on Chatterjee and Samuelson (1983) in which two traders trade with each other in a double auction market. Assuming that both traders assign a private value to the asset they are trading, which is known only to them but not their trading partner, I determine whether the t

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11

Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.

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12

Visudhiphan, Poonsaeng 1973. "A dynamic model of the electricity generation market." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/47726.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1998.<br>Includes bibliographical references (leaves 105-107).<br>This thesis proposes that the bidding process that occurs daily in the competitive short-run power market can be modeled as a dynamic system, or a dynamic game played by electricity generators. Such a game is a finitely repeated one of complete but imperfect information. In this thesis, a dynamic model representing a small shortrun power market is formulated as a repeated game. Daily price competition provides sufficient i

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13

Abdulai, Abubakar-Sadiq Bouda. "Predicting Intraday Financial Market Dynamics Using Takens' Vectors; Incorporating Causality Testing and Machine Learning Techniques." Digital Commons @ East Tennessee State University, 2015. https://dc.etsu.edu/etd/2582.

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Traditional approaches to predicting financial market dynamics tend to be linear and stationary, whereas financial time series data is increasingly nonlinear and non-stationary. Lately, advances in dynamical systems theory have enabled the extraction of complex dynamics from time series data. These developments include theory of time delay embedding and phase space reconstruction of dynamical systems from a scalar time series. In this thesis, a time delay embedding approach for predicting intraday stock or stock index movement is developed. The approach combines methods of nonlinear time serie

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14

Michaelides, Michael. "Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/77515.

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The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for re

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15

Pang, Chung-kit, and 彭仲傑. "Financial market and Hong Kong economy." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31265066.

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16

Gaunersdorfer, Andrea, and Cars H. Hommes. "Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2001. http://epub.wu.ac.at/434/1/document.pdf.

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We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract)<br>Series: Report Series SFB "Adaptive Information

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17

Lundin, Magnus. "The dynamic behavior of prices and investment : financial constraints and customer markets /." Uppsala : Dept. of Economics [Nationalekonomiska institutionen], Univ, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-3739.

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18

Mönch, Emanuel. "Essays on financial markets and the macroeconomy." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2006. http://dx.doi.org/10.18452/15564.

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Diese Arbeit besteht aus vier Essays, die empirische und methodische Beiträge zu den Gebieten der Finanzmarktökonomik und der Makroökonomik liefern. Der erste Essay beschäftigt sich mit der Spezifikation der Investoren verfügbaren Informationsmenge in Tests bedingter Kapitalmarktmodelle. Im Speziellen schlägt es die Verwendung dynamischer Faktoren als Instrumente vor. Diese fassen per Konstruktion die Information in einer Vielzahl von Variablen zusammen und stellen daher intuitive Maße für die Investoren zur Verfügung stehenden Informationen dar. Es wird gezeigt, dass so die Schätzfehler bedin

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19

Seerattan, Dave Arnold. "The effectiveness of central bank interventions in the foreign exchange market." Thesis, Brunel University, 2012. http://bura.brunel.ac.uk/handle/2438/7361.

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The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are located. The dynamics in the foreign exchange market, especially price dynamics, have huge implications for financial asset values, financial returns and volatility in the international financial system. It is therefore an important area of study. Exchange rates have often departed significantly from the level implied by fundamentals and exhibit excessive volatility. This reality creates a role for central bank intervention in this market to

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20

Yildirak, Sahap Kasirga. "The Identificaton Of A Bivariate Markov Chain Market Model." Phd thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/1257898/index.pdf.

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This work is an extension of the classical Cox-Ross-Rubinstein discrete time market model in which only one risky asset is considered. We introduce another risky asset into the model. Moreover, the random structure of the asset price sequence is generated by bivariate finite state Markov chain. Then, the interest rate varies over time as it is the function of generating sequences. We discuss how the model can be adapted to the real data. Finally, we illustrate sample implementations to give a better idea about the use of the model.

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21

Yeung, Chi-Ho. "The application of statistical mechanics on the study of glassy behaviors in transportation networks and dynamics in models of financial markets /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202009%20YEUNG.

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22

GLADYS, GISSELL HUACCHA. "Banking Regulation in a Dynamic Stock-Flow Consistent Model." Doctoral thesis, Università di Siena, 2020. http://hdl.handle.net/11365/1116211.

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In 2008 the intemperance of the banking industry, stemming from an accelerated process of banking innovation and deregulation, drove the global economy into a deep recession resulting in immense economic cost with significant social implications. In response to such events, regulatory reforms in the capacity of Basel III capital requirements, specifically, risk-based capital requirements and leverage, were introduced. These new set of reforms aimed to create a more stable and resilient financial system in an attempt to avert the recurrence of another global financial crisis. Accordingly, Basel

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23

Lloyd, Jenny. "A dynamic model of consumer brand conceptualisation within the political market." Thesis, University of the West of England, Bristol, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.431307.

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24

Alghaith, Naif. "Dynamic interaction and volatility spillovers between the Saudi stock market and multiple financial markets." Thesis, Swansea University, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644529.

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There is a wealth of literature investigating the relationship between different financial markets such as stock markets and exchange rates, however, these studies do not reveal any theoretical or empirical agreement or any definite pattern or consistent relationship between these markets. It is encouraging to carry out further investigation of this kind especially keeping in mind the majority of the studies are dedicated to developed countries, neglecting developing countries, such as Saudi Arabia. This study contributes to the literature by carrying out an investigation into the dynamic inte

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25

Boguta, Maria. "A New Space-Time Model for Interacting Agents in the Financial Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3180.

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<p>In this thesis we present a new space-time model of interacting agents in the financial market. It is a combination of the Curie-Weiss model and a model introduced by Järpe. We investigate properties such as the critical temperature and magnetization of the system. The distribution of the Hamiltonian function is obtained and a hypothesis test of independence is derived. The results are illustrated in an example based on real data.</p>

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26

Jin, Zhong. "A dynamic disequilibrium model for panel data : an application in housing market /." Full text available from ProQuest UM Digital Dissertations, 2009. http://0-proquest.umi.com.umiss.lib.olemiss.edu/pqdweb?index=0&did=1798969531&SrchMode=1&sid=5&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1268335366&clientId=22256.

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27

Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jorda

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28

CASPARY, MICHEL CARDONSKY. "GENETIC-NEURAL MODEL FOR PORTFOLIO OPTIMIZATION WITH FINANCIAL OPTIONS IN THE BRAZILIAN MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19894@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A presente dissertação tem por objetivo desenvolver um modelo inteligente que permita, por uma análise quantitativa e probabilística, gerar uma carteira otimizada composta de um ativo financeiro e opções sobre este ativo. Procurou-se estudar inicialmente as características da distribuição de retornos e da volatilidade das ações mais líquidas da Bolsa de Valores de São Paulo, no período de Jan/2005 a Jul/2010, através de regressões polinomiais univariadas e bivariadas. Observou

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29

Munhumwe, Blessing. "The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/13042.

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Includes bibliographical references (leaves [51] - 55).<br>The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.

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30

Schopen, Jan-Hendrik [Verfasser], Martin [Akademischer Betreuer] Missong, and Thorsten [Akademischer Betreuer] Poddig. "Exogenous Variables in Dynamic Conditional Correlation Models for Financial Markets / Jan-Hendrik Schopen. Gutachter: Martin Missong ; Thorsten Poddig. Betreuer: Martin Missong." Bremen : Staats- und Universitätsbibliothek Bremen, 2012. http://d-nb.info/1072155885/34.

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31

Grziska, Martin [Verfasser], and Stefan [Akademischer Betreuer] Mittnik. "Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets / Martin Grziska. Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2014. http://d-nb.info/1068460628/34.

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32

Grziska, Martin Verfasser], and Stefan [Akademischer Betreuer] [Mittnik. "Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets / Martin Grziska. Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2014. http://nbn-resolving.de/urn:nbn:de:bvb:19-179219.

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33

Mendicino, Caterina. "Financial market imperfections, business cycle fluctuations and economic growth." Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2006. http://www2.hhs.se/EFI/summary/705.htm.

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34

MENICHINI, AMILCAR ARMANDO. "Financial Frictions and Capital Structure Choice: A Structural Dynamic Estimation." Diss., The University of Arizona, 2011. http://hdl.handle.net/10150/145397.

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This thesis studies different aspects of firm decisions by using a dynamic model. I estimate a dynamic model of the firm based on the trade-off theory of capital structure that endogenizes investment, leverage, and payout decisions. For the estimation of the model I use Efficient Method of Moments (EMM), which allows me to recover the structural parameters that best replicate the characteristics of the data. I start analyzing the question of whether target leverage varies over time. While this is a central issue in finance, there is no consensus in the literature on this point. I propose an ex

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35

Raoukka, Katerina. "Financial development and growth : testing a dynamic stochastic general equilibrium model via indirect inference." Thesis, Cardiff University, 2013. http://orca.cf.ac.uk/51251/.

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Macroeconomics research has made a quantum leap in the past decade in establishing a new workhorse model for open economy analysis. The unique characteristic of this literature is the introduction of the financial system in a dynamic general equilibrium (DGE) model which is based on microfoundations. Its introduction in a DGE model is essential to explain empirical facts such as growth differences across countries. The aim of this thesis is to show whether the behavior of growth can be explained by financial development within a classical approach. The model's ability to explain growth by sett

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36

Sax, Christoph. "The Swiss stock market and the business cycle : a generalized dynamic factor model approach /." Luzern : Verl. IFZ-HSW, 2008. http://christophsax.ch/abstract.pdf.

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37

Oz, Emrah. "Can Relative Yield Curves Predict Exchange Rate Movements? Example From Turkish Financial Market." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612505/index.pdf.

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Exchange rate forecasting is hard issue for most of floating exchange rate economies. Studying exchange rate is very attractive matter since almost no model could beat random walk in short run yet. Relative yields and information in relative yield curves are contemporary topics in empirical literature and this study follows Chen and Tsang (2009) who model exchange rate changes with relative factors obtained from Nelson-Siegel (1987) yield curve model and find that relative factor model can forecast exchange rate change up to 2 years and perform better than random walk in short run. Analysis fo

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38

Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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39

Karlson, Ida. "The Ising Model on a Random Graph Applied to Interacting Agents on the Financial Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1637.

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<p>In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.</p>

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40

Hsiao-tang, Hsu, and 徐孝堂. "The research of dynamic Asian-Pacific financial market integration-an application of GARCH model." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/73793641963953872029.

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碩士<br>國立臺灣大學<br>國際貿易學系<br>84<br>I.Degree of Asian financial market integration 1.The interest rate differentials in Asian financial market are heteroskedastic,where Hong Kong,Taiwan,Phillipines,Indonesia and Thailand fit GARCH(1,1)-M model and Korea,Singapore and Malaysia fit ARCH(1)-M model. 2.Financial liberalization (for example:interest rate and credit control deregulation) decreases the variance of interest rate differential,promotes the international capital mobility and increases the

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41

Kikuchi, Tomoo. "Inequality of nations, endogenous fluctuations, and financial market globalization : a dynamic general equilibrium approach /." 2007. http://nbn-resolving.de/urn/resolver.pl?urn=urn:nbn:de:hbz:361-11702.

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42

Goswami, Anindya. "Semi-Markov Processes In Dynamic Games And Finance." Thesis, 2008. https://etd.iisc.ac.in/handle/2005/727.

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Two different sets of problems are addressed in this thesis. The first one is on partially observed semi-Markov Games (POSMG) and the second one is on semi-Markov modulated financial market model. In this thesis we study a partially observable semi-Markov game in the infinite time horizon. The study of a partially observable game (POG) involves three major steps: (i) construct an equivalent completely observable game (COG), (ii) establish the equivalence between POG and COG by showing that if COG admits an equilibrium, POG does so, (iii) study the equilibrium of COG and find the correspondi

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43

Goswami, Anindya. "Semi-Markov Processes In Dynamic Games And Finance." Thesis, 2008. http://hdl.handle.net/2005/727.

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Two different sets of problems are addressed in this thesis. The first one is on partially observed semi-Markov Games (POSMG) and the second one is on semi-Markov modulated financial market model. In this thesis we study a partially observable semi-Markov game in the infinite time horizon. The study of a partially observable game (POG) involves three major steps: (i) construct an equivalent completely observable game (COG), (ii) establish the equivalence between POG and COG by showing that if COG admits an equilibrium, POG does so, (iii) study the equilibrium of COG and find the correspondin

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44

Malska, Joanna. "Does financial volatility help in explaining and predicting economic activity?" Master's thesis, 2017. http://hdl.handle.net/10362/26210.

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Driven by the difficulty to predict the last financial crisis and possible distortion of predictive power of the conventional financial indicators on economic activity, this thesis provides in-sample and out-of-sample analyses whether financial volatility helps in explaining and forecasting economic activity. Several measures of financial volatility were constructed, such as: realized volatility, volatility following a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process, common long-run component of volatility estimated by Dynamic Factor Model, Principal Component Analysi

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Stulga, Šarūnas. "Integrace akciových trhů v baltických zemích." Master's thesis, 2019. http://www.nusl.cz/ntk/nusl-398140.

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1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determi

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HUANG, KUN-MING, and 黃坤銘. "A Study on the Dynamic Correlations Among US Stock, Treasury Bond andTreasury Bond Futures Markets under the Crisis of Subprime Mortgage and Financial Tsunami：The Application of VEC DCC GJR-GARCH Model andVEC Copula GJR-GARCH-skewed-t Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/00285305031586744297.

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碩士<br>國立臺北大學<br>國際企業研究所<br>98<br>This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010. The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage

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Hariharan, R. "System Dynamics Modeling Of Stylized Features Of Stock Markets." Thesis, 2006. https://etd.iisc.ac.in/handle/2005/463.

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The common theme throughout the thesis is to explore the possibility of using a single framework, namely the systems theory framework, in modeling a few stylized features of a financial market. A systems theoretic model is developed, in this thesis in Chapter 3, for confidence bias of an individual. The effect of this bias on his investment decision is brought out explicitly. The phenomenon of excessive trading, arising due to overconfidence and optimism, has been explained. The concept of virtual capital, incorporating the ideas from prospect theory, is introduced. We have proposed a dynamica

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Hariharan, R. "System Dynamics Modeling Of Stylized Features Of Stock Markets." Thesis, 2006. http://hdl.handle.net/2005/463.

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The common theme throughout the thesis is to explore the possibility of using a single framework, namely the systems theory framework, in modeling a few stylized features of a financial market. A systems theoretic model is developed, in this thesis in Chapter 3, for confidence bias of an individual. The effect of this bias on his investment decision is brought out explicitly. The phenomenon of excessive trading, arising due to overconfidence and optimism, has been explained. The concept of virtual capital, incorporating the ideas from prospect theory, is introduced. We have proposed a dynamica

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(9597320), Haejin Kim. "APPLICATION OF FINANCIAL MARKET MODELS IN THE HOTEL INDUSTRY." Thesis, 2020.

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<p>In this dissertation, I investigated price dynamics in the hotel room-night market and attempted to explain pricing decisions from a market perspective. Since market dynamics of the hotel room-night market can be paralleled to those in the financial market, financial market models allowed for examination of various aspects of hotel room pricing decisions.</p><p>In the first study, advance-purchase discounts were estimated through application of an option pricing model considering property-specific attributes. Non-refundable advance-purchase discounts are a commonly used rate fence. One chal

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Chen, Chiou-Neng, and 陳秋能. "BRICs Stock Market Dynamic in 80’ Financial Crisis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/03273499952699067162.

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碩士<br>國立高雄第一科技大學<br>財務管理所<br>98<br>In this paper, we investigate the financial turmoil of stock-linked relationship on BRIC, Russia, China, Brazil and India, with degree of integration. First, we use Granger causality test on the leading and lagging stock market relations. Moreover, we use the Vector Auto Regression (VAR), cointegration test and Error Correction Models (ECM) to figure out if the existence of long-term between international stock markets? Finally, we test reaction by impulse response during the short-term dynamic response. Empirical results show the followings. Firstly, Indian

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