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Programação genética para predição de séries temporais aplicados a mercados financeiros; Genetic programming for time series forecasting applied to financial markets

Prochnow, Fabio Alberto
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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As Séries Temporais podem ser percebidas em diversas formas na natureza e até mesmo nos processos industriais. Nos Mercados Financeiros, por exemplo, pode-se ver nitidamente a formação destas séries. Tanto para os investidores do Mercado Forex quando para os do Mercado de Ações, o desafio é prever as variações destas séries e obter o maior lucro possível destes comportamentos. Para isso, foi criada a Análise Técnica, que consiste de fundamentos e ferramentas de análise gráfica para auxiliar os investidores na hora de tomar uma decisão. Ao encontro disso, surgem os métodos clássicos de predição de Séries Temporais como o Naïve, o ARIMA e, nos últimos tempos, as próprias Redes Neurais. Por outro lado, a Programação Genética vem se destacando em inúmeras aplicações práticas e, dentre as possibilidades de uso desta, está a Regressão Simbólica. Por esse motivo, realizaram-se experimentos comparativos entre os métodos mais utilizados para a previsão destas séries e a própria predição por Regressão Simbólica. Para isso, foram coletadas séries referentes aos artigos mais movimentados nos Mercados de Ações e Forex como as ações PETR4 e VALE5 e os pares EURUSD e GBPUSD. Por fim, percebe-se que a Regressão Simbólica pode ser mais um aliado dos investidores na busca pelo lucro e...

Essays on the Economics of Risk and Financial Markets

Turley, Robert Staffan
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
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Prices in financial markets are primarily driven by the interaction of risk and time. The returns to financial assets over long time horizons are primarily driven by fundamental news regarding their promised cash flows. In contrast, short-run price variation is associated with a large degree of predictable, transient investor trading behavior unrelated to fundamental prospects. The quantity of long-run risk directly affects economic well-being, and its magnitude has varied significantly over the past century. The theoretical model presented here shows some success in quantifying the impact of news about future risks on asset prices. In particular, some investing strategies that appear to offer anomalously large returns are associated with high exposures to future long-run risks. The historical returns to these portfolios are partly a result of investors’ distaste for assets whose worth declines when uncertainty increases. The financial sector is tasked with pricing these risks in a way that properly allocates investment resources. Over the past thirty years, this sector has grown much more rapidly than the economy as a whole. As a result, asset prices appear to be more informative. However, the new information relates to short-term uncertainty...

Financial Markets, Specialization, and Learning by Doing

Cooley, Thomas F. ; Smith, Bruce D.
Fonte: William E. Simon Graduate School of Business Administration, University of Rochester Publicador: William E. Simon Graduate School of Business Administration, University of Rochester
Tipo: Trabalho em Andamento
Português
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This paper considers three questions: (1) what is the role of financial markets in development, (2) why do some economies have such poorly developed financial markets, and (3) can government policy be used to promote financial market development? With respect to the first question, we formalize the widely-held notion that financial markets promote entrepreneurship, specialization. and learning-by-doing. However, if economic incentives for specialization are absent, financial markets may fail to form. This occurs when real interest rates are too low. We also discuss policies that can be used to promote financial market development. When these policies are successful, they will be growth promoting. Finally, we examine policies intended to manipulate returns on savings, which are often important components of "financial liberalizations." We describe conditions under which such policies will be conducive to growth.

Complexity in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book Models

CRISTELLI, MATTHIEU
Fonte: La Sapienza Universidade de Roma Publicador: La Sapienza Universidade de Roma
Tipo: Tese de Doutorado
Português
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The fundamental idea developed throughout this work is the introduction of new metrics in Social Sciences (Economics, Finance, opinion dynamics, etc). The concept of metric, that is the concept of measure, is usually neglected by mainstream theories of Economics and Finance. Financial Markets are the natural starting point of such an approach to Social Sciences because a systematic approach can be undertaken and the methods of Physics has shown to be very effective. In fact since a decade there exists a very huge amount of high frequency data from stock exchanges which permit to perform experimental procedures as in Natural Sciences. Financial markets appear as a perfect playground where models can be tested and where repeatability of empirical evidences are well-established features differently from, for instance, Macro-Economy and Micro-Economy. Thus Finance has been the first point of contact for the interdisciplinary application of methods and tools deriving from Physics and it has been also the starting point of this work. We investigated the origin of the so-called Stylized Facts of financial markets (i.e. the statistical properties of financial time series) in the framework of agent-based models. We found that Stylized Facts can be interpreted as a finite size effect in terms of the number of effectively independent agents (i.e. strategy) which results to be a key variable to understand the self-organization of financial markets. As a second issue we focused our attention on the order book dynamics both from a theoretical and a data oriented point of view. We developed a zero intelligence model in order to investigate the role of vanishing liquidity in the price response to incoming orders. Within the framework of this model we have analyzed the effect of the introduction of strategies pointing out that simple strategic behaviors can explain bursts of intermittency and long memory effects. On the other hand we quantitatively showed that there exists a feedback effect in markets called self-fulfilling prophecy which is the mechanism through which technical trading can exist and work. This feature is a very interesting quantitative evidence of a self-reinforcement of agents’ belief. Last but not least nowadays we live in a computerized and networked society where many of our actions leave a digital trace and affect other people’s actions. This has lead to the emergence of a new data-driven research field. In this work we highlighted how non financial data can be used to track financial activity...

Aging Population, Pension Funds, and Financial Markets : Regional Perspectives and Global Challenges for Central, Eastern, and Southern Europe

Holzmann, Robert
Fonte: World Bank Publicador: World Bank
Português
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Population aging is a worldwide phenomenon, but it is particularly advanced in highly developed northern countries. The retirement of the baby-boom generation in these rich countries will impose additional, albeit temporary, pressure on their pension systems. To cope with this pressure, reforms have been introduced that have lessened the generosity of publicly provided pension benefits. By design and by implication, this change increases the importance of mandatory and voluntary funded retirement schemes in smoothing consumption across the life cycle. The first three chapters of this book investigate questions germane to pension systems in the Central, Eastern, and Southern Europe (CESE) economies: the extent to which pension systems were prepared to deal with multi pillar pension reform, how to foster the development of financial systems so that they can better support funded systems, and how ready the systems are for the approaching payout of benefits as the first participants in the funded pillar approach retirement age. The remaining three chapters investigate broader questions facing pension systems in both developed and emerging countries: the capacity of the financial markets to deliver sufficiently high net rates of return...

Does Financial Openness Lead to Deeper Domestic Financial Markets?

Calderón, César; Kubota, Megumi
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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Advanced and emerging market economies have rapidly integrated into international capital markets and this growing globalization of financial markets has led to some important changes in the patterns of saving and investment across the world. The main goal of this paper is to test whether the cross-border asset trade has led to improvements in the intermediation of these savings -- that is, foster development of domestic financial markets. The authors have collected annual information on financial market development, financial openness, and other control variables for a sample of 145 countries for the period 1974-2007. Controlling for the likely endogeneity of financial openness, the analysis finds that rising financial openness expands private credit, bank assets, and stock market and private bond market development, and generates efficiency gains in the banking system. However, the impact of financial openness on domestic financial development may depend on the level of institutional quality, the extent of investor protection...

Informal Financial Markets and Financial Intermediation in Four African Countries

Aryeetey, Ernest; Hettige, Hemamala; Nissanke, Machiko; Steel, William
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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A study of both informal and formal financial markets in Ghana, Malawi, Nigeria and Tanzania, Financial Market Fragmentation and Reform in Sub-Saharan Africa, shows that informal institutions use specialized methods to serve broad segments of the population that lack access to banks. Although they have responded positively in a liberalized environment, fragmentation into isolated market segments persists. Greater efforts are needed to integrate informal institutions into financial development strategies. The study investigated structural problems such as imperfect information and costly contract enforcement and institutional weaknesses in banking systems and the legal framework that cause wide differences across lenders in the costs of screening, monitoring and enforcing loans. Poor information systems in low-income countries raise the cost to formal institutions of acquiring information on any but the largest clients. In contrast, informal agents utilize personal relationships, social sanctions and various collateral substitutes to serve market segments that remain beyond the reach of formal banks.

Financial Markets, Credit Constraints, and Investment in Rural Romania

Chaves, Rodrigo A.; Sanchez, Susana; Schor, Saul; Tesliuc, Emil
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
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The report assesses the performance of financial markets in rural areas of Romania, based on three - rural household, rural enterprise, and financial intermediary - surveys, carried out in 1998, and other official data covering 1997. The study finds that rural financial markets perform rather poorly in three key dimensions: the degree of access to financial services by rural economic agents (enterprises and households) is very limited; this limited access hinders the ability of these agents to take advantage of the investment opportunities available in rural areas; and, these markets failed to allocate flows of credit to those agents with the most profitable investment opportunities. This poor performance is caused by an unfortunate combination of short term circumstances, structural factors, and government policies, and interventions. In particular, the degree of access to credit services by rural agents is very low, because several factors have combined, to weaken both the supply of, and demand for rural credit. The report suggests a detailed government strategy to correct the observed shortcomings of rural financial markets...

Financial markets, institutions and integration in East Asia

de Brouwer, Gordon
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Artigo de Revista Científica Formato: 927484 bytes; 353 bytes; application/pdf; application/octet-stream
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This paper explores East Asian finance in two parts. The first part of the paper provides an overview of the state of regional financial markets in East Asia. It looks at recent trends in capital flows and cross-border banking, the state of financial market infrastructure, and at developments in financial markets – stocks, foreign exchange, bonds, and derivatives – in East Asia. The picture is not pretty. East Asian financial markets are tiered: the developed markets of the region (Japan, Singapore, Hong Kong SAR and Australia) perform well by international standards, most of the others (like Korea, Malaysia, Taiwan PoC and Thailand) are average, and a couple (like Indonesia and the Philippines) look dismal. Infrastructure and risk management in the region are, in general, at relatively low levels by international standards. Many countries face serious challenges. Institutions are generally weak. Developing ASEAN has to compete more and more with China for funds. Continued weakness in its financial institutions, market structure, and economy are diminishing the importance of Japan and impeding regional development. The second part of the paper explores in more detail four of the many issues that arise in looking at finance in East Asia. The first is refocussing on harmonising markets in East Asia...

The effects of the euro on financial markets, activity and structure

Studener, Werner
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 104779 bytes; 352 bytes; application/pdf; application/octet-stream
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The introduction of a single currency in Europe has led to both qualitative and quantitative improvements in the functioning of euro-area financial markets. The effects of enhanced competition have often occurred in sectors where they were maybe not so widely expected. For instance, this paper finds that the euro has acted as a catalyst for greater competition between sovereign issuers and markets within the region. Such a form of competition has great benefits if it leads to a convergence of national legal and regulatory environments toward the ‘best practice’ and the highest standards. Although the euro was designed as a regional currency to serve an area of 300 million or so inhabitants, it has already become a global currency. This has implications for the management of an increasingly global economy as financial stability and in particular crisis management often require global responses. This paper finds that in one recent crisis – the 11 September terrorist attacks on the United States – the rapid reaction of central banks in Europe and America served the interest of global financial stability well.; no

The liberalisation and integration of domestic financial markets in Western Pacific economies

de Brouwer, Gordon
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 281576 bytes; 352 bytes; application/pdf; application/octet-stream
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This paper addresses the integration of domestic financial markets in Western Pacific economies – an unexamined issue in the literature of international financial integration – by exploring the relationship between money market interest rates and deposit and loan interest rates. Rules for setting interest rates on deposits and loans are derived, and these are shown to be consistent with commercial banking practice and to capture recent key developments in the banking sectors of the region. An error-correction model is used to show that the integration of domestic institutional financial markets has increased substantially over the past decade, due to pervasive liberalisation and, more recently, growing competitiveness. The adjustment of domestic institutional rates to changes in money market rates has increased, often significantly, and by the first half of the 1990s the speed and pattern of adjustment of institutional rates in most of the developing/newly developed economies of East Asia had become similar to that in economies with developed financial systems. There is also a difference between the adjustment of deposit and loan rates, with the former adjusting more rapidly. This may be explained by differences in the maturity...

Macroeconomic news, business cycles, and Australian financial markets

Fang, V.; Lin, C.T.; Parbhoo, K.
Fonte: Kluwer Academic Publishers Group Publicador: Kluwer Academic Publishers Group
Tipo: Artigo de Revista Científica
Publicado em //2008 Português
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This paper examines the effects of news surprises of macroeconomic announcements on Australian financial markets across different business cycles. We find that overall, the news arrivals are influential in both stock and debt markets but in an interesting array of responses across asset classes. Debt markets are more responsive to macroeconomic news surprises compared to the stock market, hence supporting the notion that information revealed from the macroeconomic news is related to interest rates. Specifically, news about CPI is important over the full sample period and especially during expansions for both stock and bond returns while the unemployment rate news is influential to the moneymarket rates. Furthermore, these effects are seemingly asymmetric in nature, with their directions and magnitudes conditional on the state of economy.; Victor Fang, Chien-Ting Lin and Kunaal M. Parbhoo

Measuring the degree of fulfillment of the law of one price. Applications to financial markets integration

Balbás, Alejandro; Muñoz-Bouzo, María José
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /12/1996 Português
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This paper gives two measures of the degree of fulfillment of the Law of One Price. These measures are characterized by means of saddle point conditions, and are therefore easy to compute in practical situations. Many empirical papers analyze well-Known arbitrage strategies. Our measures present an important advantage over this approach, since we globally focus on the market to find its arbitrage opportunities, without studying special strategies. The developed theory is also applied to markets with frictions, and to study the integration of different financial markets. Our measures are continuous with respect to previous measures in the literature, and seem to be better than them since they compute how much money the agents can win due to the arbitrage opportunities in a financial market, or among different ones.

Financial Markets as a Commitment Device for the Government

SIMON, Jenny
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf
Português
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How does the presence of financial markets shape the government's ability to implement social redistribution? Individuals do not typically constrain consumption to equal their net-of-tax income every period. Instead, access to financial markets allows them to allocate their resources over time. On the other hand, the markets that individual agents trade in are usually incomplete, in the sense that adjustments to contracts are costly. A mortgage, for example, helps to smooth housing consumption. Yet, buying a house constitutes a significant individual commitment. It cannot be changed costlessly at every point in time. In particular a downward adjustment often comes with significant losses. Optimal redistributive policy ought to take agents' involvement in such financial markets into account. I study a two-period endowment economy with heterogeneous income types and private information, where a government without commitment cannot provide any social redistribution. I show how agents' involvement in a financial market can improve the government's ability to commit at least to a partially separating allocation in the second period, enabling it to provide some redistribution across agents. In this world, agents borrow against their promised income and enter long-term individual consumption commitments. However...

China Capital Markets Development Report : China Securities Regulation Commission

Qi, Bin
Fonte: China Financial Publishing House Publicador: China Financial Publishing House
Tipo: Economic & Sector Work :: Foreign Trade, FDI, and Capital Flows Study; Economic & Sector Work
Português
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The 'China capital markets development report' provides a good overview of the development of China's capital markets and explores future strategies. The report starts by reviewing historical events in the evolution of China's capital markets which have grown from small and unorganized regional markets into a national market today. By summarizing lessons learned during the market evolution and analyzing major gaps between China's capital markets and more mature markets, the report tries to propose a strategic design and vision for China's capital markets development for the next decade and beyond. Since the commencement of economic reform and opening up, China has gone through significant economic and social changes, and the socialist market economic regime has been established and steadily improved. Between 1979 and 2007, China's Gross Domestic Product (GDP) has been growing above 9 percent annually on average and China has become the fourth largest economy in the World. China's capital markets emerged and developed during the same period. With joint efforts by all relevant parties...

Complexity in Financial Markets: Models and empirical evidence at the micro and macro level

ZACCARIA, ANDREA
Fonte: La Sapienza Universidade de Roma Publicador: La Sapienza Universidade de Roma
Tipo: Tese de Doutorado
Português
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In this thesis I have used tools and methods lent from Statistical Physics to build models or directly analyze some empirical evidence of Financial Markets. In particular, I analyzed the correlation and distribution properties of the price variations of various stocks, finding a new property which links extreme price fluctuations. This evidence can be quantitatively explained with a simple model. I have conceived and developed an Agent Based Model to explain the main statistical properties of financial time series, addressing in particular the issue of Self-Organization. From a market microstructure perspective, I have studied the problem of the emergence of liquidity crises and the connection between traders' strategies, the spread relaxation after a shock and volatility clustering.

Multi-scaling Modelling in Financial Markets

Liu, Ruipeng; Aste, Tomaso; Di Matteo, Tiziana
Fonte: SPIE - The International Society for Optical Engineering Publicador: SPIE - The International Society for Optical Engineering
Tipo: Conference paper
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In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions in

Transitory price changes in the Chinese stock markets

Zhang, Zhaohui; Nemiroff, Howard; Wang, Jiamin; Karim, Khondkar
Fonte: Review of Pacific Basin Financial Markets and Policies - World scientific Publicador: Review of Pacific Basin Financial Markets and Policies - World scientific
Tipo: Artigo de Revista Científica
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This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.; Electronic version of an article published as Review of Pacific Basin Financial Markets and Policies, Volume 10, Issue 4, 2007, pp. 519-540, Article DOI: 10.1142/S0219091507001185 Copyright World Scientific Publishing Company www.worldscinet.com/rpbfmp

Financial Markets and the Global Debt Crisis: Toward a New Architecture for A More Reliable Financial Sector

Petersen,Hans-Georg; Wiegelmann,Alexander Martin
Fonte: UNAM, Centro de Investigaciones sobre América del Norte Publicador: UNAM, Centro de Investigaciones sobre América del Norte
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2014 Português
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The breakdown of the financial markets in 2007 and the ensuing debt crisis in the EU has produced enormous mistrust in financial products and the monetary system. The emergence of shadow banking also changed the behavior patterns of management so that its self-interest dominated the interests of shareholders and the other stakeholders. These false incentives led to merger processes in the financial system resulting in market structures in which single institutions became too big or too connected to fail. The empirical developments and the political counter-measures described in this article point to the fact that the macro-perspective has been dominant, neglecting individual irresponsibility and failure.

International financial markets and development

Wahl,Peter
Fonte: HTS Theological Studies Publicador: HTS Theological Studies
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2009 Português
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The current financial crisis has not come about by chance. It is the result of a system that has emerged over the last 30 years and which Keynes may well have called the ‘casino economy’. The dominance of finance over real economy characterises the financial crisis, while finance itself is dominated by the all-encompassing target of maximum profit at all times. Other aims of economic activity such as job creation, social welfare and development have fallen by the wayside. In response, new actors are surfacing, e.g. the institutional investor (hedge funds, private equity funds, etc.), while new instruments are leading to highly leveraged and destabilising derivatives. The casino system has been promoted by governments and intergovernmental institutions to liberalise and deregulate financial markets. Although developing countries have not participated in the casino system, they have been suffering most from the spill-over into the real economy. The main lesson learnt is that the casino has to be closed.