Página 1 dos resultados de 110 itens digitais encontrados em 0.016 segundos

Doing Business 2014 Regional Profile : Economic Community of Central African States

World Bank; International Finance Corporation
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
48.347954%
This regional profile presents the Doing Business indicators for economies in Economic Community of Central African States (ECCAS). It also shows the regional average, the best performance globally for each indicator and data for the following comparator regions: Southern African Development Community, Economic Community of West African States, Middle East and North Africa, South Asia, and OECD High Income. The data in this report are current as of June 1, 2013, except for the paying taxes indicators, which cover the period January to December 2012. Regional Doing Business reports capture differences in business regulations and their enforcement across countries in a single region. They provide data on the ease of doing business, rank each location, and recommend reforms to improve performance in each of the indicator areas. The report sheds light on how easy or difficult it is for a local entrepreneur to open and run a small to medium-size business when complying with relevant regulations. It measures and tracks changes in regulations affecting 11 areas in the life cycle of a business: starting a business...

Doing Business 2014 Regional Profile : Economic Community of West African States

World Bank; International Finance Corporation
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
48.349395%
This regional profile presents the Doing Business indicators for economies in Economic Community of West African States (ECOWAS). It also shows the regional average, the best performance globally for each indicator and data for the following comparator regions: East Asia and the Pacific, Economic Community of Central African States, Middle East and North Africa, Southern African Development Community, and European Union. The data in this report are current as of June 1, 2013, except for the paying taxes indicators, which cover the period January to December 2012. Regional Doing Business reports capture differences in business regulations and their enforcement across countries in a single region. They provide data on the ease of doing business, rank each location, and recommend reforms to improve performance in each of the indicator areas. The report sheds light on how easy or difficult it is for a local entrepreneur to open and run a small to medium-size business when complying with relevant regulations. It measures and tracks changes in regulations affecting 11 areas in the life cycle of a business: starting a business...

Doing Business 2014 Regional Profile : Organization for the Harmonization of Business Law in Africa

World Bank; International Finance Corporation
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
48.347954%
This regional profile presents the Doing Business indicators for economies in Organization for the Harmonization of Business Law in Africa (OHADA). It also shows the regional average, the best performance globally for each indicator and data for the following comparator regions: Common Market for Eastern and Southern Africa, East Asia and the Pacific, European Union, Latin America and Southern African Development Community. The data in this report are current as of June 1, 2013, except for the paying taxes indicators, which cover the period January to December 2012. Regional Doing Business reports capture differences in business regulations and their enforcement across countries in a single region. They provide data on the ease of doing business, rank each location, and recommend reforms to improve performance in each of the indicator areas. The report sheds light on how easy or difficult it is for a local entrepreneur to open and run a small to medium-size business when complying with relevant regulations. It measures and tracks changes in regulations affecting 11 areas in the life cycle of a business: starting a business...

Scaling of the distribution of price fluctuations of individual companies

Plerou, V.; Gopikrishnan, P.; Amaral, L. A. N.; Meyer, M.; Stanley, H. E.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/07/1999 Português
Relevância na Pesquisa
58.35162%
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994--95, and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-year period 1962--96. We study the probability distribution of returns over varying time scales $\Delta t$, where $\Delta t$ varies by a factor of $\approx 10^5$---from 5 min up to $\approx$ 4 years. For time scales from 5~min up to approximately 16~days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent $\alpha \approx 3$ ---well outside the stable L\'evy regime $0 < \alpha < 2$. For time scales $\Delta t \gg (\Delta t)_{\times} \approx 16 $days, we observe results consistent with a slow convergence to Gaussian behavior. We also analyze the role of cross correlations between the returns of different companies and relate these correlations to the distribution of returns for market indices.; Comment: 10pages 2 column format with 11 eps figures. LaTeX file requiring epsf...

Law on the Market? Evaluating the Securities Market Impact of Supreme Court Decisions

Katz, Daniel Martin; Bommarito II, Michael J; Soellinger, Tyler; Chen, James Ming
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/08/2015 Português
Relevância na Pesquisa
48.72444%
Do judicial decisions affect the securities markets in discernible and perhaps predictable ways? In other words, is there "law on the market" (LOTM)? This is a question that has been raised by commentators, but answered by very few in a systematic and financially rigorous manner. Using intraday data and a multiday event window, this large scale event study seeks to determine the existence, frequency and magnitude of equity market impacts flowing from Supreme Court decisions. We demonstrate that, while certainly not present in every case, "law on the market" events are fairly common. Across all cases decided by the Supreme Court of the United States between the 1999-2013 terms, we identify 79 cases where the share price of one or more publicly traded company moved in direct response to a Supreme Court decision. In the aggregate, over fifteen years, Supreme Court decisions were responsible for more than 140 billion dollars in absolute changes in wealth. Our analysis not only contributes to our understanding of the political economy of judicial decision making, but also links to the broader set of research exploring the performance in financial markets using event study methods. We conclude by exploring the informational efficiency of law as a market by highlighting the speed at which information from Supreme Court decisions is assimilated by the market. Relatively speaking...

Compact Securities Markets for Pareto Optimal Reallocation of Risk

Pennock, David M.; Wellman, Michael P.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/01/2013 Português
Relevância na Pesquisa
58.94062%
The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete} securities markets - which contain one security for every possible state of nature - support Pareto optimal allocations of risk. Complete markets suffer from the same exponential dependence on the number of underlying events as do joint probability distributions. We examine whether markets can be structured and "compacted" in the same manner as Bayesian network representations of joint distributions. We show that, if all agents' risk-neutral independencies agree with the independencies encoded in the market structure, then the market is emph{operationally complete}: risk is still Pareto optimally allocated, yet the number of securities can be exponentially smaller. For collections of agents of a certain type, agreement on Markov independencies is sufficient to admit compact and operationally complete markets.; Comment: Appears in Proceedings of the Sixteenth Conference on Uncertainty in Artificial Intelligence (UAI2000)

Optimization of Financial Instrument Parcels in Stochastic Wavelet Model

Avdeenko, A. M.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/07/2010 Português
Relevância na Pesquisa
57.94815%
To define oscillatory movements of securities market, we put in the non-local extension of Ito- equation for wavelet-images of random processes. It is proposed an algorithm of creation of evolutionary equation and a model of prediction of the most probable price movement path. It is carried out experimental validation of findings.; Comment: 9 pages, 3 figures, 2 tables

Testing the performance of technical trading rules in the Chinese market

Wang, Shan; Jiang, Zhi-Qiang; Li, Sai-Ping; Zhou, Wei-Xing
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/04/2015 Português
Relevância na Pesquisa
48.337085%
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on the Shanghai Securities Composite Index (SSCI) from May 21, 1992 through June 30, 2013 and Shanghai Shenzhen 300 Index (SHSZ 300) from April 8, 2005 through June 30, 2013 to check whether an effective trading strategy could be found by using the performance measurements based on the return and Sharpe ratio. To correct for the influence of the data-snooping effect, we adopt the Superior Predictive Ability test to evaluate if there exists a trading rule that can significantly outperform the benchmark. The result shows that for SSCI, technical trading rules offer significant profitability, while for SHSZ 300, this ability is lost. We further partition the SSCI into two sub-series and find that the efficiency of technical trading in sub-series, which have exactly the same spanning period as that of SHSZ 300, is severely weakened. By testing the trading rules on both indexes with a five-year moving window, we find that the financial bubble from 2005 to 2007 greatly improve the effectiveness of technical trading rules. This is consistent with the predictive ability of technical trading rules which appears when the market is less efficient.; Comment: 11 Latex pages including 2 figures and two tables

Why Indexing Works

Heaton, J. B.; Polson, N. G.; Witte, J. H.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 13/10/2015 Português
Relevância na Pesquisa
48.33315%
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that the best performing stocks in a broad market index perform much better than the other stocks in the index. While randomly selecting a subset of securities from the index increases the chance of outperforming the index, it also increases the chance of underperforming the index, with the frequency of underperformance being larger than the frequency of overperformance. The relative likelihood of underperformance by investors choosing active management likely is much more important than the loss to those same investors of the higher fees for active management relative to passive index investing. Thus, the stakes for finding the best active managers may be larger than previously assumed.; Comment: 5 Pages, 1 Figure

Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices

Awasthi, Achal; Malafeyev, Oleg
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/10/2015 Português
Relevância na Pesquisa
48.555625%
How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued securities i.e. securities whose value is less than its assumed intrinsic value, which offer returns that are higher than the deserved expected returns, given their risk. However, there is a possibility of making excessive returns if the market is not efficient. This article analyses the five popular stock indices of BSE. This would not only test the efficiency of the Indian Stock Market but also test the random walk nature of the stock market. The study undertaken in this paper has provided strong evidence in favor of the inefficient form of the Indian Stock Market. The series of stock indices in the Indian Stock Market are found to be biased random time series and the random walk model can't be applied in the Indian Stock Market. This study confirms that there is a drift in market efficiency and investors can capitalize on this by correctly choosing the securities that are undervalued.; Comment: 8 pages, 3 Tables

Quantum Finance

Schaden, Martin
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
58.72588%
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding securities and cash is taken as the basis of the Hilbert space of market states. The temporal evolution of an isolated market is unitary in this space. Linear operators representing basic financial transactions such as cash transfer and the buying or selling of securities are constructed and simple model Hamiltonians that generate the temporal evolution due to cash flows and the trading of securities are proposed. The Hamiltonian describing financial transactions becomes local when the profit/loss from trading is small compared to the turnover. This approximation may describe a highly liquid and efficient stock market. The lognormal probability distribution for the price of a stock with a variance that is proportional to the elapsed time is reproduced for an equilibrium market. The asymptotic volatility of a stock in this case is related to the long-term probability that it is traded.; Comment: Improved 32 page version that is to appear in Physica A. One appendix scrapped, typos corrected, section on conditions for efficient markets extended. References added

Evidence of market manipulation in the financial crisis

Misra, Vedant; Lagi, Marco; Bar-Yam, Yaneer
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.632314%
We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government response to the 1929 market crash and its aftermath. On November 1, 2007, Citigroup experienced an unusual increase in trading volume and decrease in price. Our analysis of financial industry data shows that this decline coincided with an anomalous increase in borrowed shares, the selling of which would be a large fraction of the total trading volume. The selling of borrowed shares cannot be explained by news events as there is no corresponding increase in selling by share owners. A similar number of shares were returned on a single day six days later. The magnitude and coincidence of borrowing and returning of shares is evidence of a concerted effort to drive down Citigroup's stock price and achieve a profit, i.e., a bear raid. Interpretations and analyses of financial markets should consider the possibility that the intentional actions of individual actors or coordinated groups can impact market behavior. Markets are not sufficiently transparent to reveal even major market manipulation events. Our results point to the need for regulations that prevent intentional actions that cause markets to deviate from equilibrium and contribute to crashes. Enforcement actions cannot reverse severe damage to the economic system. The current "alternative" uptick rule which is only in effect for stocks dropping by over 10% in a single day is insufficient. Prevention may be achieved through improved availability of market data and the original uptick rule or other transaction limitations.; Comment: 21 pages...

Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market

Pennock, David M.; Wellman, Michael P.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/02/2013 Português
Relevância na Pesquisa
48.553447%
We consider the problem of belief aggregation: given a group of individual agents with probabilistic beliefs over a set of uncertain events, formulate a sensible consensus or aggregate probability distribution over these events. Researchers have proposed many aggregation methods, although on the question of which is best the general consensus is that there is no consensus. We develop a market-based approach to this problem, where agents bet on uncertain events by buying or selling securities contingent on their outcomes. Each agent acts in the market so as to maximize expected utility at given securities prices, limited in its activity only by its own risk aversion. The equilibrium prices of goods in this market represent aggregate beliefs. For agents with constant risk aversion, we demonstrate that the aggregate probability exhibits several desirable properties, and is related to independently motivated techniques. We argue that the market-based approach provides a plausible mechanism for belief aggregation in multiagent systems, as it directly addresses self-motivated agent incentives for participation and for truthfulness, and can provide a decision-theoretic foundation for the "expert weights" often employed in centralized pooling techniques.; Comment: Appears in Proceedings of the Thirteenth Conference on Uncertainty in Artificial Intelligence (UAI1997)

Ensemble properties of securities traded in the NASDAQ market

Lillo, Fabrizio; Mantegna, Rosario N.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/07/2001 Português
Relevância na Pesquisa
57.94422%
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results.; Comment: 7 pages, 3 figures, to appear in the proceedings of NATO ARW on Application of Physics in Economic Modelling, Prague, 8-10 February 2001

Designing Informative Securities

Chen, Yiling; Ruberry, Mike; Vaughan, Jennifer Wortman
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/10/2012 Português
Relevância na Pesquisa
58.36732%
We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals. We consider the design of markets that are always informative, markets that are informative for a particular signal structure of the participants, and informative markets constructed from a restricted selection of securities. We find that to achieve informativeness, it can be necessary to allow participants to express information that may not be directly of interest to the market organizer, and that understanding the participants' signal structure is important for designing informative prediction markets.; Comment: Appears in Proceedings of the Twenty-Eighth Conference on Uncertainty in Artificial Intelligence (UAI2012)

On the range of admissible term-structures

Cousin, Areski; Niang, Ibrahima
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 01/04/2014 Português
Relevância na Pesquisa
48.340747%
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smooth- ness. When present values of building instruments are expressed as linear combinations of some primary quantities such as zero-coupon bonds, discount factor, or survival probabilit- ies, arbitrage-free bounds can be derived for those quantities at the most liquid maturities. As a matter of example, we present an iterative procedure that allows to compute model-free bounds for OIS-implied discount rates and CDS-implied default probabilities. We then show how mean-reverting term structure models can be used as generators of admissible curves. This framework is based on a particular specification of the mean-reverting level which al- lows to perfectly reproduce market quotes of standard vanilla interest-rate and default-risky securities while preserving a certain degree of smoothness. The numerical results suggest that, for both OIS discounting curves and CDS credit curves, the operational task of term- structure construction may be associated with a significant degree of uncertainty.

Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

Fujii, Masaaki; Takahashi, Akihiko
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.69334%
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) the investment flows are used to infer their drifts and intensities by a stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean-variance (or quadratic) risk criterion. A BSDE approach allows a systematic derivation of the optimal strategy, which is shown to be implementable by a set of simple ODEs and the standard Monte Carlo simulation. The presented framework may also be useful for manufactures and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to minimize the costs.; Comment: Revised version. Forthcoming in Quantitative Finance

Incomplete Continuous-time Securities Markets with Stochastic Income Volatility

Christensen, Peter Ove; Larsen, Kasper
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.324927%
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income and can trade continuously on a finite time-interval in a money market account and a single risky security. Besides establishing the existence of an equilibrium, our main result shows that if the investors' unspanned income has stochastic countercyclical volatility, the resulting equilibrium can display both lower interest rates and higher risk premia compared to the Pareto efficient equilibrium in an otherwise identical complete market.

Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations

Kirk, Christopher S
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/06/2014 Português
Relevância na Pesquisa
48.71404%
This paper describes recent development and test implementation of a continuous time recurrent neural network that has been configured to predict rates of change in securities. It presents outcomes in the context of popular technical analysis indicators and highlights the potential impact of continuous predictive capability on securities market trading operations.; Comment: 11 pages

Market Completion with Derivative Securities

Schwarz, Daniel C.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/05/2015 Português
Relevância na Pesquisa
48.435957%
Let $S^F$ be a $\mathbb{P}$-martingale representing the price of a primitive asset in an incomplete market framework. We present easily verifiable conditions on model coefficients which guarantee the completeness of the market in which in addition to the primitive asset one may also trade a derivative contract $S^B$. Both $S^F$ and $S^B$ are defined in terms of the solution $X$ to a $2$-dimensional stochastic differential equation: $S^F_t = f(X_t)$ and $S^B_t:=\mathbb{E}[g(X_1) | \mathcal{F}_t]$. From a purely mathematical point of view we prove that every local martingale under $\mathbb{P}$ can be represented as a stochastic integral with respect to the $\mathbb{P}$-martingale $S := (S^F\ S^B)$. Notably, in contrast to recent results on the endogenous completeness of equilibria markets, our conditions allow the Jacobian matrix of $(f,g)$ to be singular everywhere on $\mathbf{R}^2$. Hence they cover, as a special case, the prominent example of a stochastic volatility model being completed with a European call (or put) option.