This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conc...

The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset is (within a set of similar assets) the more its price is likely to increase during the upgoing phase of a speculative price peak. In short, instead of being risk averse, as is often assumed, investors rather seem to be “r...

U sing daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive component...

Stock exchange and interest rate are two crucial factors of economic growth of a country. The impacts of interest rate on stock exchange provide important implications for monitory policy, risk management practices, financial securities valuation and government policy towards financial markets. This study seeks evidence supporting the existence of share market efficiency based on the monthly da...

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize ma...

We study the cause of large fluctuations in prices on the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the volume of orders. Instead, large price fluctuations are driven by liquidity fl...

We examine Schweizer's (1991) locally risk-minimizing (LRM) hedge approach for hedging a European call in the case when the stock price follows a Poisson jump di usion process with lognormally distributed jump sizes. In contrast to Merton's (1976) hedging strategy where di usion risk is perfectly hedged while jump risk remains un-hedged, the locally risk-minimizing strategy hedges both di usion...

We consider the problem of an executive that receives call options as compensation in a dynamic setting. She can influence the stock price return with her effort. In addition, she determines the level of volatility of the stock through the choice of projects. The executive is risk-averse and experiences disutility from the effort. In this framework, we introduce the problem of the company that ...

In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-...

This paper describes the prediction scheme of stock price by using multiagent systems. Agents predict the stock price according to their strategies which is defined from technical and fundamental parameters such as some index related to the stock price, the currency exchange rate of the Japanese Yen (JPY) against the US Dollar and so on. Agents are randomly generated to construct population and...