NASDAQ Market Velocity and Market Forces are two relatively new data products that attempt to capture market sentiment, something that was previously only observable if one was on a trading floor. Given the transient and temporal properties of the data, we were challenged to create a visualization that would highlight the ever-changing qualities of Velocity and Forces. To that end, we developed...

The Problem: This project is intended to study the behavior of intelligent market-makers in a competitive environment. Our artificial financial market can be populated by various types of trading agents with varying levels of intelligence. This provides a framework for testing the behavior of simple and adaptive market-makers who compete with each other for profits, and for comparing price beha...

This paper presents an agent-based model of a dealer-mediated market, similar to Nasdaq . We outline the overall model and representation of the market rules and order handling infrastructure, as well as representation of individual market-makers decision-making processes and strategies. The original model was created primarily to understand the effects of the then forthcoming decimalization. W...

We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for geometric ergodicity and existence of moments. Because of path dependence, maximum likelihood estimation is no...

We compare the probability distribution of returns for the three major stock-market indices (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Drăgulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982–1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other ...

The research presented in this paper explores the effect of inbound, outbound and coupled open innovation practices on firms’ performances in the biopharmaceutical industry. Specifically, although existing researches on open innovation effectiveness have separately investigated the effect of open innovation practices on innovation and financial performance, this study evaluates the concurrent e...

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinson (1995a), and shown by Arteche (2004) to be consistent and asymptotically normal in the context ...

A pénzügyi adatok mintavételezése többféleképpen történhet. Leginkább az időalapú mintavétel a használatos. Lehetséges azonban olyan, ettől különböző módokon is végrehajtani gyűjtését és rögzítését, hogy azok jobban reprezentálják adatgeneráló folyamatot, statisztikai következtetések levonására inkább alkalmasak. szerző tranzakció-, volumen­, illetve összértékalapú adatsorokat állít elő egy NAS...