Using a new data set on investor sentiment, we show that institutional and individual sentiment seem to proxy for smart money and noise trader risk, respectively. First, using bias-adjusted long-horizon regressions, we show that institutional sentiment forecasts stock market returns at intermediate horizons correctly, whereas individuals consistently get the direction wrong. Second, even the si...

The goal of present experiments is to investigate the use of multiple kernel learning as a tool for pricing options in the context of Indian stock market for Nifty index options. In this paper, fair price of an option is predicted by Multiple Kernel Support Vector Regression (MKLSVR) using linear combinations of kernels and Single Kernel Support Vector Regression (SKSVR). Prices of option highl...

The article presents a study to understand the behavior of money velocity for different money stock measures in India for the period 1982 – 2012 along with the important factors by which they get influenced. The first part checks the random walk hypothesis for money velocity fluctuations. The results show that the velocities do not exhibit random walk behavior which proved to be useful for anal...

A group of people wishes to use money to exchange goods efficiently over several time periods. However, there are disadvantages to using any of the goods as money, and in addition fiat money issued in the form of notes or coins will be valueless in the final time period, and hence in all earlier periods. Also, Walrasian market prices are determined only up to an arbitrary rescaling. Nevertheles...

This paper examines the bank lending channel, which considers how monetary authority actions affect the variation of loans. We focus on the BRICS (Brazil, Russia, India, China and South Africa) totalizing 1254 banks from five countries in the period 2000-2012 (totalizing 13 years). The empirical results show that the effect of money supply growth on the growth of loans is non-linear and inverte...

T his paper investigates the movement between stock market bubbles and fluctuations in aggregate variables within a DSGE model for the Iranian economy. We apply a new Keynesian monetary framework with nominal rigidity in wages and prices based on the study by Ikeda (2013), which is developed with appropriate framework for the Iranian economy. We consider central bank behavior differe...

The term pure currency means an economy of people whose histories are private and who, therefore, cannot be punished individually in the future for current actions. In many economies of that kind, any trade requires the use of outside money and taxation is not feasible. The conjecture is for economies of that kind in which there are extensive margins that play a role. For such economies, the co...

We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that gives BlackScholes price for at-money options and such that the market is arbitrage free for any number of tradable options, even if there are two Brownian ...

We develop a simple robust link between deep out-of-the-money American put options on a company’s stock and a credit insurance contract on the company’s bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corr...