This study aims to analyze the effect of fundamental variables and macroeconomic on sharia stock prices in Jakarta Islamic Index (JII) for 1 periode 20116-2020 which publishes financial statements successively. The analytical method used is panel data regression with Common Effect Model (CEM) research model assisted by Eviews 9 program. partial results show that all have a significant Sharia St...

Crude oil exerts a strong influence on national economy. Changes of international crude oil price have an important effect on Chinese economy because of China’s high dependence on the import of the crude oil. Thus, Chinese stock market can be shocked by the fluctuation of oil price. Reversely, changes in crude oil imports of China have some effect on demands and price of the crude oil. This art...

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenario with enlargement of filtration techniques. We apply a variant of the Kalman-Bucy filter to infe...

A firm is called to have stock price crash risk if the firm has a tendency to experience a sudden drop in its stock price. In this study, the relation between the firm-level of business strategy and future stock price crash risk Is examined, as well as the effect of stock overvaluation on the relationship between business strategy and crash risk investigated. Using the strategy index and crash ...

This paper considers the problem of optimal investment, consumption and life insurance acquisition for a wage earner who has CRRA (constant relative risk aversion) preferences. The market model is complete, continuous, the uncertainty is driven by Brownian motion and the stock price has mean reverting drift. The problem is solved by dynamic programming approach and the HJB equation is shown to ...

STOCK market price behavior has been studied extensively. It is influenced by a myriad of factors, including political and economic events, among others, and is a complex nonlinear time-series problem. Traditionally, stock price forecasting is performed based on technical analysis, which focuses on price action, which is the process of finding patterns in price history. More recently, research ...

With the characteristics of nonlinearity and randomness, stock prices change with a strong feature of disorder, and its mathematical model is often complex which makes it difficult to accurately determine the price or contain chaos. One single forecast method can only describe the stock price information partially, but fails to reflect the overall picture. In this paper, a method of Radial Basi...