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- Stock Returns (7)
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Articles 31 - 56 of 56
Full-Text Articles in Business
On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan
On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan
Articles
Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant–Friedrichs–Lewy (CFL) condition which limits the latter class’s efficiency. Implicit methods, however, are difficult to implement for all but the most simple of pricing models, whereas explicit techniques are easily adapted to complex problems. For the first time in a financial context, we present an acceleration technique, applicable to explicit finite difference schemes describing diffusive processes with symmetric evolution operators, called Super-Time-Stepping. We show that this method can …
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Conference papers
This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …
Risk Management Trends: Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Risk Management Trends: Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Articles
We report on a research and development programme in financial modelling and economic security undertaken in the Information and Communications Security Research Group (ICSRG, 2011) which has led to the launch of a new company - Currency Traders Ireland Limited - funded by Enterprise Ireland. Currency Traders Ireland Limited (CTI, 2011) has a fifty year exclusive license to develop a new set of indicators for analysing currency exchange rates (Forex trading). We consider the background to the approach taken and present examples of the results obtained to date. In this ‘Introduction’, we provide a background to and brief overview of …
Predicting Currency Pair Trends Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Predicting Currency Pair Trends Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Conference papers
This paper reports on the results of a research and development pro- gramme concerned with the analysis of currency pair exchange time series for Forex trading in an intensive applications and services environment. In particular, we present some of the preliminary results obtained for Forex trading using MetaTrader 4 with a new set of trend indicators deigned using a mathematical model that is based on the Fractal Market Hypothesis. This includes examples of various currency pair exchange rates considered over di erent time intervals and use of the indicators in a live trading environment to place a buy/sell order.
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Articles
Most Financial modelling system rely on an underlying hypothesis known as the Eficient Market Hypothesi (EMH) including the famous BlackScholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to predict the future volatility of a market share value. This paper introduces a new financial risk assessment model based on Levy statistics …
The Global Financial Crisis: World Market Or Regional Contagion Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
The Global Financial Crisis: World Market Or Regional Contagion Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
Conference papers
In the last two decades, the world economy has been challenged by different economic and financial crisis. These events have captured researchers’ attention, and in particular the analysis of contagion effects derived from stock market shocks have been a focal point of interesting discussions. However, there is little consensus on how contagion should be defined and indentified. Consequently, this paper contributes to the already settled debate on the area proposing the analysis of contagion effects in a worldwide framework, where three different econometric models to test for contagion are being used. The main results are in line with most of …
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Conference papers
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Articles
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of …
Systemic Risk Assessment Using A Non-Stationary Fractional Dynamic Stochastic Model For The Analysis Of Economic Signals, Jonathan Blackledge
Systemic Risk Assessment Using A Non-Stationary Fractional Dynamic Stochastic Model For The Analysis Of Economic Signals, Jonathan Blackledge
Articles
This paper considers the Fractal Market Hypothesis (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …
The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
Conference papers
We consider operational risk and market integration in the banking system of the Central and East European Countries’ (CEECs). The analysis provides an interesting framework in relation to the effects of the global financial crisis in some European emerging banks. We implement an econometric model that takes into account the level of integration of these banks in relation to a number of most developed institutions, which are represented by the Dow Jones STOXX 600 index, with the objective of analyzing how this could be impacting the level of operational risk in the region. This paper provides new evidence that links …
The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious Or Interdependency Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious Or Interdependency Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
Conference Papers
In the framework of the current global economic crisis, a pertinent question is whether the world economies are suffering from contagion or interdependency effects. With its origins in the US sub-prime mortgage market crisis starting at the end of 2007, when a loss of confidence by investors in the value of securitized mortgages resulted in a liquidity crisis, hard-hitting the banking system and rapidly spreading into the financial markets, the effects of the crisis were automatically reflected in the rest of the world economies. These effects that become severe as the rest of the world has been facing its economic …
Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter
Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter
Articles
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this gives rise to significant differences between short term and …
Volatility Spillovers On Precious Metals Markets: The Effects Of The Asian Crisis, Lucia Morales
Volatility Spillovers On Precious Metals Markets: The Effects Of The Asian Crisis, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between precious metals returns over the 1995- July 2007 period. We analyzed daily closing values for precious metals data, we took the US$/Troy ounce for gold, the London Free Market Platinum price in US$/Troy ounce, the London Free Market Palladium price in US$/Troy once, and the Zurich silver price in US$/kilogram. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of the precious metals markets during this crisis; we use GARCH and …
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the …
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
Conference papers
This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and …
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Articles
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all …
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
Conference papers
This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …
International Transmission Effects Of Volatility Spillovers Between Stock Returns And Exchange Rates: Evidence From Greece, Portugal And Spain Since The Introduction Of The Euro, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and equity markets is stronger for some currencies than others. We find that there were no significant volatility spillovers from stock returns to exchange …
Upping The Ante, Thomas Power
Upping The Ante, Thomas Power
Articles
The aim of this essay is to present the inherent barriers to the achievement of full co-operative solutions to global environmental problems. It reviews the literature of Swanson, Barrett, Pearse and Helme to explain the problems associated with multilateral bargaining and to compare two types of bargaining, namely “ex-post” and “ex-ante”. It attempts to apply the theoretical guidelines on multilateral bargaining to GATT.,
Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell
Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell
Conference papers
This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains …
Re-Evaluating Hedging Performance, Jim Hanly, John Cotter
Re-Evaluating Hedging Performance, Jim Hanly, John Cotter
Articles
Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short …
The Implementation Of Strategic Planning In Irish Hotel Groups., Frances Alexandra Keys
The Implementation Of Strategic Planning In Irish Hotel Groups., Frances Alexandra Keys
Masters
The primary objective of this research was to examine the relative importance and success of forty factors over the past five years (1994-1999) that have facilitated and/or impeded the implementation of strategic plans within Irish hotel groups. This research studied twenty-four hotel groups, which consisted of ninety-five strategic business units. An extensive review of strategic management literature by theorists such as Andrews(1971); Ansoff (1990); Chandler (1962); Cole (1997); Day (1984); Drucker (1969); Greenley (1986, 1989); Gupta (1986); Hayes (1985); Hofer (1973, 1976); Mintzberg (1978, 1987, 1990, 1994); Ohmae (1988); Porter (1980, 1985, 1991); Schaffer (1984); Schendel and Hatten (1972); Thompson …
A System Design Framework For Project Cost Control In The Irish Construction Industry, Tomás Kelly
A System Design Framework For Project Cost Control In The Irish Construction Industry, Tomás Kelly
Masters
The construction industry is a major contributor to the Irish economy. The common denominator of the of the industry’s business is the “construction project”. Construction projects by their very nature are unique being influenced by many variables such as weather, location, design and personnel. This situation demands strong management to fulfil the cost control function. The primary aim of this project has been the illustration of a system design framework for project cost control in the Irish construction industry. This system design should be based upon a general principle identified for the design of an overall project management system. Whilst …
Fuzzy Knowledge-Based Approach To Treating Uncertainty In Inventory Control, Dobrilla Petrovic, Edward Sweeney
Fuzzy Knowledge-Based Approach To Treating Uncertainty In Inventory Control, Dobrilla Petrovic, Edward Sweeney
Articles
Inventory control in complex manufacturing environments encounters various sources of uncertainity and imprecision. This paper presents one fuzzy knowledge-based approach to solving the problem of order quantity determination, in the presence of uncertain demand, lead time and actual inventory level. Uncertain data are represented by fuzzy numbers, and vaguely defined relations between them are modeled by fuzzy if-then rules. The proposed representation and inference mechanism are verified using a large numbers of examples. The results of three representative cases are summarized. Finally a comparison between the developed fuzzy knowledge-based and traditional, probabilistic approaches is discussed.