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New procedures for testing whether stock price processes are martingales
betting strategy efficient market hypothesis (EMH) game-theoretic probability sequential test
2010/11/1
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock p...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
Price Earnings Momentum
2014/3/18
We examine the role of investor attention in explaining the profitability of price
and earnings momentum strategies. Using trading volume and market state to
measure cross-sectional and time-serie...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter VII Of the Natural and Market Price of Commodities
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Market
2009/2/12
There is in every society or neighbourhood an ordinary or average rate both of wages and profit in every different employment of labour and stock. This rate is naturally regulated, as I shall show her...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter VI Of the Component Parts of the Price of Commodities
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密
2009/2/12
In that early and rude state of society which precedes both the accumulation of stock and the appropriation of land, the proportion between the quantities of labour necessary for acquiring different o...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter V Of the Real and Nominal Price of Commodities, or of their Price in Labour, and their Price in Money
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Money
2009/2/12
Every man is rich or poor according to the degree in which he can afford to enjoy the necessaries, conveniencies, and amusements of human life.*1 But after the division of labour has once thoroughly t...
Universal Behavior of Extreme Price Movements in Stock Markets
Universal Behavior Extreme Price Movements Stock Markets
2010/11/3
Many studies assume stock prices follow a random process known as geometric Brownian motion.
Although approximately correct, this model fails to explain the frequent occurrence of extreme price movem...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
Tremor price dynamics in the world's network of stock exchanges
Tremor price dynamics stock exchanges
2010/11/3
We use insight from a model of earth techtonic plate movement to obtain a new understanding of
the build up and release of stress in the price dynamics of the world’s stock exchanges. Nonlinearity en...
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
GCC stock markets oil prices linear and nonlinear analyses
2010/11/1
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...
A queueing theory description of fat-tailed price returns in imperfect financial markets
queueing theory description imperfect financial markets
2010/11/2
In a nancial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investm...
Endogenous Information Acquisition on Opponents' Valuations in Multidimensional First Price Auctions
Multidimensional sealed-bid auctions endogenous information acquisition opponents' valuation profitability
2010/7/2
This paper investigates bidder's covertly behavior of endogenous information acquisition on her opponents' valuations in first price auction model with independent private values, which is the initial...