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STOCK MARKET DYNAMICS

by John Nuttall, John Nuttall , 2006
"... Equity portfolio managers typically convey instructions to their traders in the form of target portfolio weights for the various shares in their portfolio. We present a set of differential equations that allows the calculation of the share prices, number of shares, and value of each manager's p ..."
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driver of share price changes, the influence of index investing on the market, and the origin of the equity premium. We believe that this realistic method could be the basis for a better understanding of how financial markets operate, as compared with the conventional academic approach. In our view

Monetary Policy and Stock Market Dynamics . . .

by Nikiforos T. Laopodis , 2010
"... This paper examines the dynamic linkages between monetary policy and the stock market during the three distinct monetary regimes of Burns, Volcker and Greenspan since the 1970s. Some major findings are the following. First, in the 1990s it appears that there was a disconnection between Federal Reser ..."
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This paper examines the dynamic linkages between monetary policy and the stock market during the three distinct monetary regimes of Burns, Volcker and Greenspan since the 1970s. Some major findings are the following. First, in the 1990s it appears that there was a disconnection between Federal

STOCK MARKET DYNAMICS CREATED BY INTERACTING AGENTS

by Mohamed Riad, Remita, Karl-theodor Eisele
"... We study a stock market model, consisting in a large number of agents, going even-tually to infinity, and evaluate the stock price under the influence of opinions of dif-ferent agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitio ..."
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We study a stock market model, consisting in a large number of agents, going even-tually to infinity, and evaluate the stock price under the influence of opinions of dif-ferent agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase

The effect of stock market dynamics on Internet price competition

by Yong Cao, Thomas S. Gruca - Journal of Service Research , 2003
"... The authors’model of Internet pricing competition shows how differences in switching costs, increasing returns to scale, and discount rates between pure and hybrid etailers affected their choice of pricing objective. During the run-up of Internet stocks, differences in these determinants motivated p ..."
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The authors’model of Internet pricing competition shows how differences in switching costs, increasing returns to scale, and discount rates between pure and hybrid etailers affected their choice of pricing objective. During the run-up of Internet stocks, differences in these determinants motivated

Determinacy, Stock Market Dynamics and Monetary Policy Inertia

by Damjan Pfajfar, Emiliano Santoro Y, Jel E , 2009
"... Abstract. This paper deals with the stability properties of an economy where the Central Bank is concerned with stock market developments. We introduce a Taylor rule reacting to stock price growth rates along with in‡ation and output gap in a New-Keynesian setup. We explore the performance of this r ..."
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Abstract. This paper deals with the stability properties of an economy where the Central Bank is concerned with stock market developments. We introduce a Taylor rule reacting to stock price growth rates along with in‡ation and output gap in a New-Keynesian setup. We explore the performance

ASSET ALLOCATION APPROACH TO UNDERSTANDING STOCK MARKET DYNAMICS

by John Nuttall, John Nuttall , 2006
"... Equity portfolio managers typically convey instructions to their traders in the form of target portfolio weights for the various shares in their portfolio. We present a set of differential equations that allows the calculation of the share prices, number of shares, and value of each manager's p ..."
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driver of share price changes, the influence of index investing on the market, and the origin of the equity premium. We believe that this realistic method could be the basis for a better understanding of how financial markets operate, as compared with the conventional academic approach. In our view

Multifractal Model of Asset Returns versus real stock market dynamics

by J. Kwapień, A. Z. G˙orski , 2006
"... There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Ret ..."
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Returns (MMAR) introduced by Mandelbrot et al. [1] in which multifractality is carried by time deformation. In our study we focus on the Lux extension to MMAR and empirical data from Warsaw Stock Exchange. We show that this model is able to reproduce relevant aspects of the real stock market dynamics. 1.

THE EFFECT OF DIFFERENT NEEDS, DECISION- MAKING PROCESSES AND NETWORK- STRUCTURES ON INVESTOR BEHAVIOR AND STOCK MARKET DYNAMICS: A SIMULATION APPROACH

by Arvid O. I. Hoffmann, Er Jager
"... Striking investor and stock market behaviour have been recurrent items in the worldwide press for the recent past. Crashes and hypes like the Internet bubble are often hard to explain using existing finance frameworks. Therefore, the authors provide a complementing multi-theoretical framework that i ..."
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that is built on existing finance research to describe and explain investor’s behaviour and stock market dynamics. This framework is built on three main components: needs, decision making theory, and (social) network effects. This framework will be used to build a future simulation model of investor behaviour

Trade Intensity in the Russian Stock Market: Dynamics, Distribution and Determinants

by Stanislav Anatolyev, Dmitry Shakin - Applied Financial Economics , 2007
"... We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distribu-tions that allow for skewness and slim-tailed ..."
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-tailedness, adequately captures the characteristics of conditional distribution of durations for Russian stocks, and is able to generate high quality density forecasts. We also analyze what factors determine the dynamics of log-durations and in which way. The results in particular indicate that the Russian market

On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

by Hokky Situngkir, Yohanes Surya
"... We analyze the evolving price fluctuations by using ultrametric distance of minimally spanning financial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transformation of correlation coefficients into the distances among stocks. Our analysis evaluates the pe ..."
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: the evaluation of spectral market movements and intuitively understanding for portfolio management purposes. Keywords: ultrametricity, minimum spanning tree, liquidity, Jakarta Stock Exchange.
Results 1 - 10 of 32,992