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Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?
Day-of-the-week Disappearance GARCH Model Stock
2016/1/27
This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The...
Order flow dynamics around extreme price changes on an emerging stock market
Order flow dynamics price changes emerging stock market
2010/4/27
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday pri...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
German stock market index daily oil price time series
2010/4/27
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
Numerical simulation of a diffusion type evolutionary stock market model
Behavioral Finance Evolutionary Finance Wealth dynamics
2010/9/14
We adapt the evolutionary stock market model from Evstigneev, Hens, Schenk-Hopp´e (2006) to a continuous time framework, where uncer-tainty in dividends is produced by a single Wiener process. T...