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Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market 备选期权定价模型的实证绩效研究——以法国期权市场为例
Journal of Stock & Forex Trading Pub Date : 2013-07-31 DOI: 10.4172/2168-9458.1000108
Sofiane Aboura
{"title":"Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market","authors":"Sofiane Aboura","doi":"10.4172/2168-9458.1000108","DOIUrl":"https://doi.org/10.4172/2168-9458.1000108","url":null,"abstract":"The mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the martingale restriction, mix two log-normal distributions, and allows either for jump diffusion process or for stochastic volatility. We find that the use of a jump diffusion and stochastic volatility model performs as well as the inclusion of non normal skewness and kurtosis in terms of precision in the option valuation.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124750059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Towards Complexity Adjusted Efficient Market Hypothesis 论复杂性调整的有效市场假说
Journal of Stock & Forex Trading Pub Date : 2013-05-20 DOI: 10.4172/2168-9458.1000E119
S. Basov
{"title":"Towards Complexity Adjusted Efficient Market Hypothesis","authors":"S. Basov","doi":"10.4172/2168-9458.1000E119","DOIUrl":"https://doi.org/10.4172/2168-9458.1000E119","url":null,"abstract":"Copyright: © 2013 Basov S. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Last decades witnessed a rapid development of evolutionary models in different areas of economics. The standard textbooks in evolutionary game theory are [1-2]. In evolutionary models players change their action gradually in response to their realized payoff and the behavior of the others. One advantage of these models is their ability to account explicitly for the interaction between the players. This ability can be of the outmost importance for the modelling of the financial markets. Indeed, [3] reported the following distribution of answers to the question: What first draw your attention to the company? Friend or relative (13%); worked for company (21%); broker (33%); spinoff of successful company (2%); someone involved with a company (3%); IPO-publicity (2%); periodicals-newspapers (6%); customer of a company (2%); stock was inherited or a gift (2%); performance of a similar company (0%); other (18%). Note that 19% of customers were attracted simply by word of mouth communication, while highly relevant factors (4) and (10) counted only for 2%. This means that social learning can be potentially important for the stock price behavior.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131723770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do IPO Portfolios Improve the Investment Opportunity Set? Evidence from Chinese A-share Market IPO投资组合是否改善了投资机会集?证据来自中国a股市场
Journal of Stock & Forex Trading Pub Date : 2013-03-29 DOI: 10.4172/2168-9458.1000106
Haizheng Yang, Chuzhao Wang, Suxiao Li
{"title":"Do IPO Portfolios Improve the Investment Opportunity Set? Evidence from Chinese A-share Market","authors":"Haizheng Yang, Chuzhao Wang, Suxiao Li","doi":"10.4172/2168-9458.1000106","DOIUrl":"https://doi.org/10.4172/2168-9458.1000106","url":null,"abstract":"This paper aims to examine whether the mean-variance frontier generated by benchmark portfolios can be expanded by adding all sorts of IPO portfolios, thus the investors can get improvement in investment opportunity sets. To form the benchmark portfolios, firstly, we investigate the factors which capture the cross-sectional variation in average monthly stock returns on Chinese main board A-share market from 1999 to 2010, and the result shows that BE/ME (book-to-market equity) and liquidity have the most significant power to explain the stock returns by using univariate sorting test, univariate and multivariate cross-sectional regressions methods. Then using spanning and step-down procedure, we come to some significant conclusions: in the short run, industrial IPO portfolios of medicine industry can significantly expand the mean-variance frontier; in the long run, industrial IPO portfolios with rag trade, transportation industry, metal industry and all stocks have the ability to improve the investment opportunity sets for mean-variance investors. The outcome has a vital implication for both financial institutions and investors.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125112241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exchange rate forecast: a note 汇率预测:注意事项
Journal of Stock & Forex Trading Pub Date : 2013-01-07 DOI: 10.4172/2168-9458.1000E120
Wong Hock Tsen
{"title":"Exchange rate forecast: a note","authors":"Wong Hock Tsen","doi":"10.4172/2168-9458.1000E120","DOIUrl":"https://doi.org/10.4172/2168-9458.1000E120","url":null,"abstract":"The exchange rate forecast is an important topic in international finance especially after the breakdown of the Bretton Woods system in 1973. Firms that involve in international business need to know the future exchange rate for various and accurate decision making in firms such as financing, investing and hedging. An accurate exchange rate forecast is not only important to firms involved in international business but also to households, governments and international organisations engage in international transaction [1]. Nonetheless, exchange rate forecast is not an easy task. An accurate forecast is unlikely to be obtained. There is no single forecasting method that is superior for obtaining accurate exchange rate all the time and for different exchange rate. Generally, exchange rate forecast methods can be classified according to technical forecasting, fundamental forecasting, marketbased forecasting, machine-learning based forecasting and mixed forecasting. Technical forecasting inspects the exchange rate history or studies the chart of exchange rate to find pattern that may recurrent in the future. Fundamental forecasting examines the relationship between exchange rate and other variable or investigates the intrinsic value of the exchange rate. Market-based forecasting explores the expectation of the market on the future exchange rate. Machine-learning based forecasting involves forecasting by using artificial neural network, which data are assumed to be non-linear [2]. Mixed forecasting is a composite of two or more methods. The same or different weight can be assigned to each method in mixed forecasting.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122482306","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
To Study the Effect of Solvent on the Synthesis of Novel Quinoxaline Derivatives 研究溶剂对合成新型喹诺啉衍生物的影响
Journal of Stock & Forex Trading Pub Date : 2012-10-31 DOI: 10.4172/SCIENTIFICREPORTS.408
M. MorePoonam
{"title":"To Study the Effect of Solvent on the Synthesis of Novel Quinoxaline Derivatives","authors":"M. MorePoonam","doi":"10.4172/SCIENTIFICREPORTS.408","DOIUrl":"https://doi.org/10.4172/SCIENTIFICREPORTS.408","url":null,"abstract":"","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127089279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Swelling of Extremities in a Toddler: Primary Lymphedema? 幼儿四肢肿胀:原发性淋巴水肿?
Journal of Stock & Forex Trading Pub Date : 2012-10-28 DOI: 10.4172/SCIENTIFICREPORTS.407
G. Leticia
{"title":"Swelling of Extremities in a Toddler: Primary Lymphedema?","authors":"G. Leticia","doi":"10.4172/SCIENTIFICREPORTS.407","DOIUrl":"https://doi.org/10.4172/SCIENTIFICREPORTS.407","url":null,"abstract":"Background: Primary lymphedema is a rare disorder, affecting mainly pediatric patients. It results from maldevelopment of the lymphatic vasculature. Its differential diagnosis is wide and includes secondary lymphedema (the most frequent), and several syndromes. Methods: We report the case of an 8 months old girl who presents primary Lymphedema, and we review the literature published on the topic. Conclusions: Diagnosis of primary lymphedema might be difficult since several syndromes might present swelling. We have recently diagnosed a case of primary Lymphedema. Since it is a pretty rare disorder we find it interesting for the scientific community, to learn about it. Besides, our two new contributions are the possibility of performing nuclear medicine before magnetic resonance or computed tomography, avoiding sedation and risk associated, and the accurate diagnosis made by an adult-specialized Nuclear Medicine Service, avoiding the inconvenience of going to a Pediatric Centre which might be far in distance.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124528255","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Forecasting Exchange Rates using Leading Economic Indicators 利用领先经济指标预测汇率
Journal of Stock & Forex Trading Pub Date : 2012-10-24 DOI: 10.4172/SCIENTIFICREPORTS.402
Palombizio Ennio
{"title":"Forecasting Exchange Rates using Leading Economic Indicators","authors":"Palombizio Ennio","doi":"10.4172/SCIENTIFICREPORTS.402","DOIUrl":"https://doi.org/10.4172/SCIENTIFICREPORTS.402","url":null,"abstract":"","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121376807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 24
Analysis and Characterization of Algal Oil by Using Different Chromatographic Techniques for the Higher Production of Biodiesel from Scenedesmus Dimorphus Algal Species 用不同色谱技术分析和表征海藻油以提高双形态藻生物柴油的产量
Journal of Stock & Forex Trading Pub Date : 2012-09-28 DOI: 10.4172/SCIENTIFICREPORTS.404
C. S. Gulab
{"title":"Analysis and Characterization of Algal Oil by Using Different Chromatographic Techniques for the Higher Production of Biodiesel from Scenedesmus Dimorphus Algal Species","authors":"C. S. Gulab","doi":"10.4172/SCIENTIFICREPORTS.404","DOIUrl":"https://doi.org/10.4172/SCIENTIFICREPORTS.404","url":null,"abstract":"A constant rising worldwide demand of motor and power generation fuels, together with environmental concerns in terms of Green House Gases (GHG), has motivated the scientists and technologists to think about various alternate sources of energy [1]. With the increasing amount of waste originating from human activities comes the negative impact on the environment and in particular the water quality. Waste streams, which are rich in car-bon, nitrogen and other minerals, have potential for use as a substrate for microalgae cultivation [2,3]. Biodiesel is derived from the transesterification of mono-, diand tri-acyl-glycerides (TAGs) and the esterification of free fatty acids (FFAs) that occur naturally in biological lipids, such as animal fats and plant oils. As a result, biodiesel has the potential to be a carbon neutral fuel [4-6].","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121566773","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Volatility in Macroeconomics 宏观经济的波动性
Journal of Stock & Forex Trading Pub Date : 2012-08-22 DOI: 10.4172/2168-9458.1000E115
Sajjadur Rahman
{"title":"Volatility in Macroeconomics","authors":"Sajjadur Rahman","doi":"10.4172/2168-9458.1000E115","DOIUrl":"https://doi.org/10.4172/2168-9458.1000E115","url":null,"abstract":"Copyright: © 2012 Rahman S. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Volatility has gained lots of attention in finance literature, as, for example, in studies of the relation between stock market returns and risk, but it has been a much lower priority for applied macroeconomists. In general, the existing macroeconometrics research is concerned mainly with the first moment (or mean) of the variables, while systematically ignoring the second moment (or variance). However, a correct specification of variance is still important for two reasons, as is explained by Hamilton and Herrera [1]. First, the test of hypothesis under misspecified variance is invalid. Second, it is possible to improve the efficiency of the conditional mean estimates by incorporating the observed feature of heteroscedasticity into the estimation process.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131806663","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Liquidity and Asset Prices 流动性与资产价格
Journal of Stock & Forex Trading Pub Date : 2012-08-21 DOI: 10.4172/2168-9458.1000E112
V. Polimenis
{"title":"Liquidity and Asset Prices","authors":"V. Polimenis","doi":"10.4172/2168-9458.1000E112","DOIUrl":"https://doi.org/10.4172/2168-9458.1000E112","url":null,"abstract":"Even though, due to advances in asset pricing theory, we are now endowed with a solid set of theories that allow us to value assets under an increasingly realistic set of assumptions, we still don’t have a good understanding of the relation between liquidity and asset prices. This probably has to do with the elusive nature of the concept of liquidity which prevents the emergence of a pragmatic functional relationship with the values of assets. Yet, there are many instances that illiquidity or lack of marketability may play a significant factor in the determination of asset prices. Such issues are for example important in valuing privately held companies, Rule 144 restrictions, or even valuing sovereign assets in financial distress. Here we review some important and recent advances in the area of pricing illiquid or nonmarketable assets.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131688180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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