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How news affect the trading behavior of different categories of investors in a financial market
Firm-specific news News sentiment Trading Single investors
2012/9/14
We investigate the trading behavior of a large set of single investors trad-ing the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and ...
Agent's Strategic Behavior and Risk Sharing Inefficiency
Optimal risk sharing equilibrium pricing risk sharing games formation of financial markets Nash equilibrium in risk sharing oligopoly nancial markets.
2012/9/14
We consider the market ofn nancial agents who aim to increase their expected utilities by sharing their random incomes. Given the optimal sharing rules,we address the situation where agents do not sha...
Characterizing price index behavior through fluctuation dynamics
price index behavior fluctuation dynamics Statistical Finance
2012/6/4
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets...
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Durbin-Watson statistic first-order autoregressive process Statistical test for serial correlation
2011/7/25
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Properties Fluctuations Check Market Behavior
2010/11/1
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical ...
Corporate Manager’s Behavior Restriction Model
Ownership Structure Investor Protection and Manager’s Behavior Restriction
2007/4/9
The issues of investor protection and manager’s behavior restriction have been discussed since the naissance of corporation. This paper will demonstrate the following basic hypothesis by a simple mode...