Search results for " stock market."
showing 10 items of 18 documents
Crowd-Averse Robust Mean-Field Games: Approximation via State Space Extension
2016
We consider a population of dynamic agents, also referred to as players. The state of each player evolves according to a linear stochastic differential equation driven by a Brownian motion and under the influence of a control and an adversarial disturbance. Every player minimizes a cost functional which involves quadratic terms on state and control plus a cross-coupling mean-field term measuring the congestion resulting from the collective behavior, which motivates the term “crowd-averse.” Motivations for this model are analyzed and discussed in three main contexts: a stock market application, a production engineering example, and a dynamic demand management problem in power systems. For th…
Romanian Equity Investments and Currency Risk: A Euro-Based Perspective
2021
Abstract This paper assesses the benefits and risks of international investments made on the Romanian stock market, from the perspective of euro-based investors. We investigate the contribution of exchange rate volatility to the total risk of these investments over a period of nine years, between January 2011 and December 2019, by using monthly values for the exchange rate between the Romanian leu and Euro and monthly values of the Romanian stock index. Our findings indicate that, on average, Romanian leu depreciated against euro, causing currency losses for the euro-based investor, counterbalanced by the Romanian index mean return, higher than euro countries index mean return during the pe…
Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35
2001
-Jose.E.Farinos@uv.es -Matilde.Fernandez@uv.es La controversia acerca de si la implantación y negociación de activos derivados afecta a la estabilidad de los respectivos mercados de contado perdura desde hace más de dos décadas. En este trabajo abordamos la problemática anterior desde una nueva perspectiva. Concretamente, analizamos el impacto que sobre la estructura del mercado bursátil ha podido tener la introducción de los mercados de activos derivados sobre el IBEX-35. Para ello, definimos e identificamos la estructura del mercado bursátil para el periodo de estudio, y, a continuación, analizamos el efecto que sobre la misma ha tenido la aparición de los nuevos mercados de derivados. Nu…
Autonomous Operation of Stationary Battery Energy Storage Systems—Optimal Storage Design and Economic Potential
2021
Global warming requires a changeover from fossil fuel based to renewable energy sources on the electrical supply side and electrification of the demand side. Due to the transient nature of renewables and fluctuating demand, buffer capacities are necessary to compensate for supply/demand imbalances. Battery energy storage systems are promising. However, the initial costs are high. Repurposing electric vehicle batteries can reduce initial costs. Further, storage design optimization could significantly improve costs. Therefore, a battery control algorithm was developed, and a simulation study was performed to identify the optimal storage design and its economic potential. The algorithm used is…
Financial crises in Spain: lessons from the last 150 years
2012
Financial crises are not unique to current financial systems. Are crises alike? Have they become more frequent, longer lasting and more severe since the 20th century? What does history tell us? The objective of this paper is to study the financial crises that have occurred in Spain over the last 150 years. We consider different types of crises (banking, currency and stock market crises), together with all their possible combinations, estimate their frequency by period and measure their length and depth. The main conclusion we obtain is that Spanish crises have been more frequent than in the rest of the world and have been more severe and more complex since 1973, as the 2007 crisis is confir…
Akciju tirgus ietekme uz ekonomiku. Specifika un attīstības tendencies.
2021
Promocijas darbā tiek pētīta akciju tirgus ietekme uz ekonomiku S & P 500 indeksa piemērā un makroekonomiskie rādītāji ar pētījumu jautājumu par to, vai akciju tirgu var uztvert kā vienu no vadošajiem ekonomikas barometriem. Teorija novēroja pieejamo literatūru par akciju tirgus darbību, tās līdzīgo attīstību un ekonomiskajiem cikliem, iepriekšējo pētījumu analīzi par akciju tirgus un makroekonomisko rādītāju attiecībām. Analītiskā daļa palīdzēja apkopot ceturkšņa datus starp 2014. -2019. Lai gan empīriskā daļa noslēdz pētījumu ar statistiskiem aprēķiniem. Tādējādi savukārt reālais iekšzemes kopprodukts (IKP) un patēriņa cenu indekss (PCI) ir spēcīgākie pozitīvi korelētie un statistiski noz…
Emerging Market Contagion Under Geopolitical Uncertainty
2019
We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets. peerReviewed
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
Timescale-dependent stock market comovement: BRICs vs. developed markets
2014
This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the U.S. for different return periods. The novelty of the paper is that the stock return indices are decomposed to several timescales using wavelet analysis and that the results are further used as inputs for the dynamic conditional correlation (DCC) framework, which is used as a measure of comovement. The results propose that the level of stock market comovement depends on regional aspects, the level of d…
Skewness in financial returns
1999
Abstract In this paper the symmetry of daily returns is addressed in eight international stock markets and three spot exchange rates. Tests of symmetry with the sample skewness seem of little value, due to the non-normality of the returns. Under alternative non-normal distributions, the symmetry of the returns cannot be rejected for most markets. Distribution-free procedures do not detect strong asymmetries in most of the series either; however, some differences between returns below the mean and returns over the mean are observed in several markets