Prediction of intensity jumps in the behavior of stock prices
Ways to improve stock volatility prediction with prediction of size and density of price jumps for some stocks. Finding of several models those predicted jumps better than historical mean. The best parameter for jump quantity prediction is term spread.
| Рубрика | Банковское, биржевое дело и страхование |
| Вид | дипломная работа |
| Язык | английский |
| Дата добавления | 30.08.2016 |
| Размер файла | 1009,4 K |
Отправить свою хорошую работу в базу знаний просто. Используйте форму, расположенную ниже
Студенты, аспиранты, молодые ученые, использующие базу знаний в своей учебе и работе, будут вам очень благодарны.
HTML-версии работы пока нет.
Cкачать архив работы можно перейдя по ссылке, которая находятся ниже.
Подобные документы
The behavior of traders on financial markets. Rules used by traders to determine their trading policies. A computer model of the stock exchange. The basic idea and key definitions. A program realization of that model. Current and expected results.
реферат [36,7 K], добавлен 14.02.2016Main segments of the financial market: investment, loan, stock, insurance, foreign exchange markets. Top 10 currency traders of overall volume. Internationalization of the national currency. The ratio of US Dollar and Euro against ruble in 2009-2012.
доклад [115,0 K], добавлен 14.12.2013Description of exchange stocks as financial point-of-sale platforms. Description of point-of-sale algorithm of broker trade at the financial market. Parameters of price gaps on financial auctions and optimization of currency point-of-sale algorithms.
контрольная работа [1011,9 K], добавлен 14.02.2016Theoretical basis of long-term loans: concept, types. Characteristics of the branch of Sberbank of Russia. Terms and conditions of lending to households in Sberbank of Russia. Financing of investment projects. Risk - the main problem in the credit market.
реферат [28,0 K], добавлен 17.09.2013Meaning of currency operations and order in relation to the currency of legal entities and individuals. Currency regulation and currency control. Term (forward) operations in foreign currencies. Foreign exchange transactions. The transaction "swap".
курсовая работа [35,0 K], добавлен 22.12.2011The grey market is an over-the-counter market where dealers may execute orders for preferred customers as well as provide support for a new issue before it is actually issued. Sometimes, "dark markets” are referred to as a third type of grey market.
презентация [2,1 M], добавлен 18.12.2013Asian Development Fund. Poverty reduction in Asia and the Pacific. Promotion of pro poor, sustainable economic growth. Supporting social development. Facilitating good governance. Long-term Strategic Framework. Private, financial sector development.
презентация [298,7 K], добавлен 08.07.2013Commercial banks as the main segment market economy. Principles and functions of commercial banks. Legal framework of commercial operation banks. The term "banking risks". Analysis of risks and methods of their regulation. Methods of risk management.
дипломная работа [95,2 K], добавлен 19.01.2014Example of a bond valuing. Bond prices and yields. Stocks and stock market. Valuing common stocks. Capitalization rate. Constant growth DDM. Payout and plowback ratio. Assuming the dividend. Present value of growth opportunities. Sustainable growth rate.
презентация [748,8 K], добавлен 02.08.2013The stock market and economic growth: theoretical and analytical questions. Analysis of the mechanism of the financial market on the efficient allocation of resources in the economy and to define the specific role of stock market prices in the process.
дипломная работа [5,3 M], добавлен 07.07.2013Ensuring access to health care (on the example, Novo Nordisk). Comparison of of different companies: sales growth and margin, ROE, returns stock price. Relationship between ATM index and stock returns. Strategic pillars of the pharmaceutical companies.
презентация [935,7 K], добавлен 18.10.2015Study credit channel using clustering and test the difference in mean portfolio returns. The calculated debt-to-capital, interest coverage, current ratio, payables turnover ratio. Analysis of stock market behavior. Comparison of portfolios’ performances.
курсовая работа [1,5 M], добавлен 23.10.2016Oil prices in the world play an important role in each country’s economy, most of the countries with strong economies are less likely to benefit from low oil prices, as they are bringing less profit, causing more extra spending and environmental problems.
реферат [16,5 K], добавлен 16.11.2010Organization of maintenance and repair of rolling stock. Calculation of the production program of maintenance, the number of posts and lines maintenance and repair. Optimal technology Body Repair. Heating Safety in the workplace when the body work.
дипломная работа [467,1 K], добавлен 18.01.2015The concept of transnational companies. Finding ways to improve production efficiency. International money and capital markets. The difference between Eurodollar deposits and ordinary deposit in the United States. The budget in multinational companies.
курсовая работа [34,2 K], добавлен 13.04.2013Solving the problem of non-stationary time series. Estimating nominal exchange rate volatility ruble/dollar by using autoregressive model with distributed lags. Constructing regressions. Determination of causality between aggregate export and volatility.
курсовая работа [517,2 K], добавлен 03.09.2016Types of Firms. Advantages of sole proprietorships. Disadvantages of sole proprietorships. Disadvantages of partnerships. Advantages of partnerships. Types of Stock. Advantages of Corporations. Disadvantages of Corporations. Forming a Corporation.
презентация [4,6 M], добавлен 29.11.2014Law of nature: "the fittest survive". Price war - one of strategies of companies to become a leader. Determination of a price war, positive and negative effects on firms, customers and the public. Possible tactics. Price war in hotel industry.
реферат [24,9 K], добавлен 27.12.2011Entrepreneurial risk: the origins and essence. The classification of business risk. Economic characteristic of entrepreneurial risks an example of joint-stock company "Kazakhtelecom". The basic ways of the risks reduction. Methods for reducing the risks.
курсовая работа [374,8 K], добавлен 07.05.2013Упражнение на перевод слов и выражений по тексту "Prices and markets". Чтение и перевод текста "Priсe and value". Упражнение на нахождение синонимов и антонимов в тексте "Priсe and value". Упражнение на заполнение пропусков предлогами из текста.
контрольная работа [18,2 K], добавлен 02.05.2010
