scholarly journals A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model

Entropy ◽  
2021 ◽  
Vol 23 (4) ◽  
pp. 484
Author(s):  
Claudiu Vințe ◽  
Marcel Ausloos ◽  
Titus Felix Furtună
Keyword(s):  
Stock Market ◽  
Time Frame ◽  
Data Sets ◽  
Entropy Model ◽  
Daily Data ◽  
Volatility Models ◽  
Derivative Instruments ◽  
Securities Industry ◽  
Time Frames ◽  
Financial Securities

Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of employing the intrinsic entropy model as a substitute for estimating the volatility of stock market indices. Diverging from the widely used volatility models that take into account only the elements related to the traded prices, namely the open, high, low, and close prices of a trading day (OHLC), the intrinsic entropy model takes into account the traded volumes during the considered time frame as well. We adjust the intraday intrinsic entropy model that we introduced earlier for exchange-traded securities in order to connect daily OHLC prices with the ratio of the corresponding daily volume to the overall volume traded in the considered period. The intrinsic entropy model conceptualizes this ratio as entropic probability or market credence assigned to the corresponding price level. The intrinsic entropy is computed using historical daily data for traded market indices (S&P 500, Dow 30, NYSE Composite, NASDAQ Composite, Nikkei 225, and Hang Seng Index). We compare the results produced by the intrinsic entropy model with the volatility estimates obtained for the same data sets using widely employed industry volatility estimators. The intrinsic entropy model proves to consistently deliver reliable estimates for various time frames while showing peculiarly high values for the coefficient of variation, with the estimates falling in a significantly lower interval range compared with those provided by the other advanced volatility estimators.

scholarly journals Inferring Ties in Social IoT Using Location-Based Networks and Identification of Hidden Suspicious Ties

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Nauman Ali Khan ◽  
Sihai Zhang ◽  
Wuyang Zhou ◽  
Ahmad Almogren ◽  
Ikram Ud Din ◽  
...  
Keyword(s):  
Social Networks ◽  
Internet Of Things ◽  
Social Ties ◽  
Social Activity ◽  
Geographical Location ◽  
Real Data ◽  
Time Frame ◽  
Data Sets ◽  
The Social ◽  
Time Frames

Stochastic Internet of Things (IoT)-based communication behavior of the progressing world is tremendously impacting social networks. The growth of social networks helps to quantify the effect on the Social Internet of Things (SIoT). Multiple existences of two persons at several geographical locations in different time frames hint to predict the social connection. We investigate the extent to which social ties between people can be inferred by critically reviewing the social networks. Our study used Chinese telecommunication-based anonymized caller data records (CDRs) and two openly available location-based social network data sets, Brightkite and Gowalla. Our research identified social ties based on mobile communication data and further exploits communication reasons based on geographical location. This paper presents an inference framework that predicts the missing ties as suspicious social connections using pipe and filter architecture-based inference framework. It highlights the secret relationship of users, which does not exist in real data. The proposed framework consists of two major parts. Firstly, users’ cooccurrence based on the mutual location in a specific time frame is computed and inferred as social ties. Results are investigated based upon the cooccurrence count, the gap time threshold values, and mutual friend count values. Secondly, the detail about direct connections is collected and cross-related to the inferred results using Precision and Recall evaluation measures. In the later part of the research, we examine the false-positive results methodically by studying the human cooccurrence patterns to identify hidden relationships using a social activity. The outcomes indicate that the proposed approach achieves comprehensive results that further support the theory of suspicious ties.

scholarly journals The Relevance Of The Expiration-Effect Of Derivative Instruments From Ibex-35 Index On The Stock Market In Spain

2011 ◽  
Vol 2 (4) ◽  
Author(s):  
Lucy Amigo Dobano
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Asset Market ◽  
Steady Growth ◽  
Daily Data ◽  
Derivative Instruments ◽  
Trading Volumes ◽  
The Moment ◽  
Market Indexes ◽  
Do So

The importance of derivative financial instruments is reflected in the steady growth observed in their trading volumes at the worldwide level, from the moment they were first created at the end of the 20thCentury. In this framework, and considering the high grade of correlation among the different sectors of the asset market, we will analyze like it affects the expiration-effect of derivative instruments from the selective ibex-35 spanish index to the rest indexes of the market. To do so, we consider the different segments of the Spanish stock market, as represented by their general and sector indexes with daily data and we verify whether the stock market indexes show returns, volatility and trading volumes on the expiration dates of the derivatives that are significantly different from those observed on the rest of the days of the period. Our analyses indicate that the models of the expiration effect are indeed different among segments, verifying, in general, that this effect only appears in the volume and the returns. With such a focus, the investor could foresee an optimal strategy to make profits and minimize his risk on the stock prices.

Effects of Momentary Affect on Satisfaction Judgments

2020 ◽  
Vol 41 (2) ◽  
pp. 61-67
Author(s):  
Marko Tončić ◽  
Petra Anić
Keyword(s):  
Linear Models ◽  
Time Frame ◽  
Hierarchical Linear Models ◽  
Curvilinear Relationship ◽  
Positive And Negative Affect ◽  
Transient Events ◽  
Time Frames ◽  
Events Data ◽  
Level Satisfaction ◽  
Source Of Information

Abstract. This study aims to examine the effect of affect on satisfaction, both at the between- and the within-person level for momentary assessments. Affect is regarded as an important source of information for life satisfaction judgments. This affective effect on satisfaction is well established at the dispositional level, while at the within-person level it is heavily under-researched. This is true especially for momentary assessments. In this experience sampling study both mood and satisfaction scales were administered five times a day for 7 days via hand-held devices ( N = 74 with 2,122 assessments). Several hierarchical linear models were fitted to the data. Even though the amount of between-person variance was relatively low, both positive and negative affect had substantial effects on momentary satisfaction on the between- and the within-person level as well. The within-person effects of affect on satisfaction appear to be more pronounced than the between-person ones. At the momentary level, the amount of between-person variance is lower than in studies with longer time-frames. The affect-related effects on satisfaction possibly have a curvilinear relationship with the time-frame used, increasing in intensity up to a point and then decreasing again. Such a relationship suggests that, at the momentary level, satisfaction might behave in a more stochastic manner, allowing for transient events/data which are not necessarily affect-related to affect it.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

“The surprise questions” using variable time frames in hospitalized patients with advanced cancer

2021 ◽  
pp. 1-5
Author(s):  
Sun Hyun Kim ◽  
Sang-Yeon Suh ◽  
Seok Joon Yoon ◽  
Jeanno Park ◽  
Yu Jung Kim ◽  
...  
Keyword(s):  
Palliative Care ◽  
Advanced Cancer ◽  
Time Frame ◽  
Hospitalized Patients ◽  
Advanced Cancer Patients ◽  
Multicenter Cohort Study ◽  
Prediction Of Survival ◽  
Sensitivity Specificity ◽  
Surprise Question ◽  
Time Frames

Abstract Objective Several studies supported the usefulness of “the surprise question” in terms of 1-year mortality of patients. “The surprise question” requires a “Yes” or “No” answer to the question “Would I be surprised if this patient died in [specific time frame].” However, the 1-year time frame is often too long for advanced cancer patients seen by palliative care personnel. “The surprise question” with shorter time frames is needed for decision making. We examined the accuracy of “the surprise question” for 7-day, 21-day, and 42-day survival in hospitalized patients admitted to palliative care units (PCUs). Method This was a prospective multicenter cohort study of 130 adult patients with advanced cancer admitted to 7 hospital-based PCUs in South Korea. The accuracy of “the surprise question” was compared with that of the temporal question for clinician's prediction of survival. Results We analyzed 130 inpatients who died in PCUs during the study period. The median survival was 21.0 days. The sensitivity, specificity, and overall accuracy for the 7-day “the surprise question” were 46.7, 88.7, and 83.9%, respectively. The sensitivity, specificity, and overall accuracy for the 7-day temporal question were 6.7, 98.3, and 87.7%, respectively. The c-indices of the 7-day “the surprise question” and 7-day temporal question were 0.662 (95% CI: 0.539–0.785) and 0.521 (95% CI: 0.464–0.579), respectively. The c-indices of the 42-day “the surprise question” and 42-day temporal question were 0.554 (95% CI: 0.509–0.599) and 0.616 (95% CI: 0.569–0.663), respectively. Significance of results Surprisingly, “the surprise questions” and temporal questions had similar accuracies. The high specificities for the 7-day “the surprise question” and 7- and 21-day temporal question suggest they may be useful to rule in death if positive.

scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

scholarly journals Fractional differencing in stock market price and online presence of global tourist corporations

2019 ◽  
Vol 24 (48) ◽  
pp. 194-204 ◽  
Author(s):  
Francisco Flores-Muñoz ◽  
Alberto Javier Báez-García ◽  
Josué Gutiérrez-Barroso
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Market Price ◽  
Google Trends ◽  
Data Sets ◽  
Market Prices ◽  
Content Type ◽  
Search Results ◽  
Online Presence ◽  
Fractional Differencing

Purpose This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google Trends. Design/methodology/approach The study sample is comprised by the companies listed at the STOXX® Global 3000 Travel and Leisure. Google Finance and Yahoo Finance, along with Google Trends, were used, respectively, to obtain the data of stock prices and search results, for a period of five years (October 2012 to October 2017). To guarantee certain comparability between the two data sets, weekly observations were collected, with a total figure of 118 firms, two time series each (price and search results), around 61,000 observations. Findings Relationships between the two data sets are explored, with theoretical implications for the fields of economics, finance and management. Tourist corporations were analyzed owing to their growing economic impact. The estimations are initially consistent with long memory; so, they suggest that both stock market prices and online search trends deserve further exploration for modeling and forecasting. Significant differences owing to country and sector effects are also shown. Originality/value This research contributes in two different ways: it demonstrate the potential of a new tool for the analysis of relevant time series to monitor the behavior of firms and markets, and it suggests several theoretical pathways for further research in the specific topics of asymmetry of information and corporate transparency, proposing pertinent bridges between the two fields.

scholarly journals Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

2013 ◽  
Vol 60 (4) ◽  
pp. 473-497 ◽  
Author(s):  
Kuan-Min Wang ◽  
Hung-Cheng Lai
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Correlation Coefficients ◽  
Bivariate Analysis ◽  
Contagion Effects ◽  
Daily Data ◽  
The Us ◽  
Egarch Model ◽  
Bivariate Egarch Model ◽  
Contagion Risk

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.?s (2005) contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.

scholarly journals Force majeure events and stock market reactions in Ukraine

2019 ◽  
Vol 16 (1) ◽  
pp. 334-345 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun ◽  
Inna Makarenko
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Trading Strategies ◽  
Social Force ◽  
Stock Market Index ◽  
Market Reactions ◽  
Technological Disasters ◽  
Daily Data ◽  
Force Majeure ◽  
Student’S T

This paper examines reactions in the Ukrainian stock market to force majeure events, which are divided into four groups: economic force majeure, social force majeure, terrorist acts, natural and technological disasters. More specifically, using daily data for the main Ukrainian stock market index (namely PFTS) over the period from January 1, to December 31, 2018 this study investigates whether or not force majeure events create (temporary) inefficiencies and there exist profitable trading strategies based on exploiting them. For this purpose, cumulative abnormal returns and trading simulation approaches are used in addition to Student’s t-tests. The results suggest that the Ukrainian stock market absorbs new information rather fast. Negative returns in most cases are observed only on the day of the event. The only exception is technological disasters, the market needing up to ten days to react fully in this case. Despite the presence of a detectable pattern in price behavior after force majeure events (namely, a price decrease on the day of the event) no profitable trading strategies based on it are found as their outcomes do not differ from those generated by random trading.

scholarly journals Wording of Daily Diary Questions Matters: An Investigation of the Effect of Daily Diary Instructional Phrases on Respondents’ Recall Time frames (Preprint)

2019 ◽  
Author(s):  
Arthur A. Stone ◽  
Cheng K. Fred Wen ◽  
Stefan Schneider ◽  
Doerte U. Junghaenel
Keyword(s):  
Medical Science ◽  
Daily Diary ◽  
Time Frame ◽  
Affective States ◽  
Diverse Range ◽  
Daily Experience ◽  
Time Periods ◽  
Waking Up ◽  
Time Frames ◽  
The Impact

BACKGROUND Daily diaries are extensively used for examining participants' daily experience in behavioral and medical science. Whether participants recall their experiences within the time frames prescribed by task has received little attention. OBJECTIVE The objectives of this study are to describe survey respondents' self-reported recall timeframe and to evaluate the impact of different daily diary items on respondents reported affective states. METHODS In this study, 577 participants completed a mood survey with one of four time frame instructions: 1) today, 2) since waking up today, 3) during the last 24 hours, or 4) in the last day. They were also asked to indicate the time periods they considered when answering these items and to recall the instructional phrases associated with the items. RESULTS Almost all participants in the "Today" (97%) and "Since waking up today" (94%)" conditions reported using time periods consistent with our expectations, while a lower proportion was observed in the "during the last 24 hours" (69%) condition. A diverse range of responses was observed in the "In the last day" condition. Furthermore, the instructions influenced the levels of some self-reported affects, although exploratory analyses were not able to identify the mechanism underlying this finding. CONCLUSIONS Overall, these results indicate that "Today" and "Since waking up today" are the most effective instructional phrases for inquiring about daily experience and that investigators should use caution when using the other two instructional phrases.

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