scholarly journals Analysis the Determinants of Risk Factor Model for the Jordanian Banking Stocks

2020 ◽  
Vol 7 (12) ◽  
pp. 615-626
Author(s):  
Omar Khlaif GHARAIBEH ◽  
Ali Mustafa AL-QUDAH
2014 ◽  
Vol 14 (2) ◽  
pp. 112-132 ◽  
Author(s):  
Lindsay A. Bornheimer ◽  
Duy Nguyen

2018 ◽  
Vol 29 (9) ◽  
pp. 915-921 ◽  
Author(s):  
Maria Paula L. Coltro ◽  
Ahmet Ozkomur ◽  
Eduardo A. Villarinho ◽  
Eduardo R. Teixeira ◽  
Alvaro Vigo ◽  
...  

2017 ◽  
Vol 8 (3) ◽  
pp. 51 ◽  
Author(s):  
Darrol J. Stanley ◽  
Levan Efremidze ◽  
Jannie Rossouw

We investigate the predictability of an exchange rate with entropy risk factor model, as there is growing evidence that financial markets behave as complex systems. The model is tested on the data of South African Rand (ZAR) exchange rate for the period of 2004-2015. We calculate sample entropy based on the daily data of the exchange rate and conduct empirical implementation of several market timing rules based on these entropy signals. The dynamic investment portfolio based on entropy signals produces better risk adjusted performance than a buy and hold strategy. The returns are estimated on the portfolio values in U.S. dollars. The results raise the potential attractiveness of complex systems analyses, especially the methods of entropy, for foreign exchange market research and applications.


2014 ◽  
Vol 2 (S1) ◽  
Author(s):  
Isabel Krug ◽  
Matthew Fuller-Tyszkiewicz ◽  
Sarah Mitchell ◽  
Fernando Fernandez-Aranda ◽  
Andreas Karwautz ◽  
...  

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