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Relationship between Market Orientation and Corporate Social Responsibility with special reference to Sri Lankan Financial Sector
Market orientation customer orientation competitor orientation
2011/6/1
It is the role of the marketers to add value to the customers by identifying and fulfilling the needs and expectations of their customers.
Foreign Exchange Market and Monetary Management in Nigeria
price exchange rate monetary policy instruments money supply monetary management
2011/6/1
The main objective of this paper is to provoke some thoughts on the foreign exchange market and monetary management in Nigeria.
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Market dynamics financial shocks
2010/10/20
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a pe...
The nature of price returns during periods of high market activity
price returns periods market activity
2010/10/22
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...
Is high-frequency trading inducing changes in market microstructure and dynamics?
financial markets algorithmic trading self-similarity
2010/10/20
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/12/6
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market
Intraday data heterogeneous autoregressive model
2010/12/6
In this study, we evaluate the quantile forecasts of the daily equity returns on three of the most liquid stocks traded on the Prague Stock Exchange. We follow the recent findings that consider the po...
Capital allocation for credit portfolios under normal and stressed market conditions
Capital allocation credit portfolios normal stressed market conditions
2010/10/21
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of ...
Comparing Prediction Market Structures, With an Application to Market Making
Market Structures Application Market Making
2010/10/21
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but the...
Stock market performance of computer software firms across multiple periods
Abnormal Stock Returns Blockbuster Computer Software Industry Analysis
2010/10/18
Stock market volatility has been omnipresent in the information technology sector. This
manuscript compares the stock performance of computer software companies across six different
twenty-month per...
Market response to policy initiatives during the globalfinancial crisis
Crisis Announcements Interbank Financial Policy Event
2014/3/13
This paper examines the impact of macroeconomic andfinancial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan on interbank credit and liquidity risk premi...
Outperforming the Market Portfolio with a Given Probability
Market Portfolio Given Probability
2010/10/20
Our goal is to resolve a problem proposed by Karatzas and Fernholz (2008): Characterizing the minimum amount of initial capital that would guarantee the investor to beat the market portfolio with a c...
Target market risk evaluation
Risk market entry investment evaluation Discounted Cash Flow
2010/10/21
After the shocking series of bankruptcies started in 2008, the public does not trust anymore the classical methods of assessing business risks. The global economic severe downturn caused demand for bo...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...