Journal articles: 'Capital markets – Computer simulation'

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Hirano, Masanori, Kiyoshi Izumi, Takashi Shimada, Hiroyasu Matsushima, and Hiroki Sakaji. "Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations." Journal of Risk and Financial Management 13, no. 4 (April 17, 2020): 75. http://dx.doi.org/10.3390/jrfm13040075.

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In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabilization effect on financial markets. To assess impacts such as destabilizing effects, we conducted simulations of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading agents. Both portfolio trading agents had trading strategies incorporating Markowitz’s portfolio optimization. Additionally, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as each trader’s strategy stabilizes markets, and CAR regulation destabilizes markets in various aspects. These results show that CAR regulation can have negative effects on asset markets. As future work, we should confirm these effects empirically and consider how to balance between both positive and negative aspects of CAR regulation.

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Zhang, Ming-Heng, and Qian-Sheng Cheng. "Gaussian mixture modelling to detect random walks in capital markets." Mathematical and Computer Modelling 38, no. 5-6 (September 2003): 503–8. http://dx.doi.org/10.1016/s0895-7177(03)90022-7.

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Musaev, Alexander, and Dmitry Grigoriev. "Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets." Computation 9, no. 8 (August 2, 2021): 88. http://dx.doi.org/10.3390/computation9080088.

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In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoretical basis to asset management strategies that estimate an asset’s price via regression, taking into account its correlated assets in various markets. Furthermore, we provide a way to increase the estimate quality using an evolutionary algorithm.

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Wang, Minggang, Chenyu Hua, and Hua Xu. "Dynamic Linkages among Carbon, Energy and Financial Markets: Multiplex Recurrence Network Approach." Mathematics 10, no. 11 (May 26, 2022): 1829. http://dx.doi.org/10.3390/math10111829.

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It has become a hot issue to integrate the carbon market, energy market, and financial market into one system and explore the relationship among them. Considering that the carbon market, energy market, and financial market all have chaotic characteristics to varying degrees, this paper proposes a theoretical framework to study the linkage relationship among the three markets on the basis of the method of the Multiplex recurrence network. Firstly, we built a multiplex recurrence network of carbon-energy-financial market. Then, based on the connection relationship among nodes of the recurrence network of each market, the degree distribution of nodes of each market, and the information entropy theory, we put forward several metric indicators to explore the correlativity and mutual guidance relation among carbon market, energy market and financial market from micro and macro perspectives. Using the data generated by the deterministic system, the effectiveness of the defined index was confirmed by numerical simulation. The empirical analysis of the carbon market, energy market, and financial market revealed the evolution process of the increasingly close connection between the three markets, and we found that the carbon market plays an increasingly important role in the world capital market system. Based on the research results, we propose some suggestions for market decision-makers, enterprises, and investors.

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Brătian, Vasile, Ana-Maria Acu, Camelia Oprean-Stan, Emil Dinga, and Gabriela-Mariana Ionescu. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion." Mathematics 9, no. 22 (November 22, 2021): 2983. http://dx.doi.org/10.3390/math9222983.

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In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, from January 2011 to December 2020. The main contribution of this work is determining whether these markets are efficient (as defined by the EMH), in which case the appropriate stock indexes dynamic equation is the GBM, or fractal (as described by the FMH), in which case the appropriate stock indexes dynamic equation is the GFBM. In this paper, we consider two methods for calculating the Hurst exponent: the rescaled range method (RS) and the periodogram method (PE). To determine which of the dynamics (GBM, GFBM) is more appropriate, we employed the mean absolute percentage error (MAPE) method. The simulation results demonstrate that the GFBM is better suited for forecasting stock market indexes than the GBM when the analyzed markets display fractality. However, while these findings cannot be generalized, they are verisimilar.

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LIEBREICH, J. "INFLUENCE OF FINITE CAPITAL IN THE CONT–BOUCHAUD-MODEL FOR MARKET FLUCTUATIONS." International Journal of Modern Physics C 10, no. 07 (October 1999): 1317–25. http://dx.doi.org/10.1142/s0129183199001078.

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Introducing a finite capital of the shareholders in the Cont–Bouchaud-model leads to a partially realistic wealth distribution for middle positions in the wealth hierarchy. However, the number of poor shareholders is too small and the capitals of the wealthiest ones are too low. Also variation of the simulation time, of the activity and consideration of the fundamentalists' influence does not give data in agreement with reality.

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Catalin, Popa. "The Major Determinants of International Financial Markets’ Functional Efficiency." Scientific Bulletin of Naval Academy XIX, no. 1 (July 15, 2018): 168–72. http://dx.doi.org/10.21279/1454-864x-18-i1-028.

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The financial market dynamics as part of International Monetary and Financial System (IMFS), become very relevant and important at least due to the last two last decades experiences, when the excessive diversification, the lack of regulation and weaker monitoring policy implementation have marked on negative manner the market game, disrespecting the economic rationales on regional and global level. On the present paperwork, the authors have aimed to describe the most relevant functional determinants of the market efficiency, with the reference of market value assessment, risk diversification tendencies and capital allocation process. Following the proposed theoretical model comprising the market efficiency variables, the article conclusions are focused on functional depiction of International Monetary and Financial System dynamics and its sensibilities related to the market game and speculations.

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NI, JINLAN, and DEEPAK KHAZANCHI. "INFORMATION TECHNOLOGY INVESTMENT DECISIONS UNDER ASYMMETRIC INFORMATION: A MODIFIED RATIONAL EXPECTATION MODEL." International Journal of Information Technology & Decision Making 08, no. 01 (March 2009): 55–72. http://dx.doi.org/10.1142/s0219622009003260.

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In this paper, we propose that information technology (IT) managers make investment decisions about new IT initiatives based on a modified rational expectation model. Unlike traditional rational expectation models, we emphasize the relevance of market uncertainty and its impact on the return of new IT investment. This results in information acquisition decisions by managers that can cause information asymmetry. This information asymmetry is endogenous and so the IT manager can become well informed if and only if it is beneficial to do so. We also capture different levels of IT investment across managers by introducing heterogeneity across managers in terms of different levels of initial capital. Based on a simulation analysis to validate our theoretical model, we find that it is the IT manager with larger initial capital outlay who is particularly interested in acquiring information about their IT investments in order to reduce any asymmetry with competitors. Furthermore, we find that holding other things constant, fewer IT investors are informed when information cost increases and in consequence the difference of investment level between the informed and uninformed investors is more pronounced.

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Kumar, N. Satheesh. "Increasing the Cruise Range and Reducing the Capital Cost of Electric Vehicles by Integrating Auxiliary Unit with the Traction Drive." International Journal of Vehicular Technology 2016 (February 10, 2016): 1–11. http://dx.doi.org/10.1155/2016/7617692.

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Poor cruise performance of Electric Vehicles (EVs) continues to be the primary reason that impends their market penetration. Adding more battery to extend the cruise range is not a viable solution as it increases the structural weight and capital cost of the EV. Simulations identified that a vehicle spends on average 15% of its total time in braking, signifying an immense potential of the utilization of regenerative braking mechanism. Based on the analysis, a 3 kW auxiliary electrical unit coupled with the traction drive during braking events increases the recoverable energy by 8.4%. In addition, the simulation revealed that, on average, the energy drawn from the battery is reduced by 3.2% when traction drive is integrated with the air-conditioning compressor (an auxiliary electrical load). A practical design solution of the integrated unit is also included in the paper. Based on the findings, it is evident that the integration of an auxiliary unit with the traction drive results in enhancing the energy capturing capacity of the regenerative braking mechanism and decreases the power consumed from the battery. Further, the integrated unit boosts other advantages such as reduced material cost, improved reliability, and a compact and lightweight design.

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Bateman, Richard J., and Kai Cheng. "Devolved Manufacturing." Concurrent Engineering 10, no. 4 (December 1, 2002): 291–98. http://dx.doi.org/10.1177/a032012.

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Recent changes in the product creation process have shown reductions in design and manufacturing time and costs due to the introduction of new manufacturing philosophies, and computer based methods. Major improvements have also been found in the distribution phase by use of sophisticated logistic scheduling and monitoring systems. However reductions in delivery costs and times look set to be reversed by increasing congestion on road/rail/air routes. The growth of the Internet and World Wide Web has created new opportunities and most organizations are introducing some form of e-commerce. The term e-manufacturing is now being used to describe attempts to optimize the use of manufacturing facilities by allowing interaction with, and control of, these facilities from geographically distant locations, typically using the Internet/www as the communication medium. This approach uses the conventional 'model' of manufacturing. Although the removal of some problems - e.g. those due to time-zones or language - can lead to performance gains, problems associated with delivery remain due to the increased distances to customers. In order to overcome the inherent limitations of the conventional approach and create true e-manufacture, a new approach is required which utilizes existing and emergent technologies to devolve the manufacturing process closer to the customer and thus avoid long distance distribution problems. Possible benefits of this approach include the potential for true mass customization ('individualization'), elimination of logistical problems, reduction of waste and requirements for working capital, and the creation of new global markets.

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MATEOS-ESPEJEL, ENRIQUE, THEODORE RADIOTIS, and NACEUR JEMAA. "Implications of converting a kraft pulp mill to a dissolving pulp operation with a hemicellulose extraction stage." TAPPI Journal 12, no. 2 (March 1, 2013): 29–38. http://dx.doi.org/10.32964/tj12.2.29.

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Global demand for dissolving pulp has been increasing at a remarkable pace over the last few years. A shortage in cotton and the expansion of the textile, hygiene, and health product markets are behind this booming demand. The Canadian pulp and paper industry has entered these markets by converting several paper-grade pulp mills to dissolving pulp producers. In the kraft process, part of the hemicellulose remains with the pulp after cooking and the rest is burnt in the recovery boiler to produce energy. In dissolving pulp mills, most of the hemicellulose must be removed from the wood chips in a pre-hydrolysis stage before pulping. Hemicellulose hydrolysis and its subsequent extraction will affect energy and chemical balances. In addition, the new operation will require large capital expenditures. The objective of this work was to study the conversion of a kraft pulp mill to a dissolving pulp operation and the extraction of hemicelluloses from the process. The effects of hemicellulose extraction on mill energy balance, equipment requirements, and new operating conditions were analyzed. Computer simulations of the process and thermal pinch analysis were used. The existing bottlenecks (digesters, lime kiln, and recovery boiler) to increasing the dissolving pulp production capacity were identified before and after the conversion. In addition, energy efficiency measures were identified to decrease the energy consumption of the new process.

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Panagiotakopoulos, Theordoros, George-Rafael Domenikos, and Alexander V. Mantzaris. "Exploring Simulated Residential Spending Dynamics in Relation to Income Equality with the Entropy Trace of the Schelling Model." Mathematics 10, no. 18 (September 13, 2022): 3323. http://dx.doi.org/10.3390/math10183323.

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The Schelling model of segregation has provided researchers with a simple model to explore residential dynamics and their implications upon the spatial distribution of resident identities. Due to the simplicity of the model, many modifications and extensions have been produced to capture different aspects of the decision process taken when residents change locations. Research has also involved examining different metrics for track segregation along the trace of the simulation states. Recent work has investigated monitoring the simulation by estimating the entropy of the states along the simulation, which offers a macroscopic perspective. Drawing inspiration from empirical studies which indicate that financial status can affect segregation, a dual dynamic for movements based on identity and financial capital has been produced so that the expenditure of a monetary value occurs during residential movements. Previous work has only considered a single approach for this dynamic and the results for different approaches are explored. The results show that the definition of the expenditure dynamic has a large effect on the entropy traces and financial homogeneity. The design choice provides insight for how the housing market can drive inequality or equality.

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LI, JIANPING, JICHUANG FENG, and JIANMING CHEN. "A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS." International Journal of Information Technology & Decision Making 08, no. 04 (December 2009): 727–47. http://dx.doi.org/10.1142/s0219622009003727.

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Following the Basel II Accord, with the increased focus on operational risk as an aspect distinct from credit and market risk, quantification of operational risk has been a major challenge for banks. This paper analyzes implications of the advanced measurement approach to estimate the operational risk. When modeling the severity of losses in a realistic manner, our preliminary tests indicate that classic distributions are unable to fit the entire range of operational risk data samples (collected from public information sources) well. Then, we propose a piecewise-defined severity distribution (PSD) that combines a parameter form for ordinary losses and a generalized Pareto distribution (GPD) for large losses, and estimate operational risk by the loss distribution approach (LDA) with Monte Carlo simulation. We compare the operational risk measured with piecewise-defined severity distribution based LDA (PSD-LDA) with those obtained from the basic indicator approach (BIA), and the ratios of operational risk regulatory capital of some major international banks with those of Chinese commercial banks. The empirical results reveal the rationality and promise of application of the PSD-LDA for Chinese national commercial banks.

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Jeon, Seung-Woo, Donggun Lee, Seog-Chan Oh, Kyu-Tae Park, Sang-Do Noh, and Jorge Arinez. "Design and Implementation of Simulation-Based Scheduling System with Reinforcement Learning for Re-Entrant Production Lines." Machines 10, no. 12 (December 6, 2022): 1169. http://dx.doi.org/10.3390/machines10121169.

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Recently, manufacturing companies have been making efforts to increase resource utilization while ensuring the flexibility of production lines to respond to rapidly changing market environments and customer demand. In the high-tech manufacturing industry, which requires expensive manufacturing facilities and is capital-intensive, re-entrant production lines are used for efficient production with limited resources. In such a production system, a part visits a specific station repeatedly during the production period. However, a re-entrant production line requires an appropriate scheduling system because other parts with different processing requirements are processed at the same station. In this study, a re-entrant production line was modeled as a manufacturing environment via simulation, and an adaptive scheduling system was developed to improve its operational performance by applying deep reinforcement learning (DRL). To achieve this, a software architecture for integrating DRL with the simulation was developed and the states, actions, and rewards of the reinforcement learning (RL) agent were defined. Moreover, a discrete-event simulation control module was designed to collect data from the simulation model and evaluate the policy network trained via DRL. Finally, the applicability and effectiveness of the developed scheduling system were verified by conducting experiments on a hypothetical re-entrant production line.

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Xu, Lei, Qiuyu Tang, Liang Xu, and Hanjie Yang. "Research on the Innovation-Driving Mechanism for the Synergistic Development of Two-Way FDI in China’s Manufacturing Industry: Based on the Perspective of the New Development Pattern of “Dual Circulation”." Systems 11, no. 1 (December 30, 2022): 17. http://dx.doi.org/10.3390/systems11010017.

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The new pattern of “dual circulation” is a new development model for China to seek mutual promotion between international and domestic markets in the new era. In this context, this paper explores the synergistic relationship between two-way FDI and its impact mechanism on the improvement of China’s manufacturing innovation capability. By taking 27 segments of the Chinese manufacturing industry as data samples from 2003 to 2018, we use the Granger cause, orthogonalized impulse response function, and physical capacity coupling system to verify the two-way FDI synergistic development relationship in the Chinese manufacturing industry and measure its degree of synergy. In addition, we empirically explore the mediating role of industrial structure upgrading in the impact of two-way FDI synergistic development on innovation capability in the Chinese manufacturing industry, and further analyze the industrial heterogeneity of this mediating role among labor-intensive, capital-intensive, and technology-intensive manufacturing segments. The study finds that firstly, there are different degrees of synergistic development in the Chinese manufacturing segments, and this synergistic development significantly contributes to the innovation capability and industrial structure upgrading of the Chinese manufacturing industry. Secondly, industrial structure upgrading of the Chinese manufacturing industry plays an essential mediating effect in the innovation-driving process of the two-way FDI synergistic development, and the mediating effect shows significant industrial heterogeneity. More specifically, the mediating effects in labor-intensive and technology-intensive industries are significantly positive, and the mediating effect in technology-intensive industries is more prominent. However, the mediating effect in capital-intensive industries is significantly negative. The paper provides empirical evidence to clarify the innovation-driving mechanism of the two-way FDI synergistic development in China’s manufacturing industry from the perspective of the new development pattern of “dual circulation” and provides valuable references for research in related fields.

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MOON, GISUNG, and LOUIS A. LeBLANC. "The Risk Adjustment of Required Rate of Return for Supply Chain Infrastructure Investments." Transportation Journal 47, no. 1 (January 1, 2008): 5–16. http://dx.doi.org/10.5325/transportationj.47.1.0005.

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Abstract The purpose of this article is to apply a risk-adjusted required rate of return to evaluate supply chain capital investments. As part of the design methodology, a computer simulation provides expected cash flows resulting from alternative supply chain investments. These cash flows are discounted at a risk-adjusted required rate of return. The analysis represents a process to measure the risk inherent in supply chain investments. The logistics and supply chain literature has not addressed this problem of the risk inherent in a specific supply chain project. A corporate-wide hurdle rate applied to usually conservative supply chain investments may result in less than adequate investments in supply chain infrastructure. Prior studies have determined risk-adjusted required rate of return for the entire firm, an enterprise's entire supply chain network, but not an individual project within the supply chain. This study calculates a required rate of return for a specific supply chain investment project using a discrete simulation model rather than the more common mathematical model. Individual supply chain investment projects may have less risk or possibly more risk than reflected by a corporate hurdle rate or a supply chain hurdle rate. Using a standard required rate of return could result in too little or too much investment in supply chain facilities. In this study, when the risk-adjusted rate was employed to discount expected cash flows, only two of eleven alternatives evaluated were acceptable investments. The best investment with the highest return was a 12 percent increase in ship loading rate combined with a 33 percent increase in rail unloading capacity. It provided a benefit-cost ratio of 1.25. The limited availability of publicly traded firms that invest in supply chain projects represents a constraint, limiting the accuracy of estimating the market risk factor. Nevertheless, the practical implication is that, when making supply chain infrastructure investment decisions, it is advisable to adjust risk factors in evaluating such capital investments. This approach is preferable to using a corporate-wide hurdle rate, typically too high for such conservative investments. A firm-wide hurdle rate might result in under investment in supply chain facilities.

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Picot, Arnold, Christine Bortenlaenger, and Heiner Roehrl. "The Automation of Capital Markets." Journal of Computer-Mediated Communication 1, no. 3 (June 23, 2006): 0. http://dx.doi.org/10.1111/j.1083-6101.1995.tb00170.x.

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Kirmse, Sebastian, Robert J. Cloutier, and Kuang-Ting Hsiao. "A Comprehensive Commercialization Framework for Nanocomposites Utilizing a Model-Based Systems Engineering Approach." Systems 9, no. 4 (November 23, 2021): 84. http://dx.doi.org/10.3390/systems9040084.

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Nanocomposites provide outstanding benefits and possibilities compared to traditional composites but struggle to make it into the market due to the complexity and large number of associated challenges involved in, as well as lack of standards for, nanocomposite commercialization. This article proposes a commercialization framework utilizing market analysis and systems engineering to support the commercialization process of such high technologies. The article demonstrates the importance and usefulness of utilizing Model-Based Systems Engineering throughout the commercialization process of nanocomposite technologies when combining it with the Lean LaunchPad approach and an engineering analysis. The framework was validated using a qualitative research method with a case study approach. Applying this framework to a nanocomposite, called ZT-CFRP technology, showed tremendous impacts on the commercialization process, such as reduced market and technological uncertainties, which limits the commercialization risk and increases the chance for capital funding. Furthermore, utilizing the framework helped to decrease the commercialization time and cost due to the use of a lean engineering analysis. This framework is intended to assist advanced material-based companies, material scientists, researchers and entrepreneurs in academia and the industry during the commercialization process by minimizing uncertainties and risks, while focusing resources to reduce time-to-market and development costs.

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Tang, Enlin, and Song Xu. "Pricing of Embedded Options in Bank Deposits and Loans Based on Jump-Diffusion Interest Rate Model." Complexity 2021 (May 15, 2021): 1–15. http://dx.doi.org/10.1155/2021/9975536.

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The marketization of interest rate is an inevitable requirement for China’s financial reform and joining the WTO to connect with the international financial market. It is also an important link to improve the marketization degree of China’s financial system. The marketization of interest rate in China is gradually advancing according to its preset mode. In the process of interest rate marketization, an unavoidable problem is that while the interest rate marketization gives the commercial banks the autonomy of capital pricing, the fluctuation of interest rate is more and more frequent. However, due to the fluctuation of interest rate, the loan as the main assets of commercial banks will be prepayed by borrowers, and the time deposit as the main liabilities of commercial banks will be withdrawn by depositors in advance; that is, embedded options are implied in asset liability items, which makes it difficult for commercial banks to accurately calculate the actual interest margin of deposits and loans and manage the interest rate risk. Therefore, it is of great significance to identify and price such embedded option value. On the basis of identifying and decomposing the embedded options in deposit and loan of commercial banks, according to the change characteristics of deposit and loan interest rate of Chinese commercial banks, this paper chooses jump-diffusion interest rate model to describe the change of benchmark interest rate of deposit and loan in China and demonstrates the advantages of this model compared with other models. Based on Monte Carlo simulation technology, the embedded options of five-year fixed deposit and ten-year prepayable loan in China are priced. On this basis, it points out that the real interest margin of commercial bank’s deposit and loan should be the nominal interest margin minus the value of deposit and loan’s embedded options. In the process of interest rate risk management, we should pay attention to the existence of embedded options and carry out effective management.

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Chou, Chien-Heng, and Chun-Yueh Lin. "Combining the MDM and BWM Algorithm to Determine the Optimal Crowdfunding Tokenization Solution for Digital Assets Market Startups." Systems 10, no. 4 (June 28, 2022): 87. http://dx.doi.org/10.3390/systems10040087.

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This study aimed to use the modified Delphi method and best worst method to establish an evaluation model for analyzing the perspectives and key influencing factors used in evaluating startups’ optimal token-financing solutions. In accordance with the modified Delphi method, a list of influencing factors was obtained through expert opinions and a literature review, and, further, adopted to construct an evaluation model and the subsequent weights. Thereafter, the relative weight of each factor in the best worst method framework was determined, to obtain the optimal token-financing solution. This study makes important contributions in theory and in practice by providing a decision-making model based on the modified Delphi method and the best worst method, which can serve as a valuable reference and measurement tool for startups to evaluate optimal solutions, when undertaking token financing. Academically, it contributes to the literature by providing an application process that integrates the modified Delphi method and the best worst method, and introduces an optimal evaluation framework for startups to use when undertaking token financing. In addition, it makes a practical contribution in the context of the rapid development of FinTech, as the evaluation model proposed in this study can be a valuable measurement tool for startup entrepreneurs who intend to use token financing to improve the capital turnover rate of their equity.

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Barreto, Alexandrino Tavares. "The Contribution of African Capital Markets in the Diversification of European Investment Portfolios." International Journal of Economics and Finance 10, no. 3 (January 31, 2018): 1. http://dx.doi.org/10.5539/ijef.v10n3p1.

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This study aims to evaluate the contribution of the African capital markets in the diversification of European investment portfolios. The study used the methodology based on the application of optimization models like Mean Variance (MV), Resample Michaud (RM), SemiVariance (SV), Mean Absolute Deviation (MAD) and Filtered Historical Simulation (FHS). In-Sample and Out-of-Sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and European capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors; that is, it provides benefits in the return and reduce investment risk. Still, the study result suggested that the foreign investors should look for an African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate contribute to on the advantage of the international diversification and furthermore contribute to the literature through application of the Filtered Historical Simulation (FHS) method in the optimization portfolio. This methodology, In addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

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Katsikis, Vasilios N., and Spyridon D. Mourtas. "Binary Beetle Antennae Search Algorithm for Tangency Portfolio Diversification." Journal of Modeling and Optimization 13, no. 1 (June 15, 2021): 44–50. http://dx.doi.org/10.32732/jmo.2021.13.1.44.

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The tangency portfolio, also known as the market portfolio, is the most efficient portfolio and arises from the intercept point of the Capital Market Line (CML) and the efficient frontier. In this paper, a binary optimal tangency portfolio under cardinality constraint (BOTPCC) problem is defined and studied as a nonlinear programming (NLP) problem. Because such NLP problems are widely approached by heuristic, a binary beetle antennae search algorithm is employed to provide a solution to the BTPSCC problem. Our method proved to be a magnificent substitute to other evolutionary algorithms in real-world datasets, based on numerical applications and computer simulations.

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Moiseev, Nikita A., and Bulat A. Akhmadeev. "Agent-based Simulation of Wealth, Capital and Asset Distribution on Stock Markets." Journal of Interdisciplinary Economics 29, no. 2 (May 2, 2017): 176–96. http://dx.doi.org/10.1177/0260107917698781.

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H., Maurya,, and Kulkarni, P. "Fintech In Indian Capital Markets." CARDIOMETRY, no. 24 (November 30, 2022): 843–48. http://dx.doi.org/10.18137/cardiometry.2022.24.843848.

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The advent of advanced digital technologies has already caused disruptions across many industries. The financial services sector is also collaborating with Fintech to transform digitally. Post- demonetization, the Indian government created a favorable environment for Fintech. Many new financial products are brought in by new start-ups. Fintech has created a paradigm shift in availingof Financial Services. The primarily data-driven capital markets have been positively affected by Fintech. However, the technology implementation is still at a very nascent stage, and there are impediments and challenges along the way. This paper studies the application of advanced digital technologies in Indian capital markets through secondary research. It analyses gaps addressed by advanced digital technologies. It opens new avenues for potential breakthroughs and the impediments and challenges for implementing the technology. Fintech is an abbreviation for financial technology, which offers alternative technologies for banking and non-banking finance services. Fintech is a new term in the finance sector. The primary goal of this paper is to examine the opportunities and problems in the fintech sector. It describes the fintech industry’s evolution and the current financial technology (Fintech) in the Indian finance market. Fintech makes transfers safer for consumers by digitizing them. The advantages of Fintech platforms include lowering operating costs and a user-friendly interface. Indian Fintech services have the maximum growth in the country. Its services will alter the habits and behavior of Indian financial institutions.

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Geng, Xiaoyuan. "Transmission Effectiveness of Resource Allocation Efficiency in Multitier Capital Market System." Discrete Dynamics in Nature and Society 2021 (August 6, 2021): 1–8. http://dx.doi.org/10.1155/2021/4977398.

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With the continuous development of the capital market, in order to study the effectiveness of the multilevel capital market, the operation status of the multilevel capital market is used as the research object, and the Pareto analysis paradigm is used to study the effectiveness of the transmission mechanism of the resources allocation efficiency of the multilevel capital market. Research has shown that Pareto analysis model can be used to analyze the multilevel capital markets. Investors’ irrationality and lack of professionalism further aggravate market volatility. Research on resource allocation of multilevel capital market systems and the effectiveness of the transmission mechanism has certain theoretical significance and practical value.

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Pinheiro, Marília Cordeiro, and Bruno Vinícius Ramos Fernandes. "International VaR approach: Backtesting for different capital markets." Revista Contabilidade & Finanças 31, no. 83 (August 2020): 318–31. http://dx.doi.org/10.1590/1808-057x201909160.

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ABSTRACT This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries. Since VaR inception, several approaches were developed to improve the loss estimation accuracy. However, there is hardly a universal consensus on which approach is the most appropriate, since VaR depends on statistical properties of the target asset and the market in which it is traded. It is relevant to compare the results obtained not only among the assets, but also among the markets in which they are traded, considering their specifics properties to verify if there is any pattern of the methods for the data. Considering the three asset categories, the semiparametric and non-parametric models obtained the lowest rejections number. It was also found that the models tested were not effective for the estimation of exchange rate VaR, which may be due to more relevant risks than the market in it asset price formation. Five models belonging to the parametric, semiparametric, and non-parametric approaches were tested. The analyses were divided in two, aiming to test the VaRs performances in distinct economic cycles; the first analyses considered a 1,000 days estimation window, while the second one considered a 252 days estimation window. To validated the results statistically, were applied the Kupiec and the Christoffersen tests. The results show that the conditional VaR and historical simulation have the best performance to estimate VaR. Comparing the markets, Chinese assets were the ones with the highest average number of tests rejections, which can be a consequence of its closed economy. Finally, it was found that shorter estimation window tends to perform better for high volatility assets, while longer window tends for lower volatility assets.

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Dymochkin, P. K., I. N. Inovenkov, V. V. Nefedov, and L. S. Ponomarenko. "Computer simulation of derivative markets using Black-Scholes model." Journal of Physics: Conference Series 1141 (December 2018): 012016. http://dx.doi.org/10.1088/1742-6596/1141/1/012016.

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Gleißner, Werner. "Cost of capital and probability of default in value-based risk management." Management Research Review 42, no. 11 (November 18, 2019): 1243–58. http://dx.doi.org/10.1108/mrr-11-2018-0456.

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Purpose This paper aims to present the combination of enterprise risk management (ERM) and value-based management as especially suitable methods for companies with a shareholder value imperative. Among its major benefits, these methods make the contribution of risk management for business decisions more effective. Design/methodology/approach Any possible inconsistencies between ERM, generating value because of imperfect capital markets and the CAPM to calculate cost of capital, which assumes perfect markets, must be avoided. Therefore, it is imperative that valuation methods used are based on risk analysis, and thus do not require perfect capital markets. Findings Value-based risk management requires the impact of changes in risk on enterprise value to be calculated and the aggregation of opportunities and risks related to planning to calculate total risk (using Monte Carlo simulation) and valuation techniques that reflect the effects changes in risk, on probability of default, cost of capital and enterprise value (and do not assume perfect capital markets). It is recommended that all relevant risks should be quantified and described using adequate probability distributions derived from the best information. Practical implications This approach can help to improve the use of risk analysis in decision-making by improving existing risk-management systems. Originality/value This extension of ERM is outlined to provide risk-adequate evaluation methods for business decisions, using Monte Carlo simulation and recently developed methods for risk–fair valuation with incomplete replication in combination with the probability of default. It is shown that quantification of all risk using available information should be accepted for the linking of risk analysis and business decisions.

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Vale, Zita, Tiago Pinto, Isabel Praca, and Hugo Morais. "MASCEM: Electricity Markets Simulation with Strategic Agents." IEEE Intelligent Systems 26, no. 2 (March 2011): 9–17. http://dx.doi.org/10.1109/mis.2011.3.

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Warner, Stanley L., and Myrna M. Breitbart. "Plant closings and capital flight: A computer-assisted simulation." New Directions for Teaching and Learning 1989, no. 38 (1989): 25–32. http://dx.doi.org/10.1002/tl.37219893805.

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STANISLAV, ŠKAPA, NOVOTNÁ VERONIKA, and MELUZÍN TOMÁŠ. "Solving Dynamic Model of Information Dissemination in Capital Markets." ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH 54, no. 4/2020 (December 15, 2020): 119–34. http://dx.doi.org/10.24818/18423264/54.4.20.08.

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Betz, Frederick. "Models of Financial Markets." Asian Business Research 1, no. 2 (October 28, 2016): 30. http://dx.doi.org/10.20849/abr.v1i2.88.

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Computer-based algorithms & models have become important in trading in financial markets. We illustrate the significance of model analysis of financial systems by a case study of BlackRock’s analytical platform called ‘Aladdin’. The nature of the model used in a computer algorithm is central to its real performance. Unreal models in financial algorithms will yield inaccurate performances. We review five fundamental models of economic dynamics: (1) traditional price-equilibrium of a commodity market, (2) Keynes-Minsky financial transactions over time, (3) price-disequilibrium of a financial market, (4) investment bank market disequilibrium process, and (5) disequilibrium financial grid of international capital flows. Empirically-valid graphic models are necessary – in order to methodologically develop societal-useful normative economic theory -- based upon the real natural-experiments of societies in economic history.

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Ozturkkal, Belma. "A Simulation Set-up to Observe the Effects of the Emotional Factor on Capital Markets." EMAJ: Emerging Markets Journal 1, no. 1 (July 24, 2011): 21–32. http://dx.doi.org/10.5195/emaj.2011.6.

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The study surveyed 74 student subjects from a major public university in the southern United States in a capital market experiment. This study investigates the link between profitability and the individual emotions present at the time of the experiment among managers and investors. This study is motivated by the shareholder and manager mechanism simulating a real market environment, where the individual self-reported emotions on a survey are analyzed by a least square regression analysis from the perspective of investors and managers.

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PETRESCU, Marius, Mădălina CUC, Ionica ONCIOIU, Anca-Gabriela PETRESCU, Florentina-Raluca BÎLCAN, and Mihai PETRESCU. "The Design of an Agent-Based System for Capital Markets." Studies in Informatics and Control 29, no. 3 (September 30, 2020): 293–306. http://dx.doi.org/10.24846/v29i3y202003.

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Mathew, Sinsu Anna, and Abdul Quadir Md. "Evaluation of Blockchain in Capital Market Use-Cases." International Journal of Web Portals 10, no. 1 (January 2018): 54–76. http://dx.doi.org/10.4018/ijwp.2018010105.

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This article describes the “Blockchain” which is an upcoming technology in the current leading world and which serves as a capital market use-cases for many of the global Fintech industries across the world, is a distributed ledger of economic transactions which not only used for recording financial transactions but mostly everything of value in this world. In the current world, mostly all the transactions are done through online which mainly includes the bank as a “middle man,” which could be untrustworthy at times. Blockchain comes into the picture which eliminates the need of a middle man or third party between the users who are involved in the transactions. Represents a financial ledger entry of data structure which consists of record of transactions which is digitally signed and cannot be tampered as authenticity is ensured in which the ledger is considered to be of high integrity. One of the leading and highly valued platform of blockchain is “Hyperledger Fabric” which is meant for securing transactions and serves a powerful container technology for smart contract development in the global capital firms. The potential of Blockchain and DLT in capital markets in this upcoming world could remove many of the inefficiencies and costs inherent in the global capital markets across the world and could be considered as a viable technology which enable to settlement.

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Wang, Jingjuan, and Weili Xia. "Relationship between Capital Allocation Efficiency and Diversification Strategy from the Perspective of Internal Control." Discrete Dynamics in Nature and Society 2022 (April 30, 2022): 1–14. http://dx.doi.org/10.1155/2022/5081126.

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Based on the quality of internal control, this study discusses the impact of internal control quality on resource allocation in the internal capital market and how capital allocation efficiency affects strategic decision-making. If the quality of internal control can be correctly evaluated and included into the management's strategic decisions, the enterprise can improve the efficiency of capital allocation and formulate an appropriate development strategy. Using panel data from the Shanghai and Shenzhen stock markets from 2013 to 2017, we investigate the relationship among overall internal control information quality, capital allocation efficiency, and enterprise strategic decision-making. The results show that when the level of free cash flow is high, the incentive mechanism of corporate governance increases the possibility of diversification; the lower the quality of internal control information is, the more likely it is for enterprises to pursue diversification; improving the quality of internal control helps management to allocate internal resources reasonably. When the efficiency of capital allocation is high, it can effectively prevent diversification. This study contributes by revealing the mechanism of the impact of internal control quality on strategic decision-making and expands the relationship between internal control and corporate strategic management.

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Iulian, Cojocaru. "The process of adapting the European Union to changes in the security environment." Scientific Bulletin of Naval Academy XXIII, no. 2 (December 15, 2020): 201–6. http://dx.doi.org/10.21279/1454-864x-20-i2-028.

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The instability of the security environment is dangerous and can become devastating for a state, a region, a continent or even for the whole world if the necessary measures are not taken immediately. The main issues that have, over time, underpinned the European project were security and social welfare. These aspects are still important today and are very topical, representing at the same time the main objectives of the European Union, even if the changes are fast, and the security environment we live in is particularly fragile. For over half a century, the European Union has continuously contributed to maintaining peace, stability and prosperity, raised the standards of living, launched a single currency and has constantly evolved to create a single market in which people, goods, services and the capital can move freely, as if it were in the territory of a single country. Now, the European Union must face the existing challenges and adapt to the changes in the security environment. The adaptation to the new, to the changes, is the fundamental property of the European Union, and this must change and at the same time adapt the mode of action in relation to the alternatives that have occurred both from a quantitative and qualitative point of view.At present, the adaptability of the European Union in the new global security context is precisely its ability to understand the changes and make the necessary adjustments immediately to the current requirements, to react promptly with appropriate responses that will lead to the restoration of the status quo.

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Utomo, Langgeng Pirayitno, and Benih Hartanti. "Literasi Keuangan: Pelatihan Investasi Saham Melalui Pengenalan Pasar Modal Indonesia kepada Investor Milenial." Journal of Dedicators Community 5, no. 2 (July 27, 2020): 94–102. http://dx.doi.org/10.34001/jdc.v5i2.1196.

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Understanding of finance is important, especially for people who want to invest, it is aimed at obtaining maximum returns or returns from investments. The condition of the selected service partners, namely students and the general public who have an interest in investing, currently do not really understand personal finance so they are unable to manage their own finances which results in not understanding how to start investing. The purpose of this activity is to introduce the importance of understanding personal finance so as to be able to measure the extent to which personal financial conditions can be used to invest in the Indonesian capital market to service partners, namely young potential investors. The training activities are carried out in the computer laboratory of STIE PGRI Dewantara Jombang with lecture, question and answer methods, and practice. The material for the activity consists of the basic theory of financial management, introduction to investment, fundamental and technical analysis, and trading simulations. The results of this activity are: 1) service partners have a new understanding of financial literacy and personal finance well; 2) partners are better prepared when they are going to invest in shares or trade in the capital market; 3) the interest of partners to be able to invest is higher than before.

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Kusuma, Purba D., Azhari, and Reza Pulungan. "Agent-Based Crowd Simulation of Daily Goods Traditional Markets." International Journal of Intelligent Systems and Applications 8, no. 10 (October 8, 2016): 1–10. http://dx.doi.org/10.5815/ijisa.2016.10.01.

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Rahman, Asheq Razaur, and Roger S. Debreceny. "Institutionalized Online Access to Corporate Information and Cost of Equity Capital: A Cross-Country Analysis." Journal of Information Systems 28, no. 1 (November 1, 2013): 43–74. http://dx.doi.org/10.2308/isys-50653.

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ABSTRACT The demand for online information in stock markets around the world has led to many stock exchanges requiring the disclosure of information on listed corporations through the stock exchange website. We examine the impact of online access to corporate information on stock exchange websites on market transparency. We posit that institutionalized online information dissemination is likely to reduce the level of information asymmetry in stock markets. To increase the spread in the types of markets and market features in our sample, we expand the sample size of 40 or fewer countries commonly used in recent cross-country studies to 110 countries. Our proxy for the level of information asymmetry in stock markets is the cost of equity capital (COE). We examine the online availability of corporate information on the websites of the stock exchanges (AVAILABILITY) of the 110 countries, and find that there is a negative association between COE and AVAILABILITY. Further analysis shows that this association is stronger for emerging market countries, equity-based (common law) countries, and low press transparency countries. We conclude that while institutionalized online information dissemination is beneficial to all capital markets, it mostly benefits emerging capital markets, equity-based markets (common law countries) and markets with weaker alternative information sources.

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Hassan, Shafiqul, Mohsin Dhali, Saghir Munir Mehar, and Fazluz Zaman. "Islamic Securitization as a Yardstick for Investment in Islamic Capital Markets." International Journal of Service Science, Management, Engineering, and Technology 13, no. 1 (January 1, 2022): 1–15. http://dx.doi.org/10.4018/ijssmet.315592.

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The paper shows that Islamic securitization through Sukuk securities is vital in fostering the Islamic capital market. Sukuk investments entail investors and issuers to follow a set of nuanced moral and ethical principles beyond maximizing profit. As measured by social trust, investor trust could be critical in the worldwide Sukuk investment boom. Therefore, the primary objective of the article is to demonstrate the impact of Islamic securitization through the Sukuk bonds in guaranteeing investment in the Islamic capital market. The study employs a systematic literature review and qualitative research methodology based on secondary data to achieve the purpose of the study. The finding of the study indicates that despite all the obstacles in slowing the progression of the Islamic capital market, it manages to develop gradually worldwide. Further, concerning class flow and risks, Sukuk is similar to conventional bonds, but certain characteristics of the Sukuk bond make it a reliable instrument in the Islamic capital market.

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Chen, Xu, and Qiying Zhu. "Spatial Econometric Analysis of China’s Sports Capital Market." Mobile Information Systems 2021 (December 10, 2021): 1–15. http://dx.doi.org/10.1155/2021/7017412.

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The capital market provides important capital factor guarantee and supply-side support for the high-quality development of the sports industry, and the healthy development of the sports capital market, which is composed of securities market, loan market, trading derivative market, and physical market, plays a vital role in ensuring the smooth and efficient operation of the sports market economy mechanism. At the present stage, how to play the role of resource allocation in China’s sports capital market and how to improve the quality and efficiency of the sports industry by the capital market have become the core issue of research and discussion. Taking A-share listed companies as the typical micro-market subjects, this paper analyzes the financing needs and behaviors of sports listed companies and the support degree of different types of capital markets; on the basis of traditional measurement methods, spatial econometric analysis is used to explore the effectiveness of capital market on the development of the sports industry.

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Ernst, Dietmar. "Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice." Journal of Risk and Financial Management 15, no. 5 (April 26, 2022): 200. http://dx.doi.org/10.3390/jrfm15050200.

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The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.

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Ernst, Dietmar. "Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice." Journal of Risk and Financial Management 15, no. 5 (April 26, 2022): 200. http://dx.doi.org/10.3390/jrfm15050200.

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The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.

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Asada, Toichiro, Christos Douskos, and Panagiotis Markellos. "Numerical Exploration of Kaldorian Macrodynamics: Hopf-Neimark Bifurcations and Business Cycles with Fixed Exchange Rates." Discrete Dynamics in Nature and Society 2007 (2007): 1–16. http://dx.doi.org/10.1155/2007/98059.

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We explore numerically a three-dimensional discrete-time Kaldorian macrodynamic model in an open economy with fixed exchange rates, focusing on the effects of variation of the model parameters, the speed of adjustment of the goods marketα, and the degree of capital mobilityβon the stability of equilibrium and on the existence of business cycles. We determine the stability region in the parameter space and find that increase ofαdestabilizes the equilibrium more quickly than increase ofβ. We determine the Hopf-Neimark bifurcation curve along which business cycles are generated, and discuss briefly the occurrence of Arnold tongues. Bifurcation and Lyapunov exponent diagrams are computed providing information on the emergence, persistence, and amplitude of the cycles and illustrating the complex dynamics involved. Examples of cycles and other attractors are presented. Finally, we discuss a two-dimensional variation of the model related to a “wealth effect,” called model 2, and show that in this case,αdoes not destabilize the equilibrium more quickly thanβ, and that a Hopf-Neimark bifurcation curve does not exist in the parameter space, therefore model 2 does not produce cycles.

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Rosati, Riccardo, Luca Romeo, Carlos Alfaro Goday, Tullio Menga, and Emanuele Frontoni. "Machine Learning in Capital Markets: Decision Support System for Outcome Analysis." IEEE Access 8 (2020): 109080–91. http://dx.doi.org/10.1109/access.2020.3001455.

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H�ke, Christian, and Christian Helmenstein. "Neural networks in the capital markets: An application to index forecasting." Computational Economics 9, no. 1 (February 1996): 37–50. http://dx.doi.org/10.1007/bf00115690.

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McKenzie, Andrew M., and Eugene L. Kunda. "Managing Price Risk in Volatile Grain Markets, Issues and Potential Solutions." Journal of Agricultural and Applied Economics 41, no. 2 (August 2009): 353–62. http://dx.doi.org/10.1017/s1074070800002832.

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During 2008 extreme price volatility in grain markets led to country elevators incurring unprecedentedly large margin calls on their futures hedges. As a result elevators' traditional liquidity sources and lines of credit were stretched to breaking point. This article explores the potential liquidity benefits of making available an Over-the-Counter Margin Credit Swap contract to grain hedgers. The swap would enable hedgers to draw upon sources of capital outside the farm credit system to provide liquidity needed to make margin calls. Simulation results clearly show that a Margin Credit Swap contract would provide significant liquidity benefits to hedgers during volatile periods.

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Hudi, Ilham, Muhammad Ahyaruddin, Della Hilia Anriva, Mentari Dwi Aristi, Dian Puji Puspita Sari, Annie Mustika Putri, Nur Fitriana, and Dian Hafiza Triana. "Literasi Dan Pelatihan Investasi Pasar Modal Bagi Komunitas Mobile Legend Pekanbaru." ABDIMAS EKODIKSOSIORA: Jurnal Pengabdian Kepada Masyarakat Ekonomi, Pendidikan, dan Sosial Humaniora (e-ISSN: 2809-3917) 1, no. 1 (January 21, 2022): 51–55. http://dx.doi.org/10.37859/abdimasekodiksosiora.v1i1.3332.

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This activity provides an understanding to online game lovers about the importance of saving and investing from an early age and sharing other investment knowledge in the world of capital markets. This community service activity was carried out at the Semanggi Coffee Shop with participants, namely all members of the Pekanbaru Mobile Legend community. The result of this activity is that members of this online gaming community know and understand about the capital market and the products traded in the capital market. This service activity is carried out in several stages, namely at the initial stage the team conducts a briefing to prepare the materials and equipment needed, including: training materials, assignment letters, participant attendance lists, and consumption. In the final session, the activity was carried out by explaining the stock trading simulation using the IPOT application. When the simulation is carried out, participants see in real time the activity of stock trading transactions that occur on the Indonesian stock exchange.

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Milojević, Marko, and Ivica Terzić. "MODELING MARKET RISK IN FRONTIER EQUITY MARKETS—EVIDENCE FROM SERBIA." CBU International Conference Proceedings 2 (July 1, 2014): 126–33. http://dx.doi.org/10.12955/cbup.v2.455.

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The need for understanding financial risk management and unique models for measuring risk in transitional capital markets increasingly gains in importance and becomes a very current issue. This article studies predictive ability of various classes of Value-at-Risk (VaR) models focusing on Serbian equity market in both stressed and normal market conditions. The five VaR models adopted in our evaluation procedure include: historical simulation with rolling window of 500 days, Risk Metrics, exponentially-weighted moving average (EWMA) with optimized decay factor, VaR based on models from GARCH family under three distributional assumptions (normal, generalized error, and Student-t), and Filtered historical simulation. In order to verify the forecasting performance of different VaR models, we employ a backtesting procedure, which consists of statistical tests. The results indicate that VaR based on conditional volatility models with asymmetric distribution of innovations behave reasonably well in both tranquil and crisis period. Standard VaR models developed for liquid and efficient markets seriously underestimate risk forecast in Serbian equity market under all circumstances.

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Journal articles on the topic 'Capital markets – Computer simulation'

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