Dissertations / Theses: 'Market segmentation Mathematical models'

1

Camilleri, Liberato. "Statistical models for market segmentation." Thesis, Lancaster University, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441119.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Li, Zhi. "Variational image segmentation, inpainting and denoising." HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/292.

Full text

Abstract:

Variational methods have attracted much attention in the past decade. With rigorous mathematical analysis and computational methods, variational minimization models can handle many practical problems arising in image processing, such as image segmentation and image restoration. We propose a two-stage image segmentation approach for color images, in the first stage, the primal-dual algorithm is applied to efficiently solve the proposed minimization problem for a smoothed image solution without irrelevant and trivial information, then in the second stage, we adopt the hillclimbing procedure to segment the smoothed image. For multiplicative noise removal, we employ a difference of convex algorithm to solve the non-convex AA model. And we also improve the non-local total variation model. More precisely, we add an extra term to impose regularity to the graph formed by the weights between pixels. Thin structures can benefit from this regularization term, because it allows to adapt the weights value from the global point of view, thus thin features will not be overlooked like in the conventional non-local models. Since now the non-local total variation term has two variables, the image u and weights v, and it is concave with respect to v, the proximal alternating linearized minimization algorithm is naturally applied with variable metrics to solve the non-convex model efficiently. In the meantime, the efficiency of the proposed approaches is demonstrated on problems including image segmentation, image inpainting and image denoising.

APA, Harvard, Vancouver, ISO, and other styles

3

Chen, Liyuan. "Variational approaches in image recovery and segmentation." HKBU Institutional Repository, 2015. https://repository.hkbu.edu.hk/etd_oa/227.

Full text

Abstract:

Image recovery and segmentation are always the fundamental tasks in image processing field, because of their so many contributions in practical applications. As in the past ten years, variational methods have achieved a great success on these two issues, in this thesis, we continue to work on proposing several new variational approaches for restoring and segmenting an image. This thesis contains two parts. The first part addresses recovering an image and the second part emphasizes on segmenting. Along with the wide utilization of magnetic resonance imaging (MRI) technique, we particularly deal with blurry images corrupted by Rician noise. In chapter 1, two new convex variational models for recovering an image corrupted by Rician noise with blur are presented. These two models are motivated by the non-convex maximum-a-posteriori (MAP) model proposed in the prior papers. In the first method, we use an approximation item to the zero order of the modified Bessel function in the MAP model and add an entropy-like item to obtain a convex model. Through studying on the statistical properties of Rician noise, we bring up a strictly convex model by adding an additional data-fidelity term in the MAP model in the second method. Primal-dual methods are applied to solve the models. The simulation outcomes show that our models outperform some existed effective models in both recovery image quality and computational time. Cone beam CT (CBCT) is routinely applied in image guided radiation therapy (IGRT) to help patient setup. Its imaging dose, however, is still a concern, limiting its wide applications. It has been an active research topic to develop novel technologies for radiation dose reduction. In chapter 2, we propose an improvement of practical CBCT dose control scheme - temporal non-local means (TNLM) scheme for IGRT. We denoise the scanned image with low dose by using the previous images as prior knowledge. We combine deformation image registration and TNLM. Different from the TNLM, in the new method, for each pixel, the search range is not fixed, but based on the motion vector between the prior image and the obtained image. By doing this, it is easy to find the similar pixels in the previous images, but also can reduce the computational time since it does not need large search windows. The phantom and patient studies illuminate that the new method outperforms the original one in both image quality and computational time. In the second part, we present a two-stage method for segmenting an image corrupted by blur and Rician noise. The method is motivated by the two-stage segmentation method developed by the authors in 2013 and restoration method for images with Rician noise. First, based on the statistical properties of Rician noise, we present a new convex variant of the modified Mumford-Shah model to get the smooth cartoon part {dollar}u{dollar} of the image. Then, we cluster the cartoon {dollar}u{dollar} into different parts to obtain the final contour of different phases of the image. Moreover, {dollar}u{dollar} from the first stage is unique because of the convexity of the new model, and it needs to be computed only once whenever the thresholds and the number of the phases {dollar}K{dollar} in the second stage change. We implement the simulation on the synthetic and real images to show that our model outperforms some existed segmentation models in both precision and computational time

APA, Harvard, Vancouver, ISO, and other styles

4

Jitsuchon, Somchai. "Three applications of market incompleteness and market imperfection." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0026/NQ38906.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Wang, Ying, and 王瑩. "A study of mutual fund flow and market return volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B26843572.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Zeng, Jingying. "Latent Factor Models for Recommender Systems and Market Segmentation Through Clustering." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1491255524283942.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Mazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.

Full text

Abstract:

This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.
The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk.
In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified.
In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.

APA, Harvard, Vancouver, ISO, and other styles

8

Veraart, Luitgard Anna Maria. "Mathematical models for market making, option pricing and systemic risk." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Buchta, Christian, and Sara Dolnicar. "Learning by simulation. Computer simulations for strategic marketing decision support in tourism." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/1718/1/document.pdf.

Full text

Abstract:

This paper describes the use of corporate decision and strategy simulations as a decision-support instrument under varying market conditions in the tourism industry. It goes on to illustrate this use of simulations with an experiment which investigates how successful different market segmentation approaches are in destination management. The experiment assumes a competitive environment and various cycle-length conditions with regard to budget and strategic planning. Computer simulations prove to be a useful management tool, allowing customized experiments which provide insight into the functioning of the market and therefore represent an interesting tool for managerial decision support. The main drawback is the initial setup of a customized computer simulation, which is time-consuming and involves defining parameters with great care in order to represent the actual market environment and to avoid excessive complexity in testing cause-effect-relationships. (author's abstract)
Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

APA, Harvard, Vancouver, ISO, and other styles

10

Mkhwanazi, MA (Mpendulo Armstrong). "Efficient Monte Carlo simulations of pricing captions using Libor market models." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/9114.

Full text

Abstract:

Includes bibliographical references.
The cap option (caption) is one of common European exotic options discussed in literature. This (interest rates) exotic option has no closed form solution and its accurate pricing and hedging in a volatile market is a challenge for traders. The reason for this is that, comparatively, the behaviour on an individual interest rate is more complex than that of a stock price. To price any interest rate product, it is essential to develop an interest rates model describing the behaviour of the entire zero coupon yield curve. The equity and yield curve, respectively, relate to the difference in the dynamics of a scalar variable and vector variable. Moreover, captions are second order with respect to the discount bonds in that they are options on caps (which are also options on bonds). These reasons make it of particular interest to study efﬁcient numerical solutions to price captions. Monte Carlo simulation provides a simple method for pricing this option, and a suitable interest rate model to use is the Libor market model. The approach of describing the behaviour of the entire zero coupon yield curve, in the era post the 2007 credit crunch crisis, is what is called a standard single-curve market practice, and Part l of this work is based on it. . After introducing the framework for option pricing in the interest rate market, the theory and implementation procedure for Monte Carlo simulation using Libor market models is described. A detailed analysis of the results is presented together with a sensitivity analysis, and finally suggestions for efﬁcient pricing of captions are given. In Part II we review the recent financial market evolution, triggered by the credit crunch crisis towards double-curve approach. Unfortunately, such a methodology is not easy to build. In practice an empirical approach to price and hedge interest rate derivatives has prevailed in the market. Future cash flows are generated through multiple forwarding yield curves associated to the underlying rate tenors, and their net present value is calculated through discount factors front a single discounting yield curve.

APA, Harvard, Vancouver, ISO, and other styles

11

Fielden, Thomas Robert. "Modeling Market and Regulatory Mechanisms for Pollution Abatement with Sharp and Random Variables." PDXScholar, 2011. https://pdxscholar.library.pdx.edu/open_access_etds/282.

Full text

Abstract:

This dissertation is motivated by the problem of uncertainty and sensitivity in business- class models such as the carbon emission abatement policy model featured in this work. Uncertain model inputs are represented by numerical random variables and a computational methodology is developed to numerically compute business-class models as if sharp inputs were given. A new description for correlation of random variables is presented that arises spontaneously within a numerical model. Methods of numerically computing correlated random variables are implemented in software and represented. The major contribution of this work is a methodology for the numerical computation of models under uncertainty that expresses no preference for unlikelihood of model input combinations. The methodology presented here serves a sharp contrast to traditional Monte Carlo methods that implicitly equate likelihood of model input values with importance of results. The new methodology herein shifts the computational burden from likelihood of inputs to resolution of input space.

APA, Harvard, Vancouver, ISO, and other styles

12

Cheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Li, Cheng. "Three aspects of mathematical models for asymmetric information in financial market." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3347/.

Full text

Abstract:

The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25] where the risky asset value admits an arbitrary discrete distribution. In contrast to existing results on insider model, the insiders optimal strategy in this model, if it exists, is not of feedback type. Therefore, a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the insiders strategy is not enforced. However, the insider can employ some feedback strategies whose associated expected profit are close to the optimal value, when the order size is small. Moreover, this discrepancy converges to zero when the order size diminishes. The second part extends Peng’s monotone convergence result [37] to backward stochastic differential equations (BSDEs in short) driven by marked point processes. We apply this result to give a stochastic representation to the value function of the insiders problem in the previous part. The last part studies an optimal trading problem in limit order market with asymmetry information. The market consists of a strategic trader and a group of noisy traders. The strategic trader has private prediction on the fundamental value of a risk asset, and aims to maximise her expected profit. Both types of market participants are allowed to place market and limit orders. We aim to find a trading strategy for the strategic trader who uses both limit and market orders. This is formulated as a stochastic control problem that we characterise in terms of a HJB system. We also provide a numerical algorithm to obtain its solution and prove its convergence. Finally, we consider an example to illustrate the optimal trading strategy of the strategic trader.

APA, Harvard, Vancouver, ISO, and other styles

14

Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

15

Patenaude, Brian Matthew. "Bayesian statistical models of shape and appearance for subcortical brain segmentation." Thesis, University of Oxford, 2007. http://ora.ox.ac.uk/objects/uuid:52f5fee0-60e8-4387-9560-728843e187b3.

Full text

Abstract:

Our motivation is to develop an automated technique for the segmentation of sub-cortical human brain structures from MR images. To this purpose, models of shape-and-appearance are constructed and fit to new image data. The statistical models are trained from 317 manually labelled T1-weighted MR images. Shape is modelled using a surface-based point distribution model (PDM) such that the shape space is constrained to the linear combination of the mean shape and eigenvectors of the vertex coordinates. In addition, to model intensity at the structural boundary, intensities are sampled along the surface normal from the underlying image. We propose a novel Bayesian appearance model whereby the relationship between shape and intensity are modelled via the conditional distribution of intensity given shape. Our fully probabilistic approach eliminates the need for arbitrary weightings between shape and intensity as well as for tuning parameters that specify the relative contribution between the use of shape constraints and intensity information. Leave-one-out cross-validation is used to validate the model and fitting for 17 structures. The PDM for shape requires surface parameterizations of the volumetric, manual labels such that vertices retain a one-to-one correspondence across the training subjects. Surface parameterizations with correspondence are generated through the use of deformable models under constraints that embed the correspondence criterion within the deformation process. A novel force that favours equal-area triangles throughout the mesh is introduced. The force adds stability to the mesh such that minimal smoothing or within-surface motion is required. The use of the PDM for segmentation across a series of subjects results in a set surfaces that retain point correspondence. The correspondence facilitates landmark-based shape analysis. Amongst other metrics, vertex-wise multivariate statistics and discriminant analysis are used to investigate local and global size and shape differences between groups. The model is fit, and shape analysis is applied to two clinical datasets.

APA, Harvard, Vancouver, ISO, and other styles

16

Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

Ganjbakhsh, Omid. "St[r]ategic offers in an oligopolistic electricity market under pay-as-bid pricing." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112570.

Full text

Abstract:

Marginal pricing is the traditional pricing method in pool based electricity markets, however pay-as-bid is an alternative that has been the focus of recent studies. One way of comparing the outcomes of these two pricing schemes is by examining their market equilibria. These equilibria have been analyzed in depth for both pricing methods under the assumption of a perfect market. Marginal pricing market equilibria has also been examined under oligopolistic markets, however, the same attention has not been given to oligopolies based on pay-as-bid pricing.
In this thesis, we study the possible outcomes of an oligopolistic electricity market under pay-as-bid pricing. For this purpose, we introduce, develop and test a new concept called defensive Nash equilibrium, which combines the risk adverseness of power suppliers with the traditional notion of Nash equilibrium. The test cases studied compare market outcomes between pay-as-bid and marginal pricing under various market power assumptions.

APA, Harvard, Vancouver, ISO, and other styles

18

Hays, Peter Sipe. "A vector model for analysis, decomposition and segmentation of textures." Thesis, This resource online, 1990. http://scholar.lib.vt.edu/theses/available/etd-06082009-171152/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

19

Chaieb, Ines. "Essays on international asset pricing under segmentation and PPP deviations." Thesis, McGill University, 2006. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102485.

Full text

Abstract:

This dissertation comprises two essays. The first essay develops and tests a theoretical model that provides new insights when markets are partially segmented and the purchasing power parity (PPP) is violated which seems to be the case for the majority of national markets. The theoretical part derives closed form solutions for asset prices and portfolio holdings. Particularly, we show that deviations from PPP in mildly segmented markets induce a new form of systematic risk, termed segflation risk, and in equilibrium investors require compensation for this risk. A strong feature of the model is that it provides a theoretical framework for testing important issues; such as, pricing of foreign exchange risk and world market structure. The model also nests several existing international asset pricing models and thus provides a framework to distinguish empirically between competing models. The empirical part of the essay provides an empirical validation of the model for eight major emerging markets. The results give support to the model and point to the importance of the segflation risk which is statistically and economically significant.
The second essay uses our theoretical model to address the question of whether the IFC investable indices are priced globally or locally. Indeed S&P/IFC provides two emerging market indices: the IFC global index (IFCG) and its subset the IFC investable index (IFCI). Since the IFCI is fully investable, both the academic and practitioners implicitly assume that this subset of emerging markets is priced in the global context. This is a critical assumption for corporate finance decisions and portfolio management. Hence, this essay investigates the pricing behavior of the IFCI index returns using a conditional version of our model that allows for segmentation and PPP deviations. The results suggest that local factors are important in explaining returns of the IFC investable indices and that the return behavior of IFCI indices is similar to that of the IFCG.

APA, Harvard, Vancouver, ISO, and other styles

20

Lin, Lebin. "Data Mining and Mathematical Models for Direct Market Campaign Optimization for Fred Meyer Jewelers." Wright State University / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=wright1483558398637535.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Macias, Miguel S. "The returns to human capital migration within the Department of Defense civilian internal labor market." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2005. http://library.nps.navy.mil/uhtbin/hyperion/05Sep%5FMacias.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

22

Engelbeen, Céline. "The segmentation problem in radiation therapy." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210107.

Full text

Abstract:

The segmentation problem arises in the elaboration of a radiation therapy plan. After the cancer has been diagnosed and the radiation therapy sessions have been prescribed, the physician has to locate the tumor as well as the organs situated in the radiation field, called the organs at risk. The physician also has to determine the different dosage he wants to deliver in each of them and has to define a lower bound on the dosage for the tumor (which represents the minimum amount of radiation that is needed to have a sufficient control of the tumor) and an upper bound for each organ at risk (which represents the maximum amount of radiation that an organ can receive without damaging). Designing a radiation therapy plan that respects these different bounds of dosage is a complex optimization problem that is usually tackled in three steps. The segmentation problem is one of them.

Mathematically, the segmentation problem amounts to decomposing a given nonnegative integer matrix A into a nonnegative integer linear combination of some binary matrices. These matrices have to respect the consecutive ones property. In clinical applications several constraints may arise that reduce the set of binary matrices which respect the consecutive ones property that we can use. We study some of them, as the interleaf distance constraint, the interleaf motion constraint, the tongue-and-groove constraint and the minimum separation constraint.

We consider here different versions of the segmentation problem with different objective functions. Hence we deal with the beam-on time problem in order to minimize the total time during which the patient is irradiated. We study this problem under the interleaf distance and the interleaf motion constraints. We consider as well this last problem under the tongue-and-groove constraint in the binary case. We also take into account the cardinality and the lex-min problem. Finally, we present some results for the approximation problem.

/Le problème de segmentation intervient lors de l'élaboration d'un plan de radiothérapie. Après que le médecin ait localisé la tumeur ainsi que les organes se situant à proximité de celle-ci, il doit aussi déterminer les différents dosages qui devront être délivrés. Il détermine alors une borne inférieure sur le dosage que doit recevoir la tumeur afin d'en avoir un contrôle satisfaisant, et des bornes supérieures sur les dosages des différents organes situés dans le champ. Afin de respecter au mieux ces bornes, le plan de radiothérapie doit être préparé de manière minutieuse. Nous nous intéressons à l'une des étapes à réaliser lors de la détermination de ce plan: l'étape de segmentation.

Mathématiquement, cette étape consiste à décomposer une matrice entière et positive donnée en une combinaison positive entière linéaire de certaines matrices binaires. Ces matrices binaires doivent satisfaire la contrainte des uns consécutifs (cette contrainte impose que les uns de ces matrices soient regroupés en un seul bloc sur chaque ligne). Dans les applications cliniques, certaines contraintes supplémentaires peuvent restreindre l'ensemble des matrices binaires ayant les uns consécutifs (matrices 1C) que l'on peut utiliser. Nous en avons étudié certaines d'entre elles comme celle de la contrainte de chariots, la contrainte d'interdiciton de chevauchements, la contrainte tongue-and-groove et la contrainte de séparation minimum.

Le premier problème auquel nous nous intéressons est de trouver une décomposition de la matrice donnée qui minimise la somme des coefficients des matrices binaires. Nous avons développé des algorithmes polynomiaux qui résolvent ce problème sous la contrainte de chariots et/ou la contrainte d'interdiction de chevauchements. De plus, nous avons pu déterminer que, si la matrice donnée est une matrice binaire, on peut trouver en temps polynomial une telle décomposition sous la contrainte tongue-and-groove.

Afin de diminuer le temps de la séance de radiothérapie, il peut être désirable de minimiser le nombre de matrices 1C utilisées dans la décomposition (en ayant pris soin de préalablement minimiser la somme des coefficients ou non). Nous faisons une étude de ce problème dans différents cas particuliers (la matrice donnée n'est constituée que d'une colonne, ou d'une ligne, ou la plus grande entrée de celle-ci est bornée par une constante). Nous présentons de nouvelles bornes inférieures sur le nombre de matrices 1C ainsi que de nouvelles heuristiques.

Finalement, nous terminons par étudier le cas où l'ensemble des matrices 1C ne nous permet pas de décomposer exactement la matrice donnée. Le but est alors de touver une matrice décomposable qui soit aussi proche que possible de la matrice donnée. Après avoir examiné certains cas polynomiaux nous prouvons que le cas général est difficile à approximer avec une erreur additive de O(mn) où m et n représentent les dimensions de la matrice donnée.
Doctorat en Sciences
info:eu-repo/semantics/nonPublished

APA, Harvard, Vancouver, ISO, and other styles

23

Brown, Sharon J. "On the relationship of derivative assets to their underlying instruments." Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/38659.

Full text

Abstract:

The first essay, "Market Integration and Side by Side Trading of Derivative and Cash Instruments" inquires into the microstructure of integrated trading of derivative and cash instruments and proposes a spatial differentiation model as a framework for analysis. The model illustrates that when broker-dealers can execute cash and derivative transactions proximately they can increase their returns by serving a larger proportion of investors who hold diverse portfolios thereby helping investors to economize on transactions costs. The model predicts that transactions involving a cash and derivative will be effected through an integrated system. The second essay, "Stock Index Futures Trading and Stock Market Volatility," reviews theoretical models and empirical evidence on the relationships between the level of futures trading and volatility. An empirical investigation is conducted by examining the relationship between the daily trading value of the S&P 500 stock index futures contract and the traded value of New York Stock Exchange stocks and considers whether there is higher price volatility in the stock markets when the level of trading in the futures markets is high relative to trading in the cash market. No evidence, theoretical or empirical, is found to support the notion that futures trading leads to greater volatility in the underlying cash market. The third essay, "Liquidation and Delivery Under Conditions of Manipulation models how strategic traders would respond to manipulation given an option to liquidate or deliver on the contract. A perfect Bayesian equilibrium concept is used in which traders must decide whether to liquidate or deliver given the realization of the first period equilibrium futures price. If detected by floor brokers who competitively bid prices to their expected value, the manipulator will cause prices to move against him, raising the equilibrium price when he puts in orders to buy and lowering the price when he seeks to selL Revelation of manipulation through prices also alters the behavior of other traders. An analysis of reactions in a simplified extensive form game indicates that detection of manipulation allows other market participants to stategically adjust their plans regarding liquidation and avoid incurring losses to the manipulator.
Ph. D.

APA, Harvard, Vancouver, ISO, and other styles

24

Sudiman, Josephine. "Empirical market microstructure studies of the Indonesian Stock Exchange (IDX)." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2012. https://ro.ecu.edu.au/theses/1852.

Full text

Abstract:

The overall aim of this study is to improve the understanding of how two market elements within microstructure theory, namely the regulatory and behavioural aspects, influence trading dynamics in the Indonesian Stock Exchange (IDX). This market was chosen because it is my country’s exchange and has distinctive features, including its outstanding performance among developing equity markets and its requirement for information transparency. As trade initiators are an important part of our methodology but neither of the two databases (the Detailed Trading History by the IDX and Thomson Reuters Tickscope History by SIRCA) provide this information, four different trade initiation rules are applied to assist the study of this issue. They are 1) the tick rule, (2) the Lee & Ready method (1991), (3) the Ellis, Michaely, & O’Hara (2000) method, and (4) the chronological order rule. We demonstrate that the methods of Lee and Ready (1991) and Ellis, Michaely, and O'Hara (2000) provide results which conform closely to the chronological rule; however, this is not the case for the tick rule. In terms of the regulatory viewpoint, this study investigates the impact of tick size changes in 2000 on liquidity provision in the IDX. Our methodology follows Engle & Lange (2001) who combined price durations (time needed for a price to move at or more than a tick size) with the cumulative signed volume (the difference between the number of shares purchased and number of shares sold) transacted over the price duration, expressed as the V-Net, to study the impact of tick size on market time, size and price dimensions. The results suggest that the implementation of a single tick size for different price levels is inappropriate for the IDX, and the current policy of multiple tick sizes is preferable. For frequently-traded stocks, a small tick size is not necessarily helpful for improving liquidity with high price shares but it is for those with low prices. Both price durations and V-Net metrics were higher during periods with coarse tick sizes. Moreover, lower price duration and V-Net metrics are identical to the circumstances featuring lower spreads and lower depth during small tick sizes. In terms of the behavioural perspective, this research identifies the characteristics of the stock holdings of foreign and domestic investors, and their trading behaviour, relative profitability, and trading impact along with the associated implications for the price discovery process. We found that foreign institutional investors consistently hold high market capitalisation stocks and have a long-term investment horizon in the IDX. Therefore, they are willing to pay high buy prices and accept low sell prices. Subsequently, their trades are more likely to be associated with changes in midpoint quotes and have a high impact on price changes. Local investors are generally short-term traders; they trade frequently and submit non-competitive orders because they obtain profits from the bid and ask differences. However, there are some local investors who trade based on information and are able to update their private information quicker than foreign investors.

APA, Harvard, Vancouver, ISO, and other styles

25

Salim, Heazry M. "Dynamics of corporate profitability: A study of the UK market (1981-2000)." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2006. https://ro.ecu.edu.au/theses/347.

Full text

Abstract:

This thesis investigates the behaviour of corporate profits for a sample of firms in the United Kingdom for the period 1981-2000. The competitive environment hypothesis postulates that there is an in built mechanism that forces any deviations back towards the normal rate of return through a cycle of innovation, imitation, entry and exit. One of the main objectives of this study is to determine if corporate profitability follows a random or mean reverting process. The secondary objective concerns the measurement of the mean reverting process. Empirical analysis utilises cross sectional, time series and panel data analysis to uncover the dynamics of corporate earnings and profitability. It is found that corporate profitability follows a mean reverting process. There is evidence that there is convergence towards a mean rate of about 30% per year. Also, the predictable variation in profitability is non-linear. Mean reversion is stronger when profitability is below and when it is further from its mean. The market to book value contains information on the profitability of a firm. Highly profitable firms are found to operate in less competitive environments.

APA, Harvard, Vancouver, ISO, and other styles

26

Verheij, Thomas Joel. "Responses of inflation and output to monetary shocks in a Baumol-Tobin model." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4985.

Full text

Abstract:

Mestrado em Economia Monetária e Financeira
The question of how monetary policy a¤ects the main economic variables remains one of the most important questions of the economic literature. With this dissertation I will try to contribute to the literature to answer this question. I will create a general equilibrium model with market segmentation based on the model of Alvarez et al (2009). The agents of the model will make transactions between money and bonds every N periods. The money is needed to buy goods but does not receive interest. The novelty of my model is that production will be endogenous. I will introduce a shock to the nominal interest rate and obtain the responses of in ation and output. The main conclusions are twofold. In the rst place, I obtain that the shock to the nominal interest rate has real e¤ects because in ation responds sluggishly. In the second place, I obtain that the response of in ation changes signi cantly when production is endogenous instead of exogenous.

APA, Harvard, Vancouver, ISO, and other styles

27

Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

Full text

Abstract:

This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these "new market models" and then test their practical aspects. We show that the dynamics of the LMM imply a pricing formula for caplets that has the same structure as the Black-Scholes pricing formula for a caplet that is used by market practitioners. For the SMM we also theoretically construct an arbitrage-free interest rate model that implies a pricing formula for swaptions that has the same structure as the Black-Scholes pricing formula for swaptions. We empirically compare the pricing performance of the LMM against the Black-Scholes for pricing caplets using Monte Carlo methods.

APA, Harvard, Vancouver, ISO, and other styles

28

Mittoo, Usha Rani. "Academic information and financial markets : an empirical investigation of market learning from the size anomaly." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/29023.

Full text

Abstract:

This dissertation examines the impact of academic information on the capital markets. A test of market learning from academic information is performed by examining the impact of published research about the size anomaly on the underlying asset pricing process. A theoretical framework to examine the effect of events that affect the equilibrium pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of market learning. The predictions about the learning path depend on the assumed information structure. The key hypotheses are motivated through an illustrative case in a multi-asset economy where there is more information available concerning large firms than about small firms. The econometric model of switching regimes is used to analyze the hypothesized structural change in the mean returns associated with the size variable. We postulate two regimes, one prior to and another after the incorporation of research information on the size anomaly. We find evidence of a switch in regimes with estimated mean switch located in 1983. The estimated average size premium has declined from approximately 13.6% per annum in the first regime to about -2.8% per annum in the second regime. More importantly, the switch in 1983 is not explained by any of the hypothesized economic factors that explain a large part of the stochastic variation in the size effect in the periods prior to 1983. We also find evidence of a switch in regimes when the seasonal January size effect is excluded. The evidence also suggests an increase in the trading volume associated with the information arrival. Our evidence strongly suggests that the market has undergone a change in its underlying equilibrium pricing process after the discovery of the size anomaly. The evidence supports the hypothesis that academic research relating to the size anomaly has provided useful information to the investors and the market has learnt from this information.
Business, Sauder School of
Graduate

APA, Harvard, Vancouver, ISO, and other styles

29

Law, Ka-chung, and 羅家聰. "A comparison of volatility predictions in the HK stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B30163535.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

Full text

Abstract:

"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.

APA, Harvard, Vancouver, ISO, and other styles

31

Cheng, Andersson Penny Peng. "Yield curve estimation models with real market data implementation and performance observation." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-52399.

Full text

Abstract:

It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. The purpose of this thesis is to use the real market data to construct the yield curves by the bootstrapping method and the Smith Wilson model in order to observe and compare the performance ability between the models. Furthermore, the extended Nelson Siegel model is introduced without implementation. Instead of implementation I compare the ENS model and the traditional bootstrapping method from a more theoretical perspective in order to perceive the performance capabilities of them.

APA, Harvard, Vancouver, ISO, and other styles

32

Toumanidis, Theofilactos. "Analysis and comparison of target selection models for market segmentation and development of a new approach based on fuzzy expert systems." Thesis, Aberystwyth University, 2009. http://hdl.handle.net/2160/9a5b53dc-fb2c-4894-a6a3-010f61247501.

Full text

Abstract:

Target selection models play an important role in business practice. They are the data-mining methods that enable firms to conduct market segmentation. Marketers apply them to customer databases to identify the profiles of consumers who are most interested in a particular offer or marketing proposition. However, both the marketing and data-mining literature indicate that there is inadequate research that compares target selection models in order to help practitioners understand how to apply them. With respect to this, the focus of this study is to provide guidance on the implementation of a collection of target selection models and to assess their comparative performance with regard to their practical usefulness. This study assesses the relative performance of the methods cluster analysis alongside multiple dicsriminant analysis (MDA), Chi-square automatic interaction detector (CHAID) and expert systems in predicting the weekly expenditure of grocery products of 9,854 consumers in the UK and develops a new approach based on fuzzy expert systems. The comparison of these methods is conducted by using three criteria (parity test, hit rate and lift charts) and one validation method (M-fold cross-validation). The results suggest that these methods vary in performance across different criteria. Overall, CHAID and fuzzy expert systems outperformed cluster analysis alongside MDA in terms of classification accuracy (parity test and the hit rate), moreover, as far as practical applicability is concerned (lift charts), no clear conclusions could be drawn between CHAID and cluster analysis alongside MDA on which of the two is best, while expert systems performed last. Furthermore, from the findings mentioned and from the empirical application of the methods examined, conclusions are derived on the features of their processes that affect their practical usefulness and on the way they should be implemented.

APA, Harvard, Vancouver, ISO, and other styles

33

Faciane, Kirby. "Empirical market microstructure of the FTSEurofirst index futures." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1975.

Full text

Abstract:

This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.

APA, Harvard, Vancouver, ISO, and other styles

34

Blok, Hendrik J. "On the nature of the stock market : simulations and experiments." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp03/NQ56507.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

35

Small, Wayne. "Application of cross-sector style analysis of South African equities in active portfolio management." University of the Western Cape, 2015. http://hdl.handle.net/11394/4879.

Full text

Abstract:

Magister Commercii - MCom
A distinctive phenomenon on the JSE Securities Exchange (JSE) is the market segmentation between the resource sector and the financial and industrial sectors. Criticisms also arise from employing a capitalization-weighted (cap-weighted) index such as the ALSI index when the market is less than perfectly efficient. A study conducted by Vardharah and Fabozzi (2007) also suggests that a correlation exists between sector allocation decisions and the investment styles inherent in portfolios. The uniqueness of the South African stock market is that it is dominated by three major sectors, namely, the financial sector, the industrial sector and the resources sector. The goal of this research is to examine the application of sector influences on the JSE over the examination period 1 January 2003 to 31 December 2013. It is the contention that the cap-weighted ALSI index is price-sensitive and potentially mean-variance inefficient. The study therefore attempts to evaluate the relative meanvariance efficiency of alternative sector allocation strategies versus the cap-weighted ALSI as the optimal risky portfolio on the JSE. Two optimal long-only portfolios that maximises the Sharpe ratio are constructed and compared to the market proxy on the JSE over the examination period from 1 January 2003 to 31 December 2013. A longonly portfolio that comprises the JSE tradable sector indices and includes a cash allocation (risk-free proxy) and a long-only portfolio exclusive of the cash allocation are constructed. The research extends to cross-examine the inter-relationship between sector returns and the investment styles on the JSE using the Carhart (1997) four-factor model. The research further reexamines and updates the market segmentation phenomenon over the extended examination period from 1 January 2003 to 31 December 2013. The practicality of two sector-based multifactor APT models are examined and compared to the single-factor CAPM to determine which of the asset pricing models better explain JSE equity returns. A sector-based two-factor APT model proposed by Van Rensburg (2002) using the JSE sector indices FNDI and RESI as the sector proxies is reexamined and a sector-based three-factor APT model using the JSE tradable sector indices FINI, INDI and RESI as the sector proxies is explored. The optimal long-only portfolio with the cash allocation is found to offer the best meanvariance efficient allocation and the ALSI index represents the most mean-variance inefficient portfolio. The resource sector is found to be the worst performing sector and significantly influences the performance of ALSI. In terms of the style risk influences, the financial sector has a strong value bias and the industrial sector has a moderate value bias, small cap bias and a momentum bias. The resource sector, for the most part, is influenced by growth stocks and has a contrarian tilt. It is also found that the market segmentation phenomenon continues to exist on the JSE. Although the explanatory power of the three-factor APT model and the two-factor APT model is similar, the distinct advantage of the three-factor APT model is that systematic risks could be observed more closely by separating FINI and INDI in the asset pricing model.

APA, Harvard, Vancouver, ISO, and other styles

36

Cristini, Annalisa. "OECD activity and commodity prices." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.670315.

Full text

APA, Harvard, Vancouver, ISO, and other styles

37

Godfrey, Andrea Lynn. "A product segmentation approach and its relationship to customer segmentation approaches and recommendation system approaches." Thesis, 2007. http://hdl.handle.net/2152/3054.

Full text

APA, Harvard, Vancouver, ISO, and other styles

38

Godfrey, Andrea Lynn 1973. "A product segmentation approach and its relationship to customer segmentation approaches and recommendation system approaches." 2007. http://hdl.handle.net/2152/13234.

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

"Segmentation based variational model for accurate optical flow estimation." 2009. http://library.cuhk.edu.hk/record=b5894018.

Full text

Abstract:

Chen, Jianing.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 47-54).
Abstract also in Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Background --- p.1
Chapter 1.2 --- Related Work --- p.3
Chapter 1.3 --- Thesis Organization --- p.5
Chapter 2 --- Review on Optical Flow Estimation --- p.6
Chapter 2.1 --- Variational Model --- p.6
Chapter 2.1.1 --- Basic Assumptions and Constraints --- p.6
Chapter 2.1.2 --- More General Energy Functional --- p.9
Chapter 2.2 --- Discontinuity Preserving Techniques --- p.9
Chapter 2.2.1 --- Data Term Robustification --- p.10
Chapter 2.2.2 --- Diffusion Based Regularization --- p.11
Chapter 2.2.3 --- Segmentation --- p.15
Chapter 2.3 --- Chapter Summary --- p.15
Chapter 3 --- Segmentation Based Optical Flow Estimation --- p.17
Chapter 3.1 --- Initial Flow --- p.17
Chapter 3.2 --- Color-Motion Segmentation --- p.19
Chapter 3.3 --- Parametric Flow Estimating Incorporating Segmentation --- p.21
Chapter 3.4 --- Confidence Map Construction --- p.24
Chapter 3.4.1 --- Occlusion detection --- p.24
Chapter 3.4.2 --- Pixel-wise motion coherence --- p.24
Chapter 3.4.3 --- Segment-wise model confidence --- p.26
Chapter 3.5 --- Final Combined Variational Model --- p.28
Chapter 3.6 --- Chapter Summary --- p.28
Chapter 4 --- Experiment Results --- p.30
Chapter 4.1 --- Quantitative Evaluation --- p.30
Chapter 4.2 --- Warping Results --- p.34
Chapter 4.3 --- Chapter Summary --- p.35
Chapter 5 --- Application - Single Image Animation --- p.37
Chapter 5.1 --- Introduction --- p.37
Chapter 5.2 --- Approach --- p.38
Chapter 5.2.1 --- Pre-Process Stage --- p.39
Chapter 5.2.2 --- Coordinate Transform --- p.39
Chapter 5.2.3 --- Motion Field Transfer --- p.41
Chapter 5.2.4 --- Motion Editing and Apply --- p.41
Chapter 5.2.5 --- Gradient-domain composition --- p.42
Chapter 5.3 --- Experiments --- p.43
Chapter 5.3.1 --- Active Motion Transfer --- p.43
Chapter 5.3.2 --- Animate Stationary Temporal Dynamics --- p.44
Chapter 5.4 --- Chapter Summary --- p.45
Chapter 6 --- Conclusion --- p.46
Bibliography --- p.47

APA, Harvard, Vancouver, ISO, and other styles

40

Hwang, Hsiu-min, and 黃秀敏. "Market Segmentation Mode Choice Models with Application Intercity Travel." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/90353471862251107581.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Doran, James Stephen. "On the market price of volatility risk." Thesis, 2004. http://hdl.handle.net/2152/1951.

Full text

APA, Harvard, Vancouver, ISO, and other styles

42

"Endogenous growth with imperfect capital market." 1999. http://library.cuhk.edu.hk/record=b5889837.

Full text

Abstract:

Lee Sui Fung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 59-62).
Abstract also in Chinese.
Declaration --- p.i
Acknowledgement --- p.ii
Table of Contents --- p.iii
List of Illustrations --- p.v
Notation --- p.vi
Chapter Chapter 1 --- Introduction
Chapter 1.1. --- Chapter Preview --- p.1
Chapter 1.2. --- Literature Review --- p.1
Chapter 1.2.1. --- The Development of Research on Endogenous Growth Model --- p.1
Chapter 1.2.2. --- The Development of Research on Dependent-Economy Model --- p.3
Chapter 1.2.3. --- The Development of Research on Capital Accumulation and Economic Growth --- p.4
Chapter 1.3. --- Thesis Objectives --- p.6
Chapter 1.4. --- Organization of the Thesis --- p.7
Chapter 1.5. --- Chapter Summary --- p.8
Chapter Chapter 2 --- The Endogenous Growth Model
Chapter 2.1. --- Chapter Preview --- p.10
Chapter 2.2. --- Theoretical Framework --- p.10
Chapter 2.3. --- Determination of Macroeconomic Equilibrium --- p.16
Chapter 2.3.1. --- Static Allocation Conditions --- p.17
Chapter 2.3.2. --- Macrodynamic Equilibrium --- p.18
Chapter 2.4. --- Chapter Summary --- p.21
Chapter Chapter 3 --- The Steady-State Equilibrium
Chapter 3.1. --- Chapter Preview --- p.24
Chapter 3.2. --- Conditions for Steady-State Equilibrium --- p.24
Chapter 3.2.1. --- Existence and Uniqueness of Balanced Growth Equilibrium --- p.25
Chapter 3.3. --- Long-Run Adjustment --- p.26
Chapter 3.4. --- Application of the Model --- p.31
Chapter 3.4.1. --- Increase in the Costs of Borrowing --- p.31
Chapter 3.4.2. --- Increase in the Rate of Time Preference --- p.32
Chapter 3.4.3. --- Increase in Domestic Productivity --- p.33
Chapter 3.5. --- Chapter Summary --- p.33
Chapter Chapter 4 --- The Transitional Dynamics
Chapter 4.1. --- Chapter Preview --- p.35
Chapter 4.2. --- Derivation of Transitional Adjustment Paths --- p.35
Chapter 4.3. --- Characterisation of the Transitional Dynamics --- p.38
Chapter 4.3.1. --- Increase in the Costs of Borrowing --- p.41
Chapter 4.3.2. --- Increase in the Rate of Time Preference --- p.43
Chapter 4.4. --- Chapter Summary --- p.45
Chapter Chapter 5 --- Conclusions --- p.46
Appendix1 --- p.52
Appendix2 --- p.58
References --- p.59

APA, Harvard, Vancouver, ISO, and other styles

43

"Housing market dynamics in a search economy." 2009. http://library.cuhk.edu.hk/record=b5896579.

Full text

Abstract:

Li, Kun.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 52-54).
Abstract also in Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Stylized Facts --- p.3
Chapter 1.2 --- Literature Review --- p.5
Chapter 1.3 --- Model Framework --- p.8
Chapter 2 --- The Model --- p.10
Chapter 2.1 --- The Basic Setting --- p.10
Chapter 2.2 --- Basic Assumptions of the Model --- p.14
Chapter 2.3 --- The Bargaining Process --- p.15
Chapter 2.4 --- The Determination of Ratios --- p.17
Chapter 2.4.1 --- The Rent-Price Ratio --- p.17
Chapter 2.5 --- Empirical Evidence --- p.17
Chapter 2.5.1 --- Data Sources --- p.18
Chapter 2.5.2 --- Estimation Strategy --- p.19
Chapter 2.5.3 --- Estimation Results and Discussions --- p.20
Chapter 3 --- The Model in the Long Run --- p.23
Chapter 3.1 --- Assumptions --- p.23
Chapter 3.2 --- Population Dynamics of the Model --- p.24
Chapter 3.3 --- Comparative Statics --- p.25
Chapter 3.4 --- Simulation Results in the Long Run --- p.28
Chapter 3.4.1 --- Housing Market Parameters Variation --- p.28
Chapter 3.4.2 --- Rental Market Parameters Variation --- p.31
Chapter 3.5 --- Discussion --- p.34
Chapter 4 --- The Model in the Short Run --- p.35
Chapter 4.1 --- Assumptions in the Short Run --- p.35
Chapter 4.2 --- Short-run Dynamics --- p.36
Chapter 4.3 --- Simulation Results in the Short Run --- p.37
Chapter 4.4 --- Discussions --- p.41
Chapter 5 --- The Dynamics of the Model --- p.42
Chapter 5.1 --- Dynamic Population and Bellman Equations --- p.42
Chapter 5.2 --- Transition Path in the Dynamics --- p.43
Chapter 5.2.1 --- Temporary Shocks and Impulse Responses --- p.43
Chapter 5.2.2 --- The Transition Path for Permanent Shocks --- p.45
Chapter 6 --- Further Research Directions --- p.47
Chapter 6.1 --- Tenure Choice in the Model --- p.47
Chapter 6.2 --- Market Accessability --- p.48
Chapter 6.3 --- The ´ةMismatch´ة Approach --- p.49
Chapter 7 --- Conclusion --- p.50
Bibliography --- p.52
Chapter A --- Simulation on Long-run Equilibrium --- p.55
Chapter B --- Simulation on Short-run Equilibrium --- p.60
Chapter C --- Transition Paths on Permanent Shock --- p.66
Chapter D --- Impulse Responses --- p.72

APA, Harvard, Vancouver, ISO, and other styles

44

Wang, Qi. "Volatility : a market-based approach." Phd thesis, 2005. http://hdl.handle.net/1885/150234.

Full text

APA, Harvard, Vancouver, ISO, and other styles

45

"Market size, book-to-market equity and the cross-section of stock returns: an application of the multiple-variable threshold model." 2006. http://library.cuhk.edu.hk/record=b5896519.

Full text

Abstract:

Mak Wing Hei.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.
Includes bibliographical references (leaves 50-52).
Abstracts in English and Chinese.
ABSTRACT --- p.1
摘要 --- p.2
ACKNOWLEDGEMENTS --- p.3
TABLE OF CONTENTS --- p.4
Chapter CHAPTER 1 --- INTRODUCTION & LITERATURE REVIEW --- p.6
Chapter CHAPTER 2 --- DATA DESCRIPTION --- p.12
Chapter 2.1 - --- Coverage and Sources --- p.12
Chapter 2.2 - --- Match Accounting Data with Stock Returns --- p.12
Chapter 2.3 - --- Selection Rule --- p.13
Chapter 2.4 - --- Choice of the Threshold Variables Z --- p.14
Chapter CHAPTER 3 --- THE MODEL --- p.15
Chapter 3.1 - --- Estimating excess returns & Betas --- p.15
Chapter 3.2- --- Estimating Threshold Effects --- p.17
Chapter 3.3 - --- Testing the Number of Threshold Variables --- p.19
Chapter 3.4 - --- Estimating Threshold values --- p.21
Chapter CHAPTER 4 --- PRELIMINARY OBSERVATIONS --- p.21
Chapter 4.1 - --- Excess Returns --- p.21
Chapter 4.2 - --- "Relationship between Beta, Market Size and Book-to-Market Equity" --- p.24
Chapter CHAPTER 5 --- ESTIMATION RESULTS OF THE THRESHOLD MODEL --- p.35
Chapter 5.1 - --- Number of Threshold Variables --- p.35
Chapter 5.2- --- Threshold Value Estimates --- p.39
Chapter 5.3- --- The “and´ح case and “or´حcase --- p.40
Chapter 5.4 - --- Comparison with OLS --- p.45
Chapter CHAPTER 6 --- CONCLUSION --- p.48
REFERENCES --- p.50

APA, Harvard, Vancouver, ISO, and other styles

46

"Financial market globalization, asymmetric tax and endogenous inequality of nations." 2006. http://library.cuhk.edu.hk/record=b5892960.

Full text

Abstract:

Lam Wing Shing.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.
Includes bibliographical references (leaf 33).
Abstracts in English and Chinese.
Abstract --- p.ii
摘要 --- p.iii
Acknowledgements --- p.iv
Table of Contents --- p.v
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Related Works in the Literature --- p.4
Chapter 3 --- The Model --- p.8
Chapter 3.1 --- The Basics --- p.8
Chapter 3.2 --- The Investment Decision --- p.10
Chapter 3.3 --- The Public Sector --- p.11
Chapter 3.4 --- The Constraints Combined --- p.11
Chapter 4 --- Autarky --- p.13
Chapter 5 --- The Small Open Economy --- p.15
Chapter 6 --- The World Economy --- p.19
Chapter 6.1 --- The World Economy under Symmetric Tax --- p.19
Chapter 6.1.1 --- Symmetric Steady States --- p.19
Chapter 6.1.2 --- Stable Asymmetric Steady States --- p.21
Chapter 6.2 --- The World Economy under Asymmetric Tax --- p.23
Chapter 6.2.1 --- Stable Steady States under Asymmetric Tax --- p.23
Chapter 6.2.2 --- Discussion --- p.27
Chapter 7 --- Conclusion --- p.31
References --- p.33
Appendices --- p.34
Proof of Lemma --- p.34
Proof of Proposition 2 --- p.36
Proof of Proposition 3 --- p.40
Proof of Proposition 4 --- p.43
Proof of Proposition 5 --- p.46
Figure 1 - Dynamics - autarky --- p.58
Figure 2 - Asymmetric tax - autarky --- p.58
Figure 3 - Dynamics - small open economy --- p.59
Figure 4 - Asymmetric tax - small open economy --- p.60
Figure 5 - Asymmetric tax - world economy --- p.60
Figure 6 - Equality of nations in asymmetric tax --- p.60
Figure A. 1 for Proof of Proposition 4 --- p.61
Figure A.2 for Proof of Proposition 5 --- p.61
Figures A.3-A.4(d) for Proof of Proposition 5 --- p.62
Figures A.4(e)-A.5 for Proof of Proposition 5 --- p.63

APA, Harvard, Vancouver, ISO, and other styles

47

"The Hong Kong labor market: an unemployment-vacany analysis." 1999. http://library.cuhk.edu.hk/record=b5890090.

Full text

Abstract:

by Chan, Yuk Fai Weslie.
Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 67-70).
Abstracts in English and Chinese.
Acknowledgments --- p.ii
English Abstract --- p.iv
Chinese Abstract --- p.v
Table of Contents --- p.vi
List of Tables --- p.viii
List of Figures --- p.ix
List of Appendices --- p.x
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Theoretical Background --- p.6
Chapter 2.1 --- Concepts of Beveridge Curve --- p.7
Chapter 2.2 --- Beveridge Curve Derived from Labori Market Stock-Flow Identities --- p.15
Chapter 2.2.1 --- Some Basic Labor Market Stork-Flow Identities --- p.15
Chapter 2.2.2 --- Steady State Properties of Beveridge Curve --- p.19
Chapter 2.2.3 --- Comparative Static Analysis of Beveridge Curve --- p.20
Chapter 2.2.4 --- Short Run Dynamics along Beveridge Curve --- p.24
Chapter 2.3 --- Beveridge Curve Derived from Matching Function Approach --- p.25
Chapter Chapter 3. --- Empirical Evidences --- p.28
Chapter 3.1 --- Decomposition of Total Unemployment of Hong Kong --- p.28
Chapter 3.2 --- Beveridge Curve of Hong Kong --- p.31
Chapter 3.2.1 --- Time Series Estimation of Hong Kong's Beveridge Curve --- p.32
Chapter 3.2.2 --- Cross Sectorial Estimation of Hong Kong's Beveridge Curve --- p.33
Chapter 3.3 --- Natural Unemployment Rate --- p.34
Chapter 3.4 --- Unemployment-Vacancy Ratio --- p.36
Chapter 3.4.1 --- Relation between U-V Ratio and K-L ratio --- p.38
Chapter Chapter 4. --- Conclusion --- p.41
Tables --- p.42
Figures --- p.46
Appendices --- p.56
Bibliography --- p.64

APA, Harvard, Vancouver, ISO, and other styles

48

"Interest rate market models and their uses in insurance products." 2008. http://library.cuhk.edu.hk/record=b5893755.

Full text

Abstract:

Chow, Chui Ngan.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 76-79).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Interest Rate Models --- p.6
Chapter 2.1 --- Short Rate Models --- p.7
Chapter 2.2 --- Heath-Jarrow-Morton Framework --- p.8
Chapter 2.3 --- Bond Market Models (BMM) --- p.9
Chapter 3 --- Mortality Models --- p.13
Chapter 3.1 --- Deterministic Survival Functions --- p.13
Chapter 3.2 --- Stochastic Mortality Models --- p.15
Chapter 4 --- Guaranteed Annuity Options under BMM --- p.16
Chapter 4.1 --- Model Settings --- p.17
Chapter 4.1.1 --- Financial Variables --- p.17
Chapter 4.1.2 --- Mortality --- p.19
Chapter 4.2 --- Guaranteed annuity option --- p.21
Chapter 4.3 --- Numerical results --- p.23
Chapter 4.3.1 --- Simulation Study --- p.24
Chapter 4.3.2 --- Empirical results --- p.29
Chapter 5 --- Longevity Bond Market Models --- p.34
Chapter 5.1 --- Model Settings --- p.35
Chapter 5.1.1 --- Theoretical Settings --- p.35
Chapter 5.1.2 --- Risk-free Bonds and Longevity Bonds --- p.36
Chapter 5.2 --- Applications on Potential Mortality-Linked Products --- p.41
Chapter 5.3 --- Numerical Results --- p.45
Chapter 5.3.1 --- Simulation Settings --- p.46
Chapter 5.3.2 --- Simulation Results --- p.49
Chapter 6 --- Conclusion --- p.53
Chapter A --- Equation Derivation --- p.56
Chapter A.l --- Proof for Proposition (4.2.1) --- p.56
Chapter A.2 --- Proof for Proposition (4.2.2) --- p.58
Chapter A.3 --- Proof for Proposition (5.3.1) --- p.61
Chapter A.4 --- Proof for Proposition (5.3.2) --- p.66
Chapter B --- Results --- p.71
Chapter B.l --- Valuation Results for GAO under BMM --- p.71
Chapter B.1.1 --- Simulation Situations --- p.71
Chapter B.1.2 --- Calibration Results --- p.72
Chapter B.1.3 --- Valuation Results --- p.74

APA, Harvard, Vancouver, ISO, and other styles

49

"A nonparametric investigation of duration dependence in stock market cycles." 2006. http://library.cuhk.edu.hk/record=b5896506.

Full text

Abstract:

Li Zimu.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.
Includes bibliographical references (leaves 65-68).
Abstracts in English and Chinese.
Abstract --- p.ii
中文摘要 --- p.iii
Acknowledgements --- p.iv
Contents --- p.v
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Literature Review --- p.5
Chapter 2.1 --- Duration Dependence in Business Cycles --- p.5
Chapter 2.2 --- Duration Dependence in Stock Market Cycles --- p.7
Chapter 2.3 --- Definition of Bull and Bear Markets --- p.10
Chapter Chapter 3. --- Nonparametric Tests for Duration Dependence --- p.12
Chapter 3.1 --- Duration Dependence --- p.12
Chapter 3.2 --- Stock Market Cycle Periodicity --- p.15
Chapter 3.3 --- W and W (t0 =a) Tests --- p.18
Chapter 3.4 --- Z and Z (t0 =a) Tests --- p.20
Chapter Chapter 4. --- Data Analysis --- p.21
Chapter 4.1 --- Dow Jones Industrial Average Index --- p.23
Chapter 4.2 --- NASDAQ Composite Index --- p.29
Chapter 4.3 --- Shanghai A Share Index --- p.33
Chapter 4.4 --- Shenzhen B Share Index --- p.38
Chapter Chapter 5. --- Empirical Results --- p.42
Chapter 5.1 --- Dow Jones Industrial Average Index --- p.45
Chapter 5.2 --- NASDAQ Composite Index --- p.47
Chapter 5.3 --- Shanghai A Share Index --- p.49
Chapter 5.4 --- Shenzhen B Share Index --- p.51
Chapter 5.5 --- Summary of Significant W and Z tests --- p.53
Chapter Chapter 6. --- Sub-sample Analysis --- p.54
Chapter 6.1 --- Sub-sample 1 of the Dow Jones Index´ؤ --- p.56
Chapter 6.2 --- Sub-sample 2 of the Dow Jones Index´ؤ --- p.57
Chapter 6.3 --- Comparison of Sub-samples of the Dow Jones Index --- p.58
Chapter 6.4 --- Comparison of the Dow Jones Index and the NASDAQ Composite Index --- p.60
Chapter Chapter 7. --- Conclusion --- p.62
References --- p.65

APA, Harvard, Vancouver, ISO, and other styles

50

Msipa, Chipo. "Does the Taylor Rule outperform market forecasts of interest rates?" Thesis, 2016. http://hdl.handle.net/10539/21799.

Full text

Abstract:

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016.
This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons.
MT2017

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic 'Market segmentation Mathematical models'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles