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From the market microstructure perspective, technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price. However, chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift. Consequently, technical trading may result in erroneous trading recommendations and substantial losses. This paper presents an uncertainty reduction approach based on fuzzy logic that addresses two problems related to the uncertainty embedded in technical trading strategies: market timing and order size. The results of our high-frequency exercises show that ‘fuzzy technical indicators’ dominate standard moving average technical indicators and filter rules for the Euro-US dollar (EUR-USD) exchange rates, especially on high-volatility days.  相似文献   
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Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data-generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price changes. On the other hand, statistical properties of monthly price changes are often not fully covered by a model based on daily price changes. In this paper, we simultaneously model regimes of volatilities at multiple time scales through wavelet-domain hidden Markov models. We establish an important stylized property of volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state at shorter time horizons. Our analysis provides evidence that volatility is a mixture of high and low volatility regimes, resulting in a distribution that is non-Gaussian. This result has important implications regarding the scaling behavior of volatility, and, consequently, the calculation of risk at different time scales.  相似文献   
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This paper introduces an analytically tractable method for the pricing of European and American Parisian options in a flexible jump–diffusion model. Our contribution is threefold. First, using a double Laplace–Carson transform with respect to the option maturity and the Parisian (excursion) time, we obtain closed-form solutions for different types of Parisian contracts. Our approach allows us also to analytically disentangle contributions of the jump and diffusion components for Parisian options in the excursion region. Second, we provide numerical examples and quantify the impact of jumps on the option price and the Greeks. Finally, we study the non-monotonic effects of volatility and jump intensity close to the excursion barrier, which are important for shareholders’ investment policy decisions in a levered firm.  相似文献   
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We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash.  相似文献   
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Abstract:  We investigate the relation between UK accounting earnings volatility and the level of future earnings using a unique sample comprising some 10,480 firm-year observations for 1,481 non-financial firms over the 1985–2003 period. The findings confirm the in-sample result of an inverse volatility-earnings relation only for the 1998–2003 sub-period and for the most profitable firms. The out-of-sample forecast accuracy for the top earnings quintile improves when volatility is added as a regressor to a model including only lagged earnings. The findings are consistent with the over-investment hypothesis and the view that the earnings of the most volatile firms tend to mean revert more rapidly.  相似文献   
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Agricultural specialization and height in ancient and medieval Europe   总被引:2,自引:0,他引:2  
Land per capita was one important determinant of height in the Malthusian world 0 to 1800 A.D. A second factor was specialization in milk cattle agriculture. It had two positive effects on human stature: first, proximity to protein production resulted in a very low local shadow price of milk, as this important foodstuff could not be transported easily. Second, this low price resulted in a low inequality of nutritional status, whereas, for example, tradable pork contributed to nutritional inequality. For this study, we used a data set of more than two million animal bones to measure specialization in cattle and its impact on stature.  相似文献   
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From the perspective that integrates marketing and banking practice and theory, this work reaffirms the relevance of interactions between the issues of ‘what’ (marketing strategy) and ‘why’ (financial performance). The key finding is that the marketing strategy–financial performance link faces serious difficulties, but they do not inevitably prevent the promotion and greater acceptance of the basic idea. The strongest barriers include negative attitudes of marketers to the language of financial indicators, different paradigms of people from marketing and banking, insufficient presence of the key concepts in the basic literature and unrealistic requirements of academic models. On the other side, the demand that becomes more powerful and sophisticated, and intensifying competition, are the major drivers of positive changes in practice and theory. Greater respect for risk indicators, improved short-term/long-term balance, stronger integration of marketing strategy elements, as well as more realistic general frameworks, constitute the group of encouraging trends.  相似文献   
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