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Economists are as perplexed as anyone by the behavior of the stock market. Figure 1 shows a broad measure of stock-market value in relation to GDP from 1947 through 2000. In addition to saw-tooth move...
The value of a firm’s securities measures the value of the firm’s productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measur...
华中科技大学投资学课件Chapter11 Market Efficiency。
Reaching for Yield in the Bond Market
Fixed Income Reaching For Yield Financial Intermediation Insurance Companies Insurance Bonds
2015/4/27
Reaching-for-yield—the propensity to buy riskier assets in order to achieve higher yields—is believed to be an important factor contributing to the credit cycle. This paper analyses this phenomenon in...
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Market dynamics financial shocks
2010/10/20
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a pe...
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/12/6
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Target market risk evaluation
Risk market entry investment evaluation Discounted Cash Flow
2010/10/21
After the shocking series of bankruptcies started in 2008, the public does not trust anymore the classical methods of assessing business risks. The global economic severe downturn caused demand for bo...
A discussion of stock market speculation by Pierre-Joseph Proudhon
Proudhon speculation stock market
2010/10/20
The object of this contribution is to present the ideas behind the thinking of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...
Critical comparison of several order-book models for stock-market fluctuations
order-book models stock-market fluctuations
2010/12/13
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel...
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
limit orders market orders tail risks
2011/3/31
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system b...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion sequential
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...