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Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
Security Transaction Volume-Price Behavior Wave
2010/10/18
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We ...
Study of Green Behavior with a Focus on Mexican Individuals
Green Behavior Mexican Individuals Environmental Marketing Strategies
2013/2/23
Studies of green behavior have awakened a growing interest, since the accelerated environmental degradation is partly attributed to a lack of such behavior. However it is not an easy task to modify co...
Analysis of Culture and Buyer Behavior in Chinese Market
Culture Buyers’ behavior Chinese market
2009/12/1
Culture is the most basic cause of a person’s wants and behavior. Country, like China, who has such a long history, has rich culture background. So it is very critical for international cooperates who...
The Effects of Excise Tax on Cigarette Consumption: A Divergence in the Behavior of Youth and Adults
Excise Tax Cigarette Consumption the Behavior of Youth and Adults
2009/11/30
There has been a lot of research done to better understand the effects
of taxation on cigarette consumption. Since cigarettes are addictive, it could be
expected that taxation would have little or...
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Universal Behavior of Extreme Price Movements in Stock Markets
Universal Behavior Extreme Price Movements Stock Markets
2010/11/3
Many studies assume stock prices follow a random process known as geometric Brownian motion.
Although approximately correct, this model fails to explain the frequent occurrence of extreme price movem...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
Turnover account value real traders portfolio optimizing behavior
2010/11/3
Despite the availability of very detailed data on nancial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-ba...
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Properties Fluctuations Check Market Behavior
2010/11/1
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical ...
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Moment Explosions Long-Term Behavior Affine Stochastic Volatility Models
2010/12/13
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [20...
Rationality, behavior, institutional and economic change in Schumpeter
Rationality behavior institutional economic change Schumpeter
2014/6/24
In 1940 Schumpeter wrote a paper entitled: “The Meaning of Rationality in the Social Sciences” , which was intended to on e of the meetings of a seminar including Talcott Parsons, Wassilly Léontief,...
Corporate Manager’s Behavior Restriction Model
Ownership Structure Investor Protection and Manager’s Behavior Restriction
2007/4/9
The issues of investor protection and manager’s behavior restriction have been discussed since the naissance of corporation. This paper will demonstrate the following basic hypothesis by a simple mode...
Lifestyle changes and their influence on customer behavior
consumer behavior shopping-entertainment centre trade questionnaire research
2014/3/20
Globalization in trade, the continual expansion of the significant European and world-wide foreign trade networks into the countries of Middle and Eastern Europe and the rise in the number of sh...
Consumer behavior at the Slovak dairy market
dairy trends consumer behavior marketing research
2014/3/20
The marketing concept in the Slovak dairy industry used to be production focused and the only task was to produce the cheap bulk commodities. Nowadays markets become more and more segmented. The numbe...