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A nonlinear parametric model of liquidity in financeBakstein, David January 2002 (has links)
No description available.
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On Risk Prevention and Supervision of Local Trading Platforms for Financial AssetsJanuary 2017 (has links)
abstract: This dissertation focuses on risk prevention and regulatory issues of financial asset trading platforms, exploring the composition of a financial asset trading platform and its risks, formulating the general framework of platform risk prevention and regulation, and discussing the methodologies for monitoring and managing the risk of financial assets trading platform. The dissertation is divided into eight chapters. The first chapter is the introduction, which discusses the current status in this research field, the motivation and significance of the research topic. The second chapter discusses the transaction cost theory, information asymmetry theory, financial risk management theory, financial supervision theory and other related basic theories related to financial asset trading platform risk prevention and supervision. The third chapter presents the definition, the main types, the generating mechanism and the transmission mechanism of the financial asset trading platform. The fourth chapter elaborates theoretically on the general framework of financial asset trading platform risk prevention and supervision based on the aspects of basic principles, key tasks, applicable methods and constituent elements. The fifth chapter discusses the performance of financial asset trading business, asset return trading business, financing business and information coupling business on financial asset trading platforms, and analyzes the risk prevention of financial asset trading platforms from a business perspective. The sixth chapter discusses the development of financial asset trading platforms in developed countries, and summarizes the experience and practice of their risk prevention and supervision based on four categories of business lines. On this basis, the dissertation draws the inspiration and implications for the future development of the trading platforms in our country. The seventh chapter puts forward policy recommendations regarding risk prevention and supervision of financial asset trading platforms in five aspects: legal positioning, credit information system, protection of consumer rights, self-discipline management and business supervision. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2017
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Estudo de séries de tempo financeiras sob a perspectiva do teorema das seções de Lévy / Finalcial time series analysis based on Lévy's section theorem perspectiveRanciaro Neto, Adhemar 25 June 2013 (has links)
This study aimed to analyze financial time series grounded on a perspective of time measure
changing, based on accumulation of volatility of returns relative to the prices observed. Such
a scale was used for two reasons: the first one is related to Ludwig Von Mises’ proposition of
time concept in an economic system and the second one is related to the acceleration of
convergence in Gaussian distribution of a sequence of random variables, according to Lévy
sections theorem. By means of implementation of this new timeline, we designed a type of
trading asset strategy which its resulting average returns and risk were compared to a strategy
using daily time unit. Results suggested reflection about statistical and measurement
procedures applied to the data. / O objetivo deste trabalho foi o de estudar séries temporais financeiras fundamentadas em uma
perspectiva de alteração de medida de tempo, baseada no acúmulo de volatilidade dos
retornos relativos aos preços observados. Esta escala foi utilizada por dois motivos: o
primeiro está relacionado à proposta de Ludwig von Mises sobre a ideia de tempo em um
sistema econômico e o segundo está associado à capacidade que tal medida tem de acelerar o
processo de convergência de distribuição de uma sequência de variáveis aleatórias para a
Gaussiana, de acordo com o teorema das seções de Lévy. Com base nesta nova escala
temporal, foi elaborado um tipo de estratégia de negociação de ativos tendo seus retornos
médios e risco sido avaliados em comparação com uma estratégia utilizando o tempo em
unidades diárias. Os resultados obtidos motivaram a reflexão sobre as estatísticas utilizadas e
os procedimentos para a mensuração de desempenho de cada estratégia.
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