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A computational methodology for modelling the dynamics of statistical arbitrageBurgess, Andrew Neil January 2000 (has links)
No description available.
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Three Essays on Price Dynamics and Causations among Energy Markets and Macroeconomic InformationHong, Sung Wook 1977- 14 March 2013 (has links)
This dissertation examines three important issues in energy markets: price dynamics, information flow, and structural change. We discuss each issue in detail, building empirical time series models, analyzing the results, and interpreting the findings. First, we examine the contemporaneous interdependencies and information flows among crude oil, natural gas, and electricity prices in the United States (US) through the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model, Directed Acyclic Graph (DAG) for contemporaneous causal structures and Bernanke factorization for price dynamic processes. Test results show that the DAG from residuals of out-of-sample-forecast is consistent with the DAG from residuals of within-sample-fit. The result supports innovation accounting analysis based on DAGs using residuals of out-of-sample-forecast. Second, we look at the effects of the federal fund rate and/or WTI crude oil price shock on US macroeconomic and financial indicators by using a Factor Augmented Vector Autoregression (FAVAR) model and a graphical model without any deductive assumption. The results show that, in contemporaneous time, the federal fund rate shock is exogenous as the identifying assumption in the Vector Autoregression (VAR) framework of the monetary shock transmission mechanism, whereas the WTI crude oil price return is not exogenous. Third, we examine price dynamics and contemporaneous causality among the price returns of WTI crude oil, gasoline, corn, and the S&P 500. We look for structural break points and then build an econometric model to find the consistent sub-periods having stable parameters in a given VAR framework and to explain recent movements and interdependency among returns. We found strong evidence of two structural breaks and contemporaneous causal relationships among the residuals, but also significant differences between contemporaneous causal structures for each sub-period.
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Superstatistics and symbolic dynamics of share price returns on different time scalesXu, Dan January 2017 (has links)
Share price returns on different time scales can be well modeled by a superstatistical dynamics. We provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time scales. It is shown that while chi-square-superstatistics works well on a time scale of days, on a much smaller time scale of minutes the price changes are better described by lognormal superstatistics. The system dynamics thus exhibits a transition from lognormal to chi-square-superstatistics as a function of time scale. We discuss a more general model interpolating between both statistics which fits the observed data very well. We also present results on correlation functions of the extracted superstatistical volatility parameter, which exhibits exponential decay for returns on large time scales, whereas for returns on small time scales there are long-range correlations and power-law decays. We also apply the symbolic dynamics technique from dynamical system theory to analyse the coarse-grained evolution of share price returns. A nontrivial spectrum of Renyi entropies is found. We study how the spectrum depends on the time scale of returns, the sector of stocks considered, as well as the number of symbols used for the symbolic description. Overall our analysis confirms that in the symbol space transition probabilities of observed share price returns depend on the entire history of previous symbols, thus emphasizing the need for a model of share price evolution based on non-Markovian stochastic processes. Our method allows for quantitative comparisons of entirely different complex systems, for example the statistics of coarse-grained share price returns using 4 symbols can be compared with that of other complex systems.
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Three Essays on Signalling and Price Dynamics in Mergers and AcquisitionsDAVIS, FREDERICK JAMES 15 August 2011 (has links)
In this dissertation, I investigate three different issues related to signalling and price dynamics in mergers and acquisitions. The first issue is whether the act of raising capital signals an increase in takeover probability for a forthcoming target. Analysing target returns under event-study methodology, I find that this is indeed the case, as was initially pre-supposed by financial journalists. The second issue is whether the observed increase in target returns which are associated with the increase in takeover probability can be attributed to the actions of sophisticated traders, either via information leakage or through the adept analysis of publicly available information. An examination of price-volume dynamics reveals that investors incorporate the increased likelihood of a takeover attempt into target firm returns without necessarily resorting to illegal insider trading. The final issue is whether this public signal of raising capital impacts the target price runup and takeover premium in a meaningful way. Multivariate regression analysis reveals substantial support that raising capital close in proximity to the acquisition announcement date is associated with significant increases in both target firm returns as well as takeover premiums paid by acquiring firms. In sum, these three essays provide evidence which supports the notion that raising capital can act as both a statistically and economically significant signal to all market participants of a forthcoming takeover attempt. / Thesis (Ph.D, Management) -- Queen's University, 2011-08-12 10:35:35.142
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The Australian Housing Market: Price Dynamics and Capital Stock GrowthMikhailitchenko, Serguei, na January 2008 (has links)
This study was motivated by the desire to contribute to the understanding of the movement of house prices and the role of the so-called economic fundamentals in the housing market, especially within an Australian context. The core objective of this thesis is to aid understanding of the economic and other mechanisms by which the Australian housing market operates. We do this by constructing an analytical framework, or model, that encompasses the most important characteristics of the housing market. This thesis examines two important aspects of the Australian housing market: movements of house prices and changes in the net capital stock of dwellings in Australia. Movements of house prices are modelled from two perspectives: firstly, using the fundamental approach, which explains the phenomena by changes in such fundamental explanatory variables as income, interest rates, population and prices of building materials, and secondly, by analysing spatial interdependence of house prices in Australian capital cities. Changes in stock of dwellings were also modelled on the basis of a fundamental approach by states and for Australia as a whole...
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Heath–Jarrow–Morton models with jumpsAlfeus, Mesias 03 1900 (has links)
Thesis (MSc)--Stellenbosch University, 2015. / ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to
pricing and hedging interest rate derivatives. This study implemented the extended HJM
framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is
replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised
hyperbolic processes was studied. This approach was motivated by empirical evidence
proving that models driven by a Brownian motion have several shortcomings, such as inability
to incorporate jumps and leptokurticity into the price dynamics. Non-homogeneous Lévy
processes and the change of measure techniques necessary for simplification and derivation of
pricing formulae were also investigated. For robustness in numerical valuation, several transform
methods were investigated and compared in terms of speed and accuracy. The models
were calibrated to liquid South African data (ATM) interest rate caps using two methods of
optimisation, namely the simulated annealing and secant-Levenberg–Marquardt methods.
Two numerical valuation approaches had been implemented in this study, the COS method
and the fractional fast Fourier transform (FrFT), and were compared to the existing methods
in the context. Our numerical results showed that these two methods are quite efficient and
very competitive. We have chose the COS method for calibration due to its rapidly speed and
we have suggested a suitable approach for truncating the integration range to address the
problems it has with short-maturity options. Our calibration results provided a nearly perfect
fit, such that it was difficult to decide which model has a better fit to the current market state.
Finally, all the implementations were done in MATLAB and the codes included in appendices. / AFRIKAANSE OPSOMMING : Die standaard-Heath–Jarrow–Morton-raamwerk (kortom die HJM-raamwerk) is daarvoor bekend
dat dit op die prysbepaling en verskansing van afgeleide finansiële instrumente vir rentekoerse
toegepas kan word. Hierdie studie het die uitgebreide HJM-raamwerk geïmplementeer
wat deur Eberlein en Raible (1999) bekendgestel is en waarin ’n Brown-beweging deur ’n
breë klas prosesse met spronge vervang word. In die besonder is die HJM wat deur veralgemeende
hiperboliese prosesse gedryf word ondersoek. Hierdie benadering is gemotiveer
deur empiriese bewyse dat modelle wat deur ’n Brown-beweging gedryf word verskeie tekortkominge
het, soos die onvermoë om spronge en leptokurtose in prysdinamika te inkorporeer.
Nie-homogene Lévy-prosesse en die maatveranderingstegnieke wat vir die vereenvoudiging en
afleiding van prysbepalingsformules nodig is, is ook ondersoek. Vir robuustheid in numeriese
waardasie is verskeie transformmetodes ondersoek en ten opsigte van spoed en akkuraatheid
vergelyk. Die modelle is vir likiede Suid-Afrikaanse data vir boperke van rentekoerse sonder
intrinsieke waarde gekalibreer deur twee optimiseringsmetodes te gebruik, naamlik die gesimuleerde
uitgloeimetode en die sekans-Levenberg–Marquardt-metode.
Twee benaderings tot numeriese waardasie is in hierdie studie gebruik, naamlik die kosinusmetode
en die fraksionele vinnige Fourier-transform, en met bestaande metodes in die konteks
vergelyk. Die numeriese resultate het getoon dat hierdie twee metodes redelik doeltreffend
en uiters mededingend is. Ons het op grond van die motiveringspoed van die kosinus-metode
daardie metode vir kalibrering gekies en ’n geskikte benadering tot die trunkering van die
integrasiereeks voorgestel ten einde die probleem ten opsigte van opsies met kort uitkeringstermyne
op te los. Die kalibreringsresultate het ’n byna perfekte passing gelewer, sodat dit
moeilik was om te besluit watter model die huidige marksituasie die beste pas. Ten slotte is
alle implementerings in MATLAB gedoen en die kodes in bylaes ingesluit.
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Filtros de cartéis baseados em dinâmicas de preço: uma aplicação ao varejo de combustíveis do BrasilSilva, André Suriane da 27 April 2016 (has links)
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Previous issue date: 2016-04-27 / FAPEMIG - Fundação de Amparo à Pesquisa do Estado de Minas Gerais / Este trabalho consiste em identificar e realizar a aplicação de metodologias capazes de filtrar comportamentos anticompetitivos através da análise da dinâmica de preços praticados pelas firmas no mercado de gasolina a varejo do Brasil. O objetivo foi avaliar métodos capazes de filtrar mercados com maior potencial de conluio, analisando padrões de precificação próprios de cartel no setor. A principal justificativa para este estudo, é contribuir na tarefa de reunião de indícios da existência de cartel para o SBDC (Sistema Brasileiro de Defesa da Concorrência), que ainda carece de estudos aprofundados sobre instrumentos de detecção de cartéis. Para a execução dos objetivos, considerou-se os casos de cartel julgados pelo CADE, em conjunto com a caracterização do mercado. Os padrões de precificação associados aos mercados colusivos foram comparados com dados simulados de concorrência, por meio da construção de indicadores estimados por métodos de séries de tempo, para compor estatísticas próprias de cada natureza competitiva. Os modelos de séries de tempo utilizados foram baseados em testes de: cointegração, assimetria de preço, variância, quebras estruturais e mudanças de regime. Por fim, os indicadores foram avaliados quanto à capacidade de diferenciar comportamento colusivo de competitivo no mercado de gasolina a varejo do Brasil, e conjuntamente foi construído um indicador para diferenciação destes comportamentos. Os resultados gerais mostraram que dinâmicas de preço são relevantes para filtrar cartel, sendo as análises de variância ao longo do tempo, variância entre firmas e mudanças de regime de precificação, os mais significativos para inferir a possibilidade de conluio. / This work aims to identify and implement methodologies capable of filtering anticompetitive behavior by analyzing the dynamics of firms’ prices in the Brazil’s retail gas market. The objective was to evaluate methods capable to filter markets with the greatest collusion potential, analyzing pricing patterns similar to ones used by the sector’s cartels. The main reason for this study is to contribute in the existing cartel evidences to the SBDC (Brazilian System of Competition Defense), which still lacks depth studies on cartel detection instruments. To implement the proposed objectives, it analyzed the cartel cases judged by CADE along with the characterization of the market. The pricing patterns associated with collusive market were compared with simulated competition data, through the construction of indicators estimated by time series methods to compose own statistics of each competitive nature. The time series models chosen were based on the tests of: cointegration, price asymmetry, variance, structural breaks and changes of regimes. Finally, it evaluated the indicators on their ability to differentiate competitive from collusive behavior in Brazil’s retail gas market, also it was built an indicator to differentiate these behaviors. The overall results showed that are relevant dynamic price for filtering cartel being analyzes of variance over time , variance between firms and pricing regime changes, the most significant to infer the possibility of collusion.
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The Predictability of Speculative Bubbles : An examination of the log-periodic power law modelGustavsson, Marcus, Levén, Daniel January 2015 (has links)
In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime.We find evidence which support the occurrence of LPPL-patterns leading up to the change in regime; asset prices during bubble periods seem to oscillate around a faster-than-exponential growth. In most cases the estimation yields accurate predictions, although we conclude that the predictions are quite dependent on at which point in time the prediction is conducted. We also find that the end of a speculative bubble seems to be influenced by both endogenous speculative growth and exogenous factors. For this reason we propose a new way of interpreting the predictions of the model, where the end dates should be interpreted as the start of a time period where the asset prices are especially sensitive to exogenous events. We propose that negative news during this time period results in a regime shift of the bubble. This study is the first to address both the possibilities and the limitations of the LPPL-model, and should therefore be considered as a contribution to the academia.
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La convergence au sein d’une union monétaire : approches par la dynamique des prix et le taux de change d’équilibre. / Convergence within a monetary union : approaches through price dynamics and equilibrium exchange rates.Guerreiro, David 26 October 2012 (has links)
Cette thèse analyse la convergence au sein d’une union monétaire par l’intermédiaire de la dynamique des prix et des taux de change d’équilibre. Dans le premier chapitre nous présentons les caractéristiques générales des zones monétaires, ainsi que l’historique de celles que nous étudions : l’UEM et la zone CFA. Le deuxième chapitre traite de la convergence des prix au sein de la zone euro par le biais de modèles à transition lisse. La convergence est non-linéaire, et les vitesses d’ajustements sont différentes selon les pays. Ceci s’explique par les différences dans l’évolution de la compétitivité-prix, les rigidités du marché du travail, mais aussi les schémas de spécialisation. Le troisième chapitre évalue la validité de la Parité des Pouvoirs d’Achat absolue au sein de l’UEM à travers des tests de racine unitaire et de cointégration en panel de deuxième et de troisième générations. Dans l’ensemble, la dynamique des prix apparaît hétérogène et dépendante des périodes d’évolution de l’UEM ainsi que des groupes de pays considérés. Le quatrième chapitre relie les déséquilibres externes à la crise de la dette souveraine que connait l’UEM depuis 2009. Nous montrons que lorsqu’un pays appartenant à une union monétaire fait face à un déséquilibre externe vis-à-vis d’un autre pays membre, l’écart de taux d’intérêts correspondant tend à s’accroître. De plus, lorsque ces déséquilibres persistent, ils peuvent déclencher une crise de la balance des paiements. Enfin le dernier chapitre s’intéresse à la pérennité de la zone CFA. En comparant cette dernière à un échantillon composé d’autres pays d’Afrique Subsaharienne, nous mettons en évidence que malgré son non-respect des critères d’optimalité, la zone CFA a favorisé les équilibres internes et externes, et facilité les ajustements aussi bien au niveau de l’ensemble de la zone, qu’au niveau individuel. Ceci laisse penser que cette union est soutenable. / This thesis analyses the convergence among a monetary union through the price dynamics and the equilibrium exchange rates. In the first chapter we introduce the main characteristics of the monetary areas, as well as the history of those under study: the EMU and the CFA franc zone. The second chapter deals with the price convergence inside the Eurozone via smooth transition regressions. This process is non-linear, and adjustment speeds are dissimilar depending on the countries. It is explained by the differences in the evolution of price competitiveness, labor market rigidities, but also specialization patterns. The third chapter investigates the validity of the absolute Purchasing Power Parity within EMU thanks to second and third generation panel unit root and cointegration tests. On the whole, price dynamics seems to be heterogeneous and depends on the EMU period and group countries considered. The fourth chapter links external disequilibria to the sovereign debt crisis experienced by EMU since 2009. We exhibit that when a country belonging to a monetary union faces an external disequilibrium relative to its main partner, the interest rates spread tends to increase. Moreover, when these disequilibria are persistent, they may trigger a balance of payments crisis. Finally, the last chapter pays attention to the permanence of CFA franc zone. By comparing the latter to a sample of other Sub-Saharan African countries, we evidence that the CFA franc zone has fostered external and internal balances, facilitated adjustments in the zone as a whole, as well as in each of its member, even if it does not fulfill the optimality criteria. This suggests that the union is sustainable.
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Prix des matières premières dans le domaine automobile : une analyse économétrique de la dynamique du prix des plastiques / Feedstock prices in the automotive industry : an econometric analysis of plastic price dynamicsCremaschi, Damien 20 November 2012
Le secteur automobile est de plus en plus dépendant aux matières plastiques dont le niveau et la volatilité des prix ont fortement augmenté au cours des dix dernières années, sous l’effet supposé des variations du prix du pétrole qui est le principal input nécessaire à leur fabrication. La thèse vise à fournir des outils économétriques permettant d’analyser et gérer le risque de variations des prix des principales matières plastiques utilisées dans l’industrie automobile. À l’aide des méthodologies de cointégration, nous montrons que les relations d’équilibre de long terme et les dynamiques de court terme mettent en évidence un mécanisme de transmission des variations des coûts de production sur le prix des plastiques situés en aval du processus productif. L’existence de relations de cointégration significatives entre les prix pétrochimiques et pétroliers justifie l’élaboration de stratégies de couverture contre les variations des coûts de production et l’estimation de modèles à correction d’erreur qui permettent d’affiner les prévisions des prix. / The automotive industry is increasingly dependent on plastic materials whose price level and volatility have risen sharply over the past decade due to the assumed effect of fluctuations in crude oil prices, which is the key feedstock in the production of final products such as plastics. This thesis aims to provide econometric tools to analyze, understand, and manage the risk of price volatility of major plastics materials consumed in the automotive industry. Using the cointegration methodology, we show that long-term equilibrium relationship and short-term dynamics reveal the transmission mechanism of input prices changes from the upstream market to the prices of plastics materials on the downstream market. The significant cointegration relationships between petrochemical and crude oil prices justify the development of hedging strategies against inputs prices fluctuation and the estimation of error correction models that should produce better prices forecast.
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