Thesis (Ph.D.)--Southern Illinois University at Carbondale, 2000. / Major Professor: Subhash C. Sharma. Includes bibliographical references.

Thesis (B.A.)--Haverford College, Dept. of Economics, 2008. / Includes bibliographical references.

by Lau Chung-Hing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Includes bibliographical references.

by Ip Ka Tsun Anthony and Tang Ying Wa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 42-46). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.iv / ACKNOWLEDGMENTS --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II . --- LITERATURE REVIEW --- p.4 / Selection Criteria of the Neglected Markets --- p.4 / Market Review --- p.4 / Day-of-the-Week Effect --- p.9 / Month- of - the - Year Effect --- p.11 / Spill´ؤOver Effect Across National Stock Markets --- p.11 / Granger Causality Between Aggregate Stock Price and Trading Volume --- p.13 / Chapter III. --- DATA and METHODOLOGY --- p.16 / Day-of-the-Week Effect and Month-of-the-Year Effect --- p.16 / Spill-Over Effect Across National Stock Markets and Granger Causality Between Aggregate Stock Price and Trading Volume --- p.18 / Chapter IV. --- EMPIRICAL RESULTS --- p.24 / Day-of-the-Week Effect --- p.24 / Month-of-the-Year Effect --- p.26 / Spill-Over Effect Across National Stock Markets --- p.28 / Granger Causality Between Aggregate Stock Price and Trading Volume --- p.31 / Chapter V. --- CONCLUSION --- p.36 / Direction of Further Studies --- p.38 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.42

Then, we consider the patterns between news stream and time series indices stream. We first transform the news stream into a set of bursty feature (keywords) time series streams and propose three technique to study their relationship to time series index. First, we explore a Non-homogeneous Hidden Markov Model (NHMM) to predict the stock market process which takes both stock prices and news articles into consideration. Second, we propose a risk analytical model to predict the volatility of price indices by integrating news information. Finally, we devise an algorithm to detect the priming event from text and a time series index. The evaluation on real world dataset suggests the significant correlation exists between news stream and time series stream and our pattern discover algorithm can detect promising patterns from this relationship to support real world applications effectively. / We start from investigating the co-movement relationship of multiple time series. We propose techniques to study two aspects of this problem. First, we propose a co-movement model for constructing financial portfolio by analyzing and mining the co-movement patterns among two time series. Second, we presents an efficient streaming algorithm to discover leaders from multiple time series stream. Both of the algorithms are evaluated using real time series indices data and the result proves that co-movement patterns and detected leaders are promising and can support various applications including portfolio management, high frequency trading and risk management. / With the increasing amount of data in financial market, there are two types of data streams attracting a lot of research and studies, time series index stream and related news stream. In this thesis, we focus on discovering patterns from these data streams and try to answer the following challenging questions, (I) given two co-evolving time series indices, what is the co-movement dependency between them. (II) given a set of evolving time series, could we detect some leaders from them whose rise or fall impacts the behavior of many other time series? (III) could we integrate the news stream information into stock price prediction? (IV) could we integrate the news stream information into stock risk analysis? and (V) could we detect what are those events that trigger time series index movement. For each of the question, we design algorithms and address three technique issues (I) how to detect promising patterns from the noisy financial data; (II) how to update the old patterns when new data arrives in high frequency; (III) how to use the pattern to support the financial applications. / Wu, Di. / Adviser: Jeffrey Xu Pu. / Source: Dissertation Abstracts International, Volume: 73-01, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 124-131). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

Thesis (MBA)--Stellenbosch University, 2001. / This thesis presents a study on : (1) The construction of the SADC All Stock Market Indices, namely the SADIX (SADC Index Including South Africa) and the SADEX (SADC Index Excluding South Africa), which will serve as performance benchmarks for the region, and as indices for tracking the performance of the region excluding the JSE (2) Comparative analysis of the SADC bourses returns (3) Correlation Analysis between the SADC countries The SADC All Stock Market Indices, SADIX & SAD EX are market value, capitalization-weighted indices in which all components are weighted according to the total market value of their outstanding shares. They comprise all equity securities listed on the SADC region excluding Tanzania. Both series are calculated in local currencies and converted to US dollar terms, using end-af-week data with a base value of 1,000 as at 3rd September 1999. The dissertation presents a discussion on the regionalization of the African stock exchanges and how they this will impact the low liquidity levels which is endemic to most of the African Stock Exchanges. The results obtained indicate a significantly high correlation between the individual country indices with the SADe All Stock market Indices. Furthermore, observations are that the SADe stock exchanges show similar reactions to news flow and economic shocks. However, there are negative correlations, which will offer investors a fundamental basis for a diversification strategy in the region. Finally, the thesis concludes that despite the perception that African stock markets are in chaos, there are lucrative SADe markets, smaller in terms of size and market capitalization that will provide good returns.

by Lee Chi Kau. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 115-119). / Abstract also in Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- EMPIRICAL FINDINGS --- p.36 / Data / Estimation Results / Evaluation of Model Performance / Out-of-Sample Forecast and Evaluation / Chapter FIVE --- CONCLUSION --- p.54 / TABLES --- p.58 / ILLUSTRATIONS --- p.76 / BIBLIOGRAPHY --- p.115

by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 52). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF ILLUSTRATIONS --- p.iv / LIST OF TABLES --- p.v / ACKNOWLEGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.4 / Chapter IV. --- THE SAMPLE --- p.9 / Chapter V. --- METHODOLOGY --- p.14 / The Market Model --- p.15 / Methods to Estimate the Excess Returns --- p.16 / Chapter VI. --- RESULTS AND ANALYSIS --- p.19 / Price Effects on Inclusion in HSI --- p.19 / Price Effects on Exclusion from HSI --- p.33 / Comparison between Inclusion and Exclusion --- p.41 / Chapter VII. --- IMPLICATIONS --- p.42 / Chapter VIII. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.52

Ho Kin Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 71-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Motivation --- p.3 / Chapter 1.3 --- Chapter Layout --- p.5 / Chapter 1.4 --- Summary --- p.7 / Chapter 2 --- Literature Review --- p.11 / Chapter 2.1 --- Implied Asset Return Distribution --- p.13 / Chapter 2.2 --- The Jarrow-Rudd Skewness and Kurtosis-Adjusted Model --- p.16 / Chapter 2.3 --- Implied Moments in Asset Return Distribution --- p.24 / Chapter 2.4 --- Summary --- p.26 / Chapter 3 --- Methodology --- p.28 / Chapter 3.1 --- Application to the Nikkei Index Options --- p.28 / Chapter 3.2 --- In-Sample Parameters Estimation --- p.31 / Chapter 3.3 --- Out-Sample Prediction Error Evaluation --- p.34 / Chapter 3.4 --- Time-Series Movements of Higher Moments --- p.35 / Chapter 3.5 --- Summary --- p.37 / Chapter 4 --- Empirical Results --- p.38 / Chapter 4.1 --- In-Sample Parameters Estimation --- p.38 / Chapter 4.2 --- The Out-Sample Prediction Error Evaluation --- p.43 / Chapter 4.3 --- Time Series Movements of Higher Moments --- p.45 / Chapter 4.4 --- Implications --- p.55 / Chapter 4.5 --- Summary --- p.57 / Chapter 5 --- Conclusions --- p.59 / Chapter A --- Additional Figures --- p.62

Lam Suet-man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 111-117). / Abstracts in English and Chinese. / ACKNOWOLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- REVIEW OF THE LITERATURE --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- METHODOLOGY --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- DATA DESCRIPTION --- p.33 / Chapter FIVE --- EMPIRICAL FINDINGS --- p.39 / Estimation Results / Evaluation of Model Performance / Out-of-sample Forecast Evaluation / Chapter SIX --- CONCLUSION --- p.58 / TABLES --- p.62 / ILLUSTRATIONS --- p.97 / APPENDIX --- p.107 / BIBOGRAPHY --- p.111