Testing of market price direction dependence on US stock market
The correct model of a liquid financial market is very important for all market activities including for example a stock or bond portfolio management or an asset valuation. Dynamic Financial Market Model is a comprehensive model with a detailed interpretation. The model considers also feedback proce...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2012-12-01
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| Series: | Business, Management and Education |
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| Online Access: | https://www.mla.vgtu.lt/index.php/BME/article/view/4668 |
| _version_ | 1818393960145485824 |
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| author | Bohumil Stádník |
| author_facet | Bohumil Stádník |
| author_sort | Bohumil Stádník |
| collection | DOAJ |
| description | The correct model of a liquid financial market is very important for all market activities including for example a stock or bond portfolio management or an asset valuation. Dynamic Financial Market Model is a comprehensive model with a detailed
interpretation. The model considers also feedback processes which cause price development direction dependence on the previous development. This is why it is also able to explain departures from normality as leptokurtic deformations with fat tails and sharpness, extreme values or skewness in the returns’ probability distributions. These departures are commonly explained using a wide range of models with volatility dependence. The question is then arising, whether the volatility or direction dependence is more in accordance with reality.
Price Inertia Feedback is one of the most important and has a direct impact on probability distribution and also on a price forecasting. Empirical measurement of this feedback is the core of the paper. |
| first_indexed | 2024-12-14T05:53:36Z |
| format | Article |
| id | doaj.art-86e3ac9a8563440fafc34c9fcca9002d |
| institution | Directory Open Access Journal |
| issn | 2029-7491 2029-6169 |
| language | English |
| last_indexed | 2024-12-14T05:53:36Z |
| publishDate | 2012-12-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Business, Management and Education |
| spelling | doaj.art-86e3ac9a8563440fafc34c9fcca9002d2022-12-21T23:14:39ZengVilnius Gediminas Technical UniversityBusiness, Management and Education2029-74912029-61692012-12-0110210.3846/bme.2012.15Testing of market price direction dependence on US stock marketBohumil Stádník0The University of Economics in Prague, Faculty of Finance and Accounting, W. Churchill Sq. 4, 130 67 Prague 3, Czech RepublicThe correct model of a liquid financial market is very important for all market activities including for example a stock or bond portfolio management or an asset valuation. Dynamic Financial Market Model is a comprehensive model with a detailed interpretation. The model considers also feedback processes which cause price development direction dependence on the previous development. This is why it is also able to explain departures from normality as leptokurtic deformations with fat tails and sharpness, extreme values or skewness in the returns’ probability distributions. These departures are commonly explained using a wide range of models with volatility dependence. The question is then arising, whether the volatility or direction dependence is more in accordance with reality. Price Inertia Feedback is one of the most important and has a direct impact on probability distribution and also on a price forecasting. Empirical measurement of this feedback is the core of the paper.https://www.mla.vgtu.lt/index.php/BME/article/view/4668Dynamic Financial Market Modeldepartures from normalityleptokurtic returns distributionsharpnessskewnessfeedbacks on financial market |
| spellingShingle | Bohumil Stádník Testing of market price direction dependence on US stock market Business, Management and Education Dynamic Financial Market Model departures from normality leptokurtic returns distribution sharpness skewness feedbacks on financial market |
| title | Testing of market price direction dependence on US stock market |
| title_full | Testing of market price direction dependence on US stock market |
| title_fullStr | Testing of market price direction dependence on US stock market |
| title_full_unstemmed | Testing of market price direction dependence on US stock market |
| title_short | Testing of market price direction dependence on US stock market |
| title_sort | testing of market price direction dependence on us stock market |
| topic | Dynamic Financial Market Model departures from normality leptokurtic returns distribution sharpness skewness feedbacks on financial market |
| url | https://www.mla.vgtu.lt/index.php/BME/article/view/4668 |
| work_keys_str_mv | AT bohumilstadnik testingofmarketpricedirectiondependenceonusstockmarket |