scholarly journals Global Market Conditions and Systemic Risk

2011 ◽  
Vol 10 (2) ◽  
pp. 227-252 ◽  
Author(s):  
Brenda González-Hermosillo ◽  
Heiko Hesse
2009 ◽  
Author(s):  
Heiko Hesse ◽  
Brenda González-Hermosillo

2009 ◽  
Vol 09 (230) ◽  
pp. 1 ◽  
Author(s):  
Brenda González-Hermosillo ◽  
Heiko Hesse ◽  
◽  

Author(s):  
Qing Yang Eddy Lim ◽  
Qi Cao ◽  
Chai Quek

AbstractPortfolio managements in financial markets involve risk management strategies and opportunistic responses to individual trading behaviours. Optimal portfolios constructed aim to have a minimal risk with highest accompanying investment returns, regardless of market conditions. This paper focuses on providing an alternative view in maximising portfolio returns using Reinforcement Learning (RL) by considering dynamic risks appropriate to market conditions through dynamic portfolio rebalancing. The proposed algorithm is able to improve portfolio management by introducing the dynamic rebalancing of portfolios with vigorous risk through an RL agent. This is done while accounting for market conditions, asset diversifications, risk and returns in the global financial market. Studies have been performed in this paper to explore four types of methods with variations in fully portfolio rebalancing and gradual portfolio rebalancing, which combine with and without the use of the Long Short-Term Memory (LSTM) model to predict stock prices for adjusting the technical indicator centring. Performances of the four methods have been evaluated and compared using three constructed financial portfolios, including one portfolio with global market index assets with different risk levels, and two portfolios with uncorrelated stock assets from different sectors and risk levels. Observed from the experiment results, the proposed RL agent for gradual portfolio rebalancing with the LSTM model on price prediction outperforms the other three methods, as well as returns of individual assets in these three portfolios. The improvements of the returns using the RL agent for gradual rebalancing with prediction model are achieved at about 27.9–93.4% over those of the full rebalancing without prediction model. It has demonstrated the ability to dynamically adjust portfolio compositions according to the market trends, risks and returns of the global indices and stock assets.


2018 ◽  
Vol 13 (3) ◽  
pp. 171-205 ◽  
Author(s):  
W. Chamil Senarathne ◽  
Wei Jianguo

Abstract This paper examines the presence of herding on foreign trading at individual stock level and portfolio level in the Colombo Stock Exchange as a response to a long-standing trading belief that investors mimic the trading strategies of foreign investors. The standard CSAD framework of Chang et al (2000) is extended replacing return on market portfolio with return on market foreign portfolio holding in the model specification. The standard CSAD specification is also used to identify the presence of herding towards the market under high market volatility, bullish market condition, high trading and transaction volume, domestic and global market crisis and up and down market conditions. Except for the evidence on herding towards the market under bullish market condition at portfolio level, the regression results under other market conditions do not provide reasonable evidence for the presence of herding on foreign trading or herding towards the market on average. Further, taking CSAD as a proxy for heteroskedastic residuals following the framework of Banz (1981), the capital asset pricing model of Black (1972) is used to test the specification of CSAD. The findings suggest that the form of herding accounted for by CSAD is a manifestation of residual heteroskedasticity.


Author(s):  
Kaya AĞIN ◽  
Tevhit KAHRAMAN

Today, if we can talk about an organization, an enterprise or an institution, we basically mean that we are talking about the foundation, the mission and vision declaration of that enterprise, institution and organization. The mission, which shows what our organization is doing today, is a path to vision that shows what we want to achieve in the future. These are the ultimate plans and tactics put into practice by the organization to reach your strategic goals. In other words, an organization's vision is to tell what it wants to be and do in the future, and its mission is to tell what it is today. At this point, the businesses must have a great mission and vision in order to be able to speak about themselves and have their assets accepted in the global market. In this study, the effects of mission and vision concepts on businesses and organizations are mentioned. In addition, a review of the terms used in the mission and vision declarations of the companies operating in Borsa Istanbul was made. As a result of the research, it was found that firms attach importance to the concepts of creating added value, globalization and sustainability in order to adapt to global economic conditions and market conditions that are focused on leadership and innovation. In addition, it has been determined that businesses attach importance to these behavioral concepts within the framework of the understanding of environment and society.


Author(s):  
Fulya Kıvılcım

This chapter clarifies the definition of the phenomenon of globalization, historical development, the rapid and radical change that has taken place in the world. In the context of globalization, and in developing global market conditions, the author examines the course of Multinational Corporations in the globalization process; to emphasize the company structure models they own, competition, strategic management, and decision-making policies they follow, and primarily based on the importance they place on the structure of innovative thinking.


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