scholarly journals Parameterized Trade on the Futures Market on the WIG20

2019 ◽  
Vol 19 (1) ◽  
pp. 114-125
Author(s):  
Iwona Piekunko-Mantiuk
Keyword(s):  
Investment Strategy ◽  
Futures Contracts ◽  
Future Price ◽  
Stock Exchanges ◽  
Loss Ratio ◽  
Rates Of Return ◽  
Market Participants ◽  
Price Movements ◽  
The Right ◽  
Closing Rate

Abstract Research background: Market participants have been trying to forecast future price movements and create tools to facilitate making the right investment decisions since the beginning of the operation of stock exchanges. As a result, there are an increasing number of methods, tools, strategies and models to make the decision process which is becoming extremely complicated. Purpose: to maximize the simplification of trade rules and to check whether it is possible to parameterize transactions based on the length of price movements in order that the system built in this way would generate profits. Research methodology: empirical research was conducted on data from the period between 20/01/1998 and 29/06/2018 covering listing futures contracts for the WIG20. First, the length of the price movements was determined according to the closing rate, then the frequency of individual lengths of the price movements was determined so transaction parameters were fixed. Next, the parameters were optimized and the rates of return from the tested options were examined. Result: It is possible to parameterize transactions based on the length of price movements and to create a simple investment strategy which generates profits. In the audited period, the optimal length of traffic was 25 points with a simultaneous use of a profit/loss ratio of 1 : 1, 1 : 2 or 1 : 3. Novelty: an original investment strategy based on the parameterization of transactions that is based on length of price movement and profit/loss ratio.

MOMENTUM OSCILLATORS - A TOOL TO PREDICT STOCK PRICE BEHAVIOUR

2016 ◽  
Vol 12 (1) ◽  
Author(s):  
Shishir Kumar Gujrati
Keyword(s):  
Stock Price ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Future Price ◽  
Range Data ◽  
Strength Index ◽  
Price Trends ◽  
Past Data ◽  
Price Movements

Stock markets are always taken as the barometer of the economy. The price movement of their indices reflects every ups and downs of the economy. Although seem to be random, these price movements do follow a certain track which can be identified using appropriate tool over long range data. One such method is of Technical Analysis wherein future price trends are forecasted using past data. Momentum Oscillators are the important tools of technical analysis. The current paper aims to identify the previous price movements of sensex by using Relative Strength Index (RSI) and Moving Average Convergence Divergence (MACD) tools and also aims to check whether these tools are appropriate in forecasting the price trends or not.

The Right to Repair Goods in the Era of Digitalization and Globalization

2021 ◽  
Vol 16 (12) ◽  
pp. 45-52
Author(s):  
P. L. Likhter
Keyword(s):  
Circular Economy ◽  
Medical Equipment ◽  
Environmental Safety ◽  
Spare Parts ◽  
Service Organizations ◽  
Warranty Period ◽  
Market Participants ◽  
The Right ◽  
High Degree

Today, large companies are increasingly using controversial strategies related to the violation of the buyer’s rights to repair the goods both during and after the expiration of the warranty period. This is primarily manifested in the restriction of access to the necessary information on the product repairing, hindering the work of independent service organizations, intentional complication of parts during their design, unreasonably high degree of integration of units, lack of a sufficient number of spare parts on the market, etc. As a rule, such actions distort the principles of integrity and transparency, which, in turn, entails risks to consumer and environmental safety. This issue is of particular relevance in the context of the COVID-19 pandemic, when sellers of medical equipment restrict the possibility of its restoration by independent specialists, and also prevent the distribution of the necessary software. Based on the results of the work, it is concluded that it is advisable to establish boundaries for the conduct of market participants to stimulate the production of durable and maintainable goods in order to transit to a circular economy.

scholarly journals A critical overview of the transparency and competitiveness of the London stock exchange

2018 ◽  
Vol 8 (2) ◽  
pp. 74-83 ◽  
Author(s):  
Muhammad Surajo Sanusi
Keyword(s):  
Transaction Costs ◽  
21St Century ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
London Stock Exchange ◽  
Market Participants ◽  
The World ◽  
Operational Activities ◽  
Technology Transformation ◽  
Critical Overview

This paper explores the operational activities of the London Stock Exchange in the 21st century to provide an overview of its operational transparency and competitiveness; the competition among its market participants and how it competes with other developed stock exchanges around the world. Evidence was found that suggests the manifestation of both competitive and uncompetitive practices in the London Stock Exchange. The presence of the key elements that enhance the competitiveness of the market, such as continued technology transformation, strategies that promote globalisation and regulatory flexibilities was observed. Simultaneously, signs of non-competitiveness such as high membership and annual fees, transaction costs and stamp duties were also observed.

scholarly journals Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach

Mathematics ◽  
2020 ◽  
Vol 8 (8) ◽  
pp. 1271
Author(s):  
Marianito R. Rodrigo
Keyword(s):  
Mellin Transform ◽  
Jump Diffusion ◽  
Futures Contracts ◽  
Barrier Options ◽  
Barrier Option ◽  
Underlying Asset ◽  
Diffusion Dynamics ◽  
Path Dependent ◽  
The Right ◽  
Right To Buy

A barrier option is an exotic path-dependent option contract where the right to buy or sell is activated or extinguished when the underlying asset reaches a certain barrier price during the lifetime of the contract. In this article we use a Mellin transform approach to derive exact pricing formulas for barrier options with general payoffs and exponential barriers on underlying assets that have jump-diffusion dynamics. With the same approach we also price barrier options on underlying futures contracts.

scholarly journals Forecasting Electricity Prices: A Machine Learning Approach

Algorithms ◽  
2020 ◽  
Vol 13 (5) ◽  
pp. 119
Author(s):  
Mauro Castelli ◽  
Aleš Groznik ◽  
Aleš Popovič
Keyword(s):  
Machine Learning ◽  
Electricity Market ◽  
Dynamic Environment ◽  
Weather Conditions ◽  
Programming Approach ◽  
Future Price ◽  
Energy Prices ◽  
Electricity Prices ◽  
Market Participants ◽  
Electricity Price Forecasting

The electricity market is a complex, evolutionary, and dynamic environment. Forecasting electricity prices is an important issue for all electricity market participants. In this study, we shed light on how to improve electricity price forecasting accuracy through the use of a machine learning technique—namely, a novel genetic programming approach. Drawing on empirical data from the largest EU energy markets, we propose a forecasting model that considers variables related to weather conditions, oil prices, and CO2 coupons and predicts energy prices 24 h ahead. We show that the proposed model provides more accurate predictions of future electricity prices than existing prediction methods. Our important findings will assist the electricity market participants in forecasting future price movements.

scholarly journals ARIMA modelling of Lithuanian house price index

2015 ◽  
Vol 8 (1) ◽  
pp. 135-147 ◽  
Author(s):  
Arvydas Jadevicius ◽  
Simon Huston
Keyword(s):  
Housing Market ◽  
Market Price ◽  
House Price ◽  
Investment Strategy ◽  
Price Inflation ◽  
Price Changes ◽  
Content Type ◽  
Time Series Modelling ◽  
Price Movements ◽  
Modelling Approach

Purpose – This paper aims to investigate Lithuanian house price changes. Its twin motivations are the importance of information on future house price movements to sector stakeholders and the limited number of related Lithuanian property market studies. Design/methodology/approach – The study employs ARIMA modelling approach. It assesses whether past is a good predictor of the future. It then examines issues relating to an application of this univariate time-series modelling technique in a forecasting context. Findings – As the results of the study suggest, ARIMA is a useful technique to assess broad market price changes. Government and central bank can use ARIMA modelling approach to forecast national house price inflation. Developers can employ this methodology to drive successful house-building programme. Investor can incorporate forecasts from ARIMA models into investment strategy for timing purposes. Research limitations/implications – Certainly, there are number of limitations attached to this particular modelling approach. Firm predictions about house price movements are also a challenge, as well as more research needs to be done in establishing a dynamic interrelationship between macro variables and the Lithuanian housing market. Originality/value – Although the research focused on Lithuania, the findings extend to global housing market. ARIMA house price modelling provides insights for a spectrum of stakeholders. The use of this modelling approach can be employed to improve monetary policy oversight, facilitate planning for infrastructure or social housing as a countercyclical policy and mitigate risk for investors. What is more, a greater appreciation of Lithuania housing market can act as a bellwether for real estate markets in other trade-exposed small country economies.

scholarly journals Social responsibility of a stock exchange: Corporate governance at Borsa Istanbul

2020 ◽  
Vol 7 (1) ◽  
pp. 72-82
Author(s):  
A. Can Inci
Keyword(s):  
Corporate Governance ◽  
Social Responsibility ◽  
Financial Institution ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Successful Implementation ◽  
Market Participants ◽  
Good Corporate Governance ◽  
Call Auction ◽  
Positive Engagement

Accentuated intraday volatility and uncertainty leads to mispricing, inefficiency, and the potential unfair treatment of some market participants. As an important financial institution, the stock exchange is required to find mechanisms to reduce volatility for good corporate governance and for social responsibility. In this paper, one such mechanism, closing call auction, is explored in the actively traded industrials sector of the emerging Borsa Istanbul. Evidence of the successful implementation of the mechanism is provided. Volatility decreases and efficiency of the prices increases after the implementation of the closing call auction. The exchange executives’ positive engagement in good corporate governance is documented and is suggested to other stock exchanges as a social responsibility instrument.

scholarly journals Analysis of trading volume and its use in prediction future price movements in the process of maximizing trading earnings

2021 ◽  
Vol 92 ◽  
pp. 02010
Author(s):  
Jan Chutka ◽  
Filip Rebetak
Keyword(s):  
Trading Volume ◽  
Value Added ◽  
Theoretical Data ◽  
Future Price ◽  
Financial Instruments ◽  
Valuable Contribution ◽  
Innovative Method ◽  
Analysis And Synthesis ◽  
Price Movements ◽  
Trading Volumes

Research background: When we start looking for tools that could give a trader a certain trading advantage, we will certainly come across the problem of analysing the trading volume. This is an advanced type of analysis where the primary price chart of the underlying asset is not analysed, but traders focus on the volume of trades that have been executed at certain price levels. Although it may seem like an innovative method, this type of analysis has been used for several decades. In our article, we elaborated the theoretical basis of the analysis of trading volume as a tool for predicting the movement of prices of financial instruments. Purpose of the article: The aim of our article is to explore the possibilities, methods and procedures of analysis of trading volumes and the possibilities of their use in maximizing earnings from trading of financial instruments. Methods: We used formal methods such as analysis and synthesis of theoretical findings and others. Findings & Value added: Based on the study of the analysis and synthesis of theoretical data, we identified and described the possibilities of using the analysis of trading volume in the process of predicting the price movements of financial instruments. We consider the aim of the article to be fulfilled and we believe that it will be a valuable contribution in the field of research on this issue.

scholarly journals Does earnings quality matter? Evidence from the Athens Exchange

2020 ◽  
pp. 93-112
Author(s):  
Ioannis Asimakopoulos ◽  
◽  
Athanasios P. Fassas ◽  
Dimitris Malliaropulos
Keyword(s):  
Corporate Governance ◽  
Firm Value ◽  
Earnings Quality ◽  
Banking System ◽  
Governance Framework ◽  
Market Participants ◽  
Financial Firms ◽  
Specific Factors ◽  
The Right

The relation between accounting earnings and firm valuation has long been a topic of interest to academics and stock market participants. The study analyses the relationship between earnings quality and firm value using a sample of non-financial firms with shares listed on the Athens Exchange over the period 2004-2019. The empirical findings indicate that investors value earnings quality, and this is reflected in a better valuation for firms having earnings of higher quality. The results are robust to different methodologies and controls for firm-specific factors. The evidence is of particular importance for Greek firms seeking to expand their sources of financing beyond the Greek banking system. Such a development requires constant monitoring and strengthening of the corporate governance framework, with the aim of improving the quality of information conveyed by the firms to investors. In this respect, the provisions of Law 4706/2020 regarding the Greek corporate governance framework and the operation of the Hellenic Capital Market Commission seem to be in the right direction.

Sign in / Sign up

Export Citation Format

Share Document