scholarly journals QUANTITATIVE METHODS OF INVESTMENT PROCESS MANAGEMENT

2021 ◽  
Author(s):  
Gotsui Wu ◽  
Tat'yana Novikova
Keyword(s):  
Quantitative Methods ◽  
Process Management ◽  
Stock Exchange ◽  
Investment Strategies ◽  
Investment Process

Currently, the method of quantitative investment is being intensively developed as a stage in the development of investment strategies on the stock exchange. This method is based on the development of specialized mathematical tools and investment algorithms.

scholarly journals PROCEDURES FOR INVESTMENT IN CYBER SECURITY, TAKING INTO ACCOUNT MULTIFACTORITY AND FUZZY STATEMENT

2021 ◽  
Vol 3 (11) ◽  
pp. 6-15
Author(s):  
Valerii Lakhno ◽  
Berik Akhmetov ◽  
Borys Husiev ◽  
Andrii Blozva ◽  
Dmytro Kasatkin ◽  
...  
Keyword(s):  
Decision Support ◽  
Information Security ◽  
Cyber Security ◽  
Information Technologies ◽  
Process Management ◽  
Complex Structure ◽  
Investment Strategies ◽  
Software Products ◽  
Investment Process ◽  
Fuzzy Setting

It is shown that the application of multi-step quality games theory allows financing of various information technologies considering various factors. In particular, there are lots of approaches to building effective information security systems in the enterprise. Using such model will make it possible to develop, based on game models, decision support systems (DSS), for example, software products (PP). Which, in turn, will allow making rational decisions on investing in the development of such technologies. This circumstance makes it necessary and relevant to develop new models and software products that can implement decision support procedures in the process of finding rational investment strategies, including in information security field of enterprises, and obtaining forecast assessment for feasibility of a specific strategy. The model proposed by us is based on analysis of financing process by investors in information technology for protecting information tasks for the case of their multi-factoring in fuzzy setting. The investment process management model is proposed, using the example of investing in the information security of informatization objects taking into account multi-factoring and in fuzzy setting for DSS computational core. The difference between the model and previously developed ones is that it considers the investment process as complex structure, for which it is not enough to model it as a single-factor category. Computational experiments were performed for the developed model. The simulation results are visualized in the Python programming language, which allows you to optimize the procedures for investment process managing.

scholarly journals PENGARUH LABA AKUNTANSI, ARUS KAS OPERASI DAN UKURAN PERUSAHAAN TERHADAP HARGA PENUTUPAN SAHAM MELALUI KEBIJAKAN DIVIDEN

2020 ◽  
Vol 3 (2) ◽  
pp. 87-119
Author(s):  
Saiful Muchlis ◽  
Febriani Setijawan
Keyword(s):  
Cash Flow ◽  
Indirect Effect ◽  
Consumer Goods ◽  
Stock Prices ◽  
Quantitative Methods ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Company Size ◽  
Operating Cash Flow ◽  
Consumer Goods Industry

This study aims to determine the effect of accounting profit, operating cash flow and company size on stock prices through dividend policy on consumer goods industry companies on the Indonesia Stock Exchange. This research uses quantitative methods and the type of explanatory research with 2016-2018 observation years in 17 company samples. The results show (1) accounting profit and operating cash flow have a positive and significant effect on dividend policy, while the size of the company has no influence on dividend policy. (2) accounting profit and operating cash flow do not have an effect on the closing prices, while the size of the company has a positive and significant effect on the closing prices. (3) dividend policy has a positive and significant effect on the closing prices. (4) there is no indirect effect of dividend policy in mediating accounting profit and operating cash flow on the closing prices, but there is an indirect effect of dividend policy in mediating company size on the closing prices.

scholarly journals Pengaruh Dewan Komisaris Independen dan Komite Audit terhadap Manajemen Laba pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia Tahun 2015-2017

2019 ◽  
Vol 2 (1) ◽  
pp. 88
Author(s):  
Anton Ferry Ananda ◽  
Santi Andriani
Keyword(s):  
Earnings Management ◽  
Audit Committee ◽  
Quantitative Methods ◽  
Annual Report ◽  
Regression Coefficient ◽  
Stock Exchange ◽  
Secondary Data ◽  
Audit Committees ◽  
Manufacturing Companies ◽  
Partial Regression Coefficient

This study aims to determine the effect of independent commissioners and audit committees on earnings management. This research uses quantitative methods. The data used in this study are secondary data, i.e. data obtained through existing sources and do not need to be collected by the researcher themselves. The data is in the form of an annual report issued by companies listed in the 2015-2017 period which are listed on the Indonesia Stock Exchange. The population in this study are manufacturing companies listed on the Indonesia Stock Exchange in the 2015-2017 period. The results showed that the independent board of commissioners and the audit committee had no simultaneous effect on earnings management. This is consistent with the results of the simultaneous regression coefficient test (Test F) which shows the calculated F value is smaller than the F table, and with a determinant value of 3.1%. Partially the independent board of comissioners and audit committee has no effect on earnings management. Based on the results of the partial regression coefficient test (t test) on the variable independent commissioners and the audit committee showed a significance value greater than 0.05, so it was concluded that the two variables in this study had no effect on earnings management.Keywords: Audit Committee, Independent Board of Commissioners, Profit Management, Finance

scholarly journals Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach

2018 ◽  
Vol 3 (2) ◽  
pp. 119-162 ◽  
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Quantile Regression ◽  
Stock Exchange ◽  
Political Crisis ◽  
Investment Behavior ◽  
Investment Strategies ◽  
Herding Behavior ◽  
Policy Makers ◽  
Daily Data ◽  
Regression Approach ◽  
Behavior Models

Herding investment behavior on stock markets has consequences for practitioners, theorists, and policy makers. Thus, empirical research on this topic in the last couple of years has grown exponentially. However, there exist only a few papers dealing with herding behavior that consider the Croatian stock market. This study employs the quantile regression approach of estimating several herding investor behavior models of this market for the first time in the literature. Based upon daily data for the 37 most liquid stocks in the Zagreb Stock Exchange (ZSE) for the period September 22, 2014 to May 8, 2018, several model specifications are determined using quantile regression. Because the quantile regression approach deals with specific characteristics of financial data (stylized facts) better than the OLS method, more robust results can be achieved for evaluating if herding behavior is present in the Croatian market. The results indicate very weak to almost nonexistent evidence of herding behavior in the ZSE. Moreover, market volatility does not have any effect on herding behavior. Finally, the economic and political crisis (regarding concern Agrokor) in 2017 was controlled for in the model and the crisis was found insignificant. It seems that herding behavior does not need to be taken into account when tailoring investment strategies on the ZSE.

scholarly journals Harga Saham Kini: Dalam Bayang-bayang Fundamental

2020 ◽  
Vol 17 (1) ◽  
pp. 71-80
Author(s):  
Sari Gabe Sagala ◽  
Mochamad Muslih
Keyword(s):  
Financial Performance ◽  
Stock Prices ◽  
Stock Price ◽  
Quantitative Methods ◽  
Industrial Revolution ◽  
Stock Exchange ◽  
Secondary Data ◽  
Pharmaceutical Companies ◽  
Funding Policy ◽  
Funding Policies

This study aims to determine the effect of liquidity, funding policies, and financial performance on the stock prices of pharmaceutical companies listed on the Indonesia Stock Exchange (BEI) for the 2009-2018 period. The theory tested in this research is signaling theory. This research uses quantitative methods. The research variables are stock price, company liquidity, funding policy, and financial performance. The data used are secondary data taken from the Indonesia Stock Exchange (IDX). The population in this study is pharmaceutical companies listed on the Indonesia Stock Exchange. The research sample is 7 (seven) pharmaceutical companies listed on the Indonesia Stock Exchange (IDX) for the period 2009-2018. The results showed that company liquidity had no significant effect on stock prices, funding policies had no significant effect on stock prices, and financial performance had no significant effect on stock prices. The results of this study add to the outer layer of knowledge building according to Imre Lakatos. The implication of this research is that the company's fundamental conditions do not necessarily affect stock prices, depending on the type of stock market. It is recommended to investors to be more careful in observing the factors that influence stock prices in the 4.0 industrial revolution era. Next researchers are advised to use other fundamental aspects as their independent variables so that more fundamental elements of the company are examined in relation to stock prices in the 4.0 industrial revolution era.

scholarly journals Pengaruh Karakteristik Komite Audit, Perusahaan dan Struktur Kepemilikan Terhadap Kecurangan Pelaporan Keuangan

2016 ◽  
Vol 1 (2) ◽  
pp. 50
Author(s):  
Andrian Budi Prasetyo
Keyword(s):  
Financial Reporting ◽  
Ownership Structure ◽  
Audit Committee ◽  
Quantitative Methods ◽  
Stock Exchange ◽  
Secondary Data ◽  
Annual Reports ◽  
Fraudulent Financial Reporting ◽  
Financial Expertise ◽  
Firm Characteristic

This study examines the effect of audit committee characteristics, firm characteristic and ownership structure on the likelihood of fraudulent financial reporting. Audit committee characteristics is examined by audit committee financial expertise, meetings of the audit committee and the audit committee tenure. Firm characteristic is examined by the leverage, firm size, firm’s growth rate and external auditor. Ownership structure is examined by managerial ownership and institutional ownership. This research is using a quantitative methods research. This research is using secondary data that comes from the cases list of Otoritas Jasa Keuangan (OJK) and annual reports of the listed companies on the Indonesia Stock Exchange (IDX). Using a sample of 15 fraud and 15 non-fraud firms, we did not find a significant relation between the independent variabels and fraudulent financial reporting.

Market microstructure: a comparative study of Bombay stock exchange and national stock exchange

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anshi Goel ◽  
Vanita Tripathi ◽  
Megha Agarwal
Keyword(s):  
Market Microstructure ◽  
Capital Market ◽  
Stock Exchange ◽  
Arima Model ◽  
Unit Root Test ◽  
Stock Exchanges ◽  
Investment Strategies ◽  
Trading System ◽  
Content Type ◽  
Trading Mechanism

PurposeThe present study seeks to investigate the relative edge between the market microstructure of the two leading stock exchanges of the Indian capital market, that is BSE and NSE with a focus on analysing their trading mechanism, efficiency, liquidity and volatility.Design/methodology/approachWe analyse the microstructure of BSE and NSE on the basis of: (1) trading mechanism – ownership structure, listing of securities, trading system and settlement and clearing process; (2) information efficiency using unit root test, serial correlation, runs test, variance ratio and the ARIMA model; (3) liquidity using trading statistics no. of listed Companies, market capitalisation, no. of trades etc. and (4) volatility using standard deviation and GARCH(1,1) model.FindingsA comprehensive scrutiny on microstructure of BSE and NSE makes it evident that the two leading stock exchanges of India are mostly similar and leave no scope to choose between them. Both the exchanges are demutualised corporate entities with a fully automated trading system in an order-driven market, informationally inefficient as evidenced by the predictability of returns, have shown tremendously growing trading statistics and by and large a declining trend in volatility over the years.Practical implicationsUnderstanding the components of the microstructure black-box will provide the regulatory bodies with an intellectual framework to strengthen the market architecture. Both the exchanges will get aware of the dynamics of trading, can grow to be more competitive and attract more firms for listing and investors for trading of securities. Also, investors, portfolio managers and equity analysts will be able to make better investment strategies by understanding how the market works.Originality/valueResearch in the area of market microstructure has been severely neglected, especially in the context of the Indian market. India is the world's fastest growing economies and we have witnessed tremendous reforms in the capital market. The past two and a half decades have brought about several innovations via demutualisation, screen-based trading, emergence of clearing corporations, innovative financial products and intense use of IT in the Indian stock market. A spurt of reforms and the emerging environment make it crucial to deeply analyse the market structure and design of two premier stock exchanges of India – BSE and NSE.

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