Conditional estimation of diffusion processes

Article Abstract:

The favorable situations in finance are desirable in estimating a data-generating process conditional on the occurrence of some event. The theoretical and numerical methods are proposed within a generalized method of moments (GMM) procedure to perform conditional estimation of multivariate diffusion process conditioned to have a standard time-series of interest rate data remain between lower and upper boundaries.

Usage, Estimation theory, Diffusion processes

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Feedback and the success of irrational investors

Article Abstract:

Implications of stock market trading of irrational investors on stock prices, returns and underlying cash flows are examined.

Management dynamics, Management, Influence, Investors, Company business management, Irrationalism (Philosophy), Irrationalism

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Stock price clustering on option expiration dates

Article Abstract:

An evidence to prove that option trading on expiration dates changes the prices of underlying stocks is presented.

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