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Conditional CAPM Using Expected Returns of Brazilian Sustainability Companies  [PDF]
Elmo Tambosi Filho
Theoretical Economics Letters (TEL) , 2018, DOI: 10.4236/tel.2018.83026
Abstract: In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of time. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Such tests are suitable to incorporate variances and covariance that change at long run. Methodological wise, the study tested the conditional CAPM model borrowing a leaf from Jagannathan and Wang using macroeconomics and financial variables from the Brazilian sustainability Companies. Based on our findings, there is evidence that the conditional CAPM of Jagannathan and Wang for the North American market is perfectly applicable to the Brazilian sustainability Companies.
Financial Crisis in Retrospect: Bad Luck or Bad Policies?  [PDF]
Gregory M. Dempster, Justin P. Isaacs
Theoretical Economics Letters (TEL) , 2014, DOI: 10.4236/tel.2014.41013
Abstract:

It is generally acknowledged that many recent financial crises, in both emerging and mature markets, are characterized by large scale coordination problems with common origins. Despite minimal consensus on their primary causes, most prominent theories suggest that these financial crises can be classified as either the result of bad policies or bad luck. In this paper, we attempt to outline the sources of coordination failure in financial markets due to the “soft budget constraints” produced by time-inconsistent policies in combination with elastic expectations on the part of financial investors. Thus, in our framework, financial crisis is conceived as the result of both bad policies and bad luck. That is, it results from a mismatch of institutional arrangements to the realities of human behavior.

Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece  [PDF]
Panagiotis G. Papaioannou, George P. Papaioannou, Akylas Stratigakos, Christos Dikaiakos
Journal of Mathematical Finance (JMF) , 2017, DOI: 10.4236/jmf.2017.74055
Abstract: Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity, financial and energy commodity markets. This work reveals the existence of structural changes in correlation patterns among these markets and links the changes to both fundamentals and regulatory conditions prevailing in the markets, as well as the current European financial crisis. We apply a Dynamic Conditional Correlation (DCC) GARCH model to a set of market’s fundamental variables, related commodity markets and Greece’s financial market and microeconomic indexes to study their interaction. Emphasis is given on the period of severe financial crisis of the Country to understand “contagion” and volatility spillover between these markets. This approach enables us to capture the changing co-movement of assets within and between markets (financial, commodity, electricity) as market conditions change. The main results are that there is strong evidence of volatility spillover (or co-volatility) between financial and commodity market, while the Greek electricity market seems to be almost “isolated” from these two markets.
Model of the International Financial Grid and the Panama Papers  [PDF]
Frederick Betz
Theoretical Economics Letters (TEL) , 2017, DOI: 10.4236/tel.2017.74056
Abstract: One of the advantages of empirically-grounded theory is to provide a deeper understanding of natural events. This is true both of the physical and social sciences, and especially of economic theory. We examine an empirical event in economics in 2016, called the “Panama Papers”. Reports on the event provide material for an empirical case study about the international financial grid, focused upon the use of dummy corporations in “dark money” international-capital-flows. We analyze the case though a topological model of the international financial grid.
THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH
Mester Ioana Teodora
Annals of the University of Oradea : Economic Science , 2008,
Abstract: During the last years, the financial markets have been subject to significant fluctuations of their financial actives. These spectacular movements have revived the interest, in the academic circles and policy makers and regulation and control authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the financial stability and they can lead to serious consequences in the real economy.
Mathematical Modelling of Growth Dynamics of Infant Financial Markets  [PDF]
Ronald Katende
Journal of Mathematical Finance (JMF) , 2020, DOI: 10.4236/jmf.2020.103023
Abstract: Developing financial markets are sensitive in many ways. Even some seemingly insignificant factors can impact their growth or failure. In this paper, we examine the major compartments of an infant financial market and the major contributors to the market’s growth using a simple deterministic mathematical model. We find that the impact of single investor on the market is dependent on the rate at which people choose to invest and the rate at which people leave the market due to non investment-related issues
Predicting Financial Contagion and Crisis by Using Jones, Alexander Polynomial and Knot Theory  [PDF]
Ognjen Vukovic
Journal of Applied Mathematics and Physics (JAMP) , 2015, DOI: 10.4236/jamp.2015.39133
Abstract: Topological methods are rapidly developing and are becoming more used in physics, biology and chemistry. One area of topology has showed its immense potential in explaining potential financial contagion and financial crisis in financial markets. The aforementioned method is knot theory. The movement of stock price has been marked and braids and knots have been noted. By analysing the knots and braids using Jones polynomial, it is tried to find if there exists an untrivial knot equal to unknot? After thorough analysis, possible financial contagion and financial crisis prediction are analysed by using instruments of knot theory pertaining in that sense to Jones, Laurent and Alexander polynomial. It is proved that it is possible to predict financial disruptions by observing possible knots in the graphs and finding appropriate polynomials. In order to analyse knot formation, the following approach is used: “Knot formation in three-dimensional space is considered and the equations about knot forming and its disentangling are considered”. After having defined the equations in three-dimensional space, the definition of Brownian bridge concerning formation of knots in three-dimensional space is defined. Using analogy method, the notion of Brownian bridge is translated into 2-dimensional space and the foundations for the application of knot theory in 2-dimensional space have been set up. At the same time, the aforementioned approach is innovative and it could be used in accordance with stochastic analysis and quantum finance.
Racial Differences in Financial Socialization: The Role of Financial Experiences  [PDF]
Zibei Chen, Kenneth White, Christopher Sneed
Sociology Mind (SM) , 2025, DOI: 10.4236/sm.2025.155024
Abstract: Financial socialization has been largely considered as a homogenous process across racial groups and a phenomenon isolated from economic environments. This study explores the role of childhood financial experiences in shaping financial socialization across racial groups in the context of economic environments. Using data from the 2016 National Financial Well-Being Survey, we investigate how Blacks and Hispanics each differs from Whites on financial socialization and whether certain childhood financial experiences contribute to such differences. In contrast with prior research, we found small to no racial difference in financial socialization, and a regular allowance was associated with higher levels of financial socialization among Blacks and Hispanics compared to Whites. These findings suggest that childhood financial experiences affect the extent to which financial socialization occurs within households and these experiences may have a differential impact across racial groups.
An Artificial Neural Network Model to Forecast Exchange Rates  [PDF]
Vincenzo Pacelli, Vitoantonio Bevilacqua, Michele Azzollini
Journal of Intelligent Learning Systems and Applications (JILSA) , 2011, DOI: 10.4236/jilsa.2011.32008
Abstract: For the purposes of this research, the optimal MLP neural network topology has been designed and tested by means the specific genetic algorithm multi-objective Pareto-Based. The objective of the research is to predict the trend of the ex-change rate Euro/USD up to three days ahead of last data available. The variable of output of the ANN designed is then the daily exchange rate Euro/Dollar and the frequency of data collection of variables of input and the output is daily. By the analysis of the data it is possible to conclude that the ANN model developed can largely predict the trend to three days of exchange rate Euro/USD.
On Information Creation and Its Effect in Incomplete Financial Markets  [PDF]
Mingren Chen
Technology and Investment (TI) , 2012, DOI: 10.4236/ti.2012.33020
Abstract: “Thirst for information” existing in financial markets shows that information supply is insufficient and private information is value. Agents will select to acquire economic information under the market incentive mechanism. This is the basis of information creation in incomplete financial markets. Because the information supplies insufficiency in the financial markets is exogenous, information creation is natural exogenous. From this perspective, this paper thinks that information creation has a practical base and a very important significance in financial economic field. The effect of information creation has dual character: the one is positive effect, which should improve market efficiency in long term; the other is negative effects, which should aggravate the market speculation and manipulation, cause financial bubble, and amplify financial risk in short term.
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