Deriving a functional form for a series of prices over time is difficult. It is common to assume some linearly estimable form for prediction purposes. While this can produce accurate short run forecasts it fails to identify longer trends and patterns that may exist in financial data....

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Using the HICP (Harmonized Index of Consumer Prices) the author tests the series for the makeup of its dynamic components both before and after the start of stage three of the European Central Bank’s (ECB) monetary policy directive. While it appears ECB is meeting its stated objective, it is...

There exist a vast number of studies on the banking industry. However, the insurance industry remains relatively unexplored. Increasingly, Austrian insurance institutions are becoming important as financial intermediaries in the domestic market, and – based on proximity advantage – also in...

This paper, based on the theory of industrial organisation and the SCP (Structure- Conduct-Performance) model, has studied competitive structure and factors affecting business performance of Vietnam state-owned commercial banks including Vietcombank, VietInbank, Agribank and BIDV. Time horizons...

Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity...

The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H ...

China has taken important steps to reform its economy and capital markets in the past 20 years. Despite these efforts there is a lack of quantitative evidence on how these measures have impacted price returns in the stock exchanges. The purpose of this research was to determine the randomness of...

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with...

We show by explicit closed form calculations that a Hurst exponent H≠1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial differential equations where H≠1/2. Thus Markov...