The structural modeling of open-high-low-close (OHLC) data contained within the candlestick chart is crucial to fnancial practice. However, the inherent constraints in OHLC data pose immense challenges to its structural modeling. Models that fail to process these constraints may yield results...

The numerous literatures have recorded the closely connection across commodity and stock markets. This study empirically examines the role of 7 metal commodities (gold, silver, aluminum, plumbum, copper, zinc and nickel) in predicting G7 stock volatility. The results of individual factor...

Using Thailand stock market data, we find that prospect theory has strong predictive power for returns in the Thailand stock market. This predictive power is strengthened during crises and bear and bull markets. The loss aversion component is the main contributor to the increased predictive...