Results 51 to 60 of about 580 (159)

Application of the arbitrage pricing based on Gaussian temporal factor analysis (TFA) for the prediction of cryptocurrency prices

Вісник Харківського національного університету імені В.Н. Каразіна: Серія Економіка
The study demonstrates how the Gaussian TFA model can be applied for cryptocurrency price forecasting. The study considers four approaches of the Extended Normalized Radial Basis Function (ENRBF), namely, the N-Adaptive ENRBF, S-Adaptive ENRBF, ICA-ENRBF
A.D. Gbadebo, L.A. Abdulrauf
doaj   +1 more source

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT)

International Journal of Business, Economics, and Social Development
Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This
Puspa Dwi Ayu Banowati, Betty Subartini, Sukono Sukono   +2 more
doaj   +1 more source

Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

Lahore Journal of Economics
The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others ...
Ali Ataullah
doaj  

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj  

Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]

PLoS One, 2023
Wu Q, Kuang X, Wu B, Xu X.
europepmc   +1 more source

Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno

Lecturas de Economía, 2011
Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables.
Werner Kristjanpoller Rodríguez, Mauricio Morales Jure   +1 more
doaj  

Spatiotemporal bidding for multi-energy systems with photovoltaic dominance: a scenario-based Stackelberg-Nash game formulation. [PDF]

Sci Rep
Qiao H, Wen S, Zhang Y, Zhang J, Li K.
europepmc   +1 more source

Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]

PLoS One
Huynh TT, Khoa BT.
europepmc   +1 more source

Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]

Entropy (Basel)
Nowak P, Gatarek D.
europepmc   +1 more source

The evolution of data pricing: From economics to computational intelligence. [PDF]

Heliyon, 2023
Hao J, Deng Z, Li J.
europepmc   +1 more source