[PDF] Top 20 Entropy: a new measure of stock market volatility?

... understanding stock market volatility is vital. There are a number of reasons for ...in volatility of financial market returns are capable of having significant ... See full document

... The new VIX model – free implied volatility calculation is based on the concept of over-the-counter variance swaps (Demeterfi et ...start of contract to the expiration for a pre-determined ... See full document

... short-term stock returns usually exhibit volatility ...and volatility of financial assets are of course also central to finan- cial ...that volatility could be regarded as a ... See full document

... statistical measure of the fluctuation in the price of a financial instrument (Butler, 1999: ...definition, volatility is described as the measure which depicts the magnitude of ... See full document

... a stock is traded reflect a natural signal of the prospects for the ...publication of information to investors is strongly related to the frequency of the trades and the volume ...frequency ... See full document

... variance of the return represents the risk level of those ...issue of time series financial ...value of the magnitude of error terms at some time period is greater than the ...degree ... See full document

... context of a forward looking volatility measure – interest rates and industrial production growth – SVI variables were included in the ...existence of a negati ve correlation between retail ... See full document

... which stock market development can be measured, there is neither a common concept nor a common indicator agreed by ...including market size, liquidity, concentration, volatility, institutional ... See full document

... probability of occurrence of violent market ...signicant market movements, far from being discardable as mere outliers, focus the attention of market participants since their ... See full document

... relation of investor sentiment with the IPO market. Most of the literature has focused their attention on the effect of the firm level sentiment on the IPO ...the market together and ... See full document

... the new information is disseminated sequentially rather than simultaneously to all the ...ahead of the market and trade on it, thereby creating volume and ...and volatility move in same ... See full document

... plots of stock market scores given by the two factors that explain the largest proportion of the total ...top of Figure 1 corresponds to the period ...markets of Greece, Japan ... See full document

... understanding of its ...parts of the virus: NA is involved in budding of new virions from infected cells, and HA is re- sponsible for binding to sialic-acid receptors and entry into ... See full document

... impact of globalization on the Ukrainian market of ...trends of globalization of world share market are ...elements of the operating share markets of the world ... See full document

... cloud of points apply the standard analysis of reduction of their coordinates to the center of mass and the computation of the eigenvectors of the inertial ...each stock) ... See full document

... Romanian stock markets sensitive to European stock ...indicator of the ISE), BET10 Index (basic indicator of the BSE) and FTS Eurofirst 300 Index are ...period of the study is 1999-2008 ... See full document

... fluctuations of their financial ...financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the ... See full document

... the New York Stock Exchange ...major market indices, the Nikkei and S&P 500 Index, have a positive effect on increasing the magnitude and also on the persistence of correlation observed ... See full document

... influence of stakeholders in corporations were published in the 1960s and ...behavior of relations between them, trying to answer questions like: 1) What were the elements that supported the existence ... See full document

... implications consistent with the behavior of internet stock prices during the late nineties, such as the bubble, share turnover and volatility decreasing with ftoat and stock prices[r] ... See full document