A Spanish Financial Market Stress Indicator (FMSI)

Financial market crisis and financial market channel

A Markov Chain Financial Market

We consider a ...nancial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for a number of cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to solving a set of ...rst order parti...

Response of Spanish stock market to ECB monetary policy during financial crisis

The present paper analyzes the effects of ECB monetary policy on the Spanish stock market returns. The data sample run all over the euro period: from January 1999 to December 2014. This period is split into two well-defined sub-periods based on the structural change brought about by the financial crisis in August 2007. Spanish stock market returns are approximated by the returns of the selectiv...

Financial Market Prediction

Given financial data from popular sites like Yahoo and the London Exchange, the presented paper attempts to model and predict stocks that can be considered ”good investments”. Stocks are characterized by 125 features ranging from gross domestic product to EDIBTA, and are labeled by discrepancies between stock and market price returns. An artificial neural network (Self-Organizing Map) is fitted...

Financial Market Runs

Our paper offers a minimalist model of a run on a financial market. The prime ingredient is that each risk-neutral investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the run, only the risk-averse market-making sector is willing to absorb shares. To avoid having to possibly liquidate shares at themarginal post-run price—in which case ...