MODELLING OF BIST TOURISM INDEX S TRADING VOLUME WITH STABLE PARETIAN DISTRIBUTIONS

Power-law distributions: Beyond Paretian fractality

The notion of fractality, in the context of positive-valued probability distributions, is conventionally associated with the class of Paretian probability laws. In this research we show that the Paretian class is merely one out of six classes of probability laws – all equally entitled to be ordained fractal, all possessing a characteristic power-law structure, and all being the unique fixed poi...

The Variance Ratio Test with Stable Paretian Errors

In this paper we examine the distribution of the variance ratio statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its a...

Google Search Volume Index: Predicting Returns, Volatility and Trading Volume of Tech Stocks

Forecasting Tourism Demand with Composite Search Index

Researchers have adopted online data such as search query volumes to forecast tourism demand for a destination, including tourist volumes and hotel occupancy. However, the massive yet highly correlated query data pose challenges when researchers attempt to include them in the forecasting model. We propose a framework and procedure for creating a composite search index adopted in a generalized d...

Comparing the distributions of the WIG20 and S&P500 index

Our aim is to compare the distribution of two stock indices: the Polish WIG20 and the American S&P500. We consider the Closing price of these indices (X) in the years 1994– 2006. The observed values x t (denoting the closing price at day t) were transformed to z t = ln(x t+1 − ln(x t) appropriately. The derived variable Z will be called daily return. We have 2 goals: 1. to compare the daily dyn...