The Use of Sonic Articulation in Identifying Correlation in Capital Market Trading Data
نویسنده
چکیده
Despite intensive study, a comprehensive understanding of the structure of capital market trading data remains elusive. The one known application of audification to market price data reported in the 1990 that it was difficult to interpret the results probably because the market does not resonate according to acoustic laws. This paper reports on a technique transforming the data so it does resonate, so audification can be used as a means of identifying autocorrelation in capital market trading data. The results obtained indicate that the technique may have a wider application to other similarly structured time-series data.
منابع مشابه
Noise Trading Approach of Capital Asset Pricing at Tehran Stock Exchange
Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...
متن کاملComputerized Linking of Capital Markets - A Viable Approach
Interlinking capital markets has always been an interesting issue since it not only provides more investment opportunities but also results in reduction of the risk of market volatility due to increase in the size of market. However, global and local barriers like different currencies, legal issues, settlement risks and costs prevent such interlink age to take place efficiently. In this paper, ...
متن کاملMeasure of systemic risk in the interbank market in Iran by buffer capital and hyperlink-induced topic search algorithm
Considering that the interbank market is considered as a night market to provide short-term liquidity to banks, one of the most important risks in this market - due to the short-term nature of transactions in this market - is systemic risk. Exercising this risk cycle will have devastating effects on monetary policymakers, such as the 2007-2009 crisis. In this study, first, the buffer capital ...
متن کاملIs It Necessary to Restrict Forex Financial Trading? A Modified Model
The Central Bank of Iran banned online currency trading through Forex brokers in November 2016. However, some Iranian speculators still trade in the online Forex market. Is this prohibition on Forex trading reasonable? According to reports, the majority of Forex day traders fail and leave the market within six months to a year. Some scholars attribute this failure to the changeable characterist...
متن کاملInvestigating the Relationship between Multiple Variables and Momentum and Inverse Profits in Tehran Capital Market
abstract In this study, using the financial information of 70 companies listed on the Tehran Stock Exchange during the years 2009-2017, the relationship between momentum and inverse profits with the size and ratio of book value to the market value of the company and the volume of transactions using multivariate regression models. Based on combined data has been studied. The research findings in...
متن کامل