A Measure of Trading Model Performance with a Risk Component
نویسندگان
چکیده
The purpose of this paper is to promote discussions and the exchange of ideas. Comments on the concepts presented are gratefully received.
منابع مشابه
Measure 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 کاملRobust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models
Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...
متن کاملاندازه گیری سطح عدم تقارن اطلاعات برای شرکت های منتخب فعال در بورس اوراق بهادار تهران: احتمال مبادله آگاهانه(PIN)
The level of asymmetric information in financial markets is important for its impact on the market formation, price levels and its interaction with investment risk. Also, determining the optimal rules by policy makers and determining the trading strategy by investors is done according to the level of information symmetry in the market. In financial literature, many metrics have been developed t...
متن کاملRanking the Trading Symbols of the Largest Companies Listed in the Tehran Stock Exchange Based on the Probability of Informed Trade Criteria
I n this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year...
متن کامل