This paper mainly centers on exploring the tendency relationship between individual stock and index using CAPM method. The research chooses of Apple Inc. as an S&P 500 index. Then is used to tests indicating that this model does not fit rate return very well. Therefore, explores possible reasons behind phenomenon refers some constructive improvements in evaluation expected stocks under infl...

The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and soft computing techniques. To demonstrate the different techniques, we considered Nasdaq-100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index. W...

The goal of this research is to predict total stock market index of Tehran Stock Exchange, using the compound method of ARIMA and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. First, the series of price index was decomposed by wavelet transform, then the smooth's series  predicted by using...

The use of intelligent systems for stock market prediction has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and soft computing techniques. To demonstrate the different techniques, we consider the Nasdaq-100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index. ...

The fact that the implied volatility smiles for equity indices are strongly downward sloping, while the typical individual stock exhibits either a flat or even an upward sloping smile is sometimes considered puzzling. We show that this effect can easily be generated in a simple and parsimonious two-factor stochastic volatility model in the spirit of Bates (2000). From a theoretical perspective ...

The prediction of a stock market direction may serve as an early recommendation system for short-term investors and as an early financial distress warning system for long-term shareholders. In this paper, we propose an empirical study on the Korean and Hong Kong stock market with an integrated machine learning framework that employs Principal Component Analysis (PCA) and Support Vector Machine ...

one of the capital market financial instruments, especially in islamic countries, is sukuk or islamic securities. sukuk is based on islamic law. different types of sukuk are available for different economic situations of countries and different investors. one type of sukuk is mozare'e which is the subject of this research. to do this, we have used financial indices of crops to compare moza...

Using data from July 1997 to July 2007, we examine if the FTSE index is affected by the past behavior of the DOW, DAX, NIKKEI, Hang Seng and Shanghai indices. We compare three different methods of estimating regression parameters. The results show that the FTSE lagged variable and the NIKKEI and DOW past performance are good indicators of the future performance of the FTSE. The models produce d...

1 Introduction This paper is concerned with the use of stock indices futures to hedge the return on portfolios. This topic has received considerable attention in the literature, which will be briefly summarised in section 2 of the paper. First of all it is desirable to consider the nature of hedging. The main aim of hedging is assumed to be the minimisation of the variance of the return on the ...