The monetary unit assumption of financial accounting assumes a stable currency i.e., constant purchasing power over time . Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not recognized in nominal statements, such effects may have economic consequences. I find that unrecognized inflati...

In this study, we examined the extant literature on dynamic association between oil prices and financial assets with special emphasis methodologies for measuring dependence among prices, exchange rates, stock energy markets, related to sustainable finance. We performed a scientometric review of structure global trends assets, based research from 1982 2022 (September) using techniques such as an...

Abstract: This paper investigates whether various components of wealth affect real consumption asymmetrically through a threshold adjustment model. The empirical findings for the U.S. show that only stock market assets, financial assets including stock market assets, and household net assets exert a practical wealth effect on consumption expenditure. By contrast, financial assets excluding stoc...

I propose several mean-reversion jump-di usion models to describe spot prices of energy commodities that may be very costly to store. I incorporate multiple jumps, regime-switching and stochastic volatility into these models in order to capture the salient features of energy commodity prices due to physical characteristics of energy commodities. Prices of various energy commodity derivatives ar...

We model and test for the role of heterogeneously informed, strategic multi-asset speculation for cross-price impact—the impact of trades in one asset on the prices of other (even unrelated) assets—in the U.S. stock market. Our investigation of the trading activity in New York Stock Exchange (NYSE) and National Association of Securities Dealers Automated Quotation System (NASDAQ) stocks between...

We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the ...

because of its extensive applications in financial analysis, stock market volatility modeling is a significantly important issue for stock market practitioners and academicians. using garch models to formulate the conditional variance heteroskedasticity and the taking advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserv...

Building a diversified portfolio is an appealing strategy in the analysis of stock market dynamics. It aims at reducing risk in market capital investments. Grouping stocks by similar latent trend can be cast into a clustering problem. The classical K-Means clustering algorithm does not fit the task of financial data analysis. Hence, we investigate Non-negative Matrix Factorization (NMF) techniq...

Modelling and forecasting Stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. This nonlinearity affects the efficiency of the price characteristics. Using an Artificial Neural Network (ANN) is a proper way to model this nonlinearity and it has been used successfully in one-step-ahead and multi-step-ahead prediction of di...

We propose a new market structure, a supply-lock competition (SLC), for analyzing transactions of investable goods. This study explains and analyzes how the SLC is applicable for transactions of stock, art, real estate, currency, and scarce goods. We suggest that the formation and fluctuation of the market price for these investable assets are not only related to their intrinsic values or inves...