Share Price volatility has exhibited different patterns in global exchange markets including the Nigerian exchange. Various attempts have been made to unravel possible causes of this and how they can be mitigated, but there fewer studies regard, especially developing economies like Nigeria. Hence study examined effect dividend policy on share price selected companies listed Exchange. The adopte...

importance of risk and uncertainty in financial markets became more apparent after financial crisis in 2007. volatility is the most important measure of risk in financial markets. thus, modeling volatility of financial markets is one of the important issues in finance and economics. in this paper first we tried to specify key features of volatility of daily returns of tehran stock exchange pric...

The aim of this paper is to price European options for underlying assets with stochastic volatility (SV) in Heston model in 1993 using fuzzy set theory. The main idea is to transform the probability distribution of stochastic volatility to its possibility distribution (from ‘volatility smile to volatility frown’) and reduce the problem to a fuzzy stochastic process for underlying asset with a n...

We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...

Algorithmic trading (AT) in asset markets has risen in importance over the past decade, revolutionizing the way market transactions are conducted. The extant empirical literature provides sometimes contradictory results on the impact of AT on market quality parameters such as liquidity and volatility. In this work we create a computer simulated asset market in order to make the effects of algor...

Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is presented that provides stylized impleme...

The topic of volatility measurement and estimation is central to …nancial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical …ndings from the literature. In particular, in the …rst sections of this paper, we discuss important developments in volatility models, with fo...

This paper provides an effective approach for forecasting return volatility via threshold heteroskedastic models of the daily asset price range, defined as the difference between the highest and lowest log asset price recorded throughout the day. We propose a general model specification, allowing the intra-day high-low price range to depend nonlinearly on past information, or an exogenous varia...

Although electricity market price behavior generally has been well studied in the last decade, the literature is sparse when discussing the importance of generator ramping costs to price volatility. This paper contributes to the literature by first formalizing the intuitive link between ramping costs and price volatility in a multi-period competitive equilibrium. The fundamental result of the m...

Volatility is the key of the option price in the stock market. Changes in volatility will dramatically lead to changes of the option price. One of the most important volatilities is historical volatility (HV ). The HV is essentially the annualized standard deviation of the first order difference of logarithm of the asset price. Therefore, changes in HV in finance may be detected by the variance...