In this paper, we analyze the relationship among stock networks by focusing on the statistically reliable connectivity between financial time series, which accurately reflects the underlying pure stock structure. To do so, we firstly filter out the effect of market index on the correlations between paired stocks, and then take a t-test based P-threshold approach to lessening the complexity of t...

This paper provides evidence that management in Japan uses share repurchases to change the ownership of their companies to protect them against unfriendly changes in control by outside shareholders. The paper documents the time series of stock repurchases made by Japanese companies over the period 2001-2014. We find that almost half of listed companies engage in share repurchases, and almost on...

Repricing of an employee stock option refers to the practice of lowering the strike price and /or extending the maturity date of a previously granted employee stock option. Normally, firms reprice after a period of significant stock price decline that renders the employee stock options deeply out-of-the-money. By modeling various repricing mechanisms based on some form of Brownian functional of...

The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market valuation of a firm's equity has on the degree of leverage in its capital structure, with an increase in leverage producing an increase in sto...

The stock market has always been an attractive area for researchers since no method has been found yet to predict the stock price behavior precisely. Due to its high rate of uncertainty and volatility, it carries a higher risk than any other investment area, thus the stock price behavior is difficult to simulation. This paper presents a “data mining-based evolutionary fuzzy expert system” (DEFE...

Stock assessment of Otolithes ruber was carried out using Virtual Population Analysis (VPA) method in the coastal waters of Northwest Persian Gulf. Catch and length frequency data during 2002-2012 were converted to age frequency. The maximum of stock number and biomass were observed in age group 1 and 2 respectively. The minimum of stock number and biomass were observed age group 6. The maximum...

Billions of dollars worth of shares are traded in the stock market on a daily basis. Many people depend on the stock market as their primary source of income while others have their retirement funds tied to the stock market. The importance of “good” performance of the stock market is obvious. History has shown that a downturn in stock prices can cause major disturbances in the lives of many. Al...

– We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity fi(t) of each stock i displays a crossover from weaker to stronger correlations at time scales 60− 390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents ...

The nonlinear stochastic model of updating of industrial stocks is considered in the paper. The purposes of work are: 1. To define an optimum strategy of updating of industrial stocks and reductions of the expenses connected to their storage; 2. To combine the modeling process with the real information describing the process of industrial stocks management in real time; 3. To take to account th...

the focal objective of this study is to analyze and explore the co-movement of pakistan stock market (kse-100) with the stock market of developed countries (us, uk, canada, australia, germany, japan, france and neither land) which have portfolio investment in pakistan by applying co-integration approach using johansen and juselius multivariate and bi variate co-integration. secondary data of st...