The aim of this research is to forecast the movement of SP&500 weekly. Support Vector Machine Classifier (SVMC) is used in order to examine the data. The data covers the period between 28/11/1997 and 29/12/2010. The inputs are technical analysis indicators such as the Moving Average Convergence Divergence (MACD) and the Relative Strength Index (RSI). SVMC is used to optimize the values of the M...

This note provides an unbiased estimator for the absolute S-Gini and an almost unbiased estimator for the relative S-Gini for integer parameter values. Simulations indicate that these estimators perform considerably better then the usual estimators, especially for small sample sizes. 1 The absolute and relative S-gini indices Assume that income is distributed according to a continuous and diffe...

This paper examines the fit of three different statistical distributions to the returns of the S&P 500 Index from 1950-2005. The normal distribution is a poor fit to the daily percentage returns of the S&P 500. The lognormal distribution is a poor fit to single period continuously compounded returns for the S&P 500, which means that future prices are not lognormally distributed. However, sums o...

Methods: This study considers the Standard & Poor’s CNX Nifty 50 Index futures for data analysis with the application of V-IGARCH (1, 1) two-stage model. The purpose for V-IGARCH (1, 1) is used to observe the positive effects of credit availability on the variance of futures returns. The first stage V-IGARCH (1, 1) endogenous mean and conditional variance returns are measured with exogenous fac...

We investigate the supersymmetric index of N=2, 3 SU(n) supersymmetric Yang-Mills Chern Simons theories at level k by using the brane configuration with a (p, q)5-brane. We can explain that the supersymmetry breaking occurs when k < n in terms of the s-rule for Type IIB branes. The supersymmetric index coincides with the number of the possible supersymmetric brane configurations. We also discus...

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is powerlaw correlated with Hurst exponent α ∼= 0.9. The volatility is a measure of the mean fluctuation of a market price over a certain time interval T . The ...

The Black-Scholes ( 1973) option pricing model is a universal standard among option valuation models. Despite its widespread popularity, however, the model has some known deficiencies in actual applications. For example, when calibrated to accurately price at-the-money options, the Black-Scholes model frequently misprices deep in-the-money and deep out-of-the-money options. Pricing biases assoc...