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    Wyświetlanie 1-4 z 4
    Tytuł:
    Modele hierarchiczne w prognozowaniu zmiennych o wysokiej częstotliwości obserwowania w warunkach braku pełnej informacji
    Hierarchical models in forecasting of the high-frequency variables in the conditions of lack of full information
    Autorzy:
    Szmuksta-Zawadzka, Maria
    Zawadzki, Jan
    Powiązania:
    https://bibliotekanauki.pl/articles/425235.pdf
    Data publikacji:
    2014
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    high-frequency data
    hierarchical models
    incomplete time series
    Opis:
    The paper presents a procedure of application of regular hierarchical models in forecasting missing data in high-frequency time series with cyclical fluctuations. Annual, weekly and daily cycles of seasonal fluctuation have additive character. Separately regular hierarchical models have been built for even length cycles.Theoretical considerations are illustrated with an empirical example.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2014, 4(46); 72-84
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    ON LOW-FREQUENCY ESTIMATION OF BID-ASK SPREAD IN THE STOCK MARKET
    Autorzy:
    Kociński, Andrzej Marek
    Powiązania:
    https://bibliotekanauki.pl/articles/453684.pdf
    Data publikacji:
    2014
    Wydawca:
    Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
    Tematy:
    high-frequency data
    low-frequency data
    Roll estimator
    Corwin-Schultz estimator
    Opis:
    In the article two popular low-frequency methods od bid-ask spread estimation are presented and applied to the stocks quoted on the Warsaw Stock Exchange (WSE): the Roll method [Roll 1984] and Corwin-Schultz method [Corwin and Schultz 2012]. The widely available data on average spreads published by WSE are used as benchmark and proxy of information, usually received from difficult to access and limited high-frequency financial data
    Źródło:
    Metody Ilościowe w Badaniach Ekonomicznych; 2014, 15, 2; 135-143
    2082-792X
    Pojawia się w:
    Metody Ilościowe w Badaniach Ekonomicznych
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
    Autorzy:
    Kokoszczyński, Ryszard
    Sakowski, Paweł
    Ślepaczuk, Robert
    Powiązania:
    https://bibliotekanauki.pl/articles/1357377.pdf
    Data publikacji:
    2019-04-01
    Wydawca:
    Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
    Tematy:
    Option pricing models
    high-frequency data
    realized volatility
    implied volatility
    stochastic volatility
    emerging markets
    Opis:
    In this study, we analyse the performance of option pricing models using 5-minutes transactional data for the Japanese Nikkei 225 index options. We compare 6 different option pricing models: the Black (1976) model with different assumptions about the volatility process (realized volatility with and without smoothing, historical volatility and implied volatility), the stochastic volatility model of Heston (1993) and the GARCH(1,1) model. To assess the model performance, we use median absolute percentage error based on differences between theoretical and transactional options prices. We present our results with respect to 5 classes of option moneyness, 5 classes of option time to maturity and 2 option types (calls and puts). The Black model with implied volatility (BIV) comes as the best and the GARCH(1,1) as the worst one. For both call and put options, we observe the clear relation between average pricing errors and option moneyness: high error values for deep OTM options and the best fit for deep ITM options. Pricing errors also depend on time to maturity, although this relationship depend on option moneyness. For low value options (deep OTM and OTM), we obtained lower errors for longer maturities. On the other hand, for high value options (ITM and deep ITM) pricing errors are lower for short times to maturity. We obtained similar average pricing errors for call and put options. Moreover, we do not see any advantage of much complex and time-consuming models. Additionally, we describe liquidity of the Nikkei225 option pricing market and try to compare the results we obtain here with a detailed study for Polish emerging option market (Kokoszczyński et al. 2010b).
    Źródło:
    Central European Economic Journal; 2017, 4, 51; 18 - 39
    2543-6821
    Pojawia się w:
    Central European Economic Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
    Autorzy:
    Suliga, Milena
    Powiązania:
    https://bibliotekanauki.pl/articles/24201282.pdf
    Data publikacji:
    2023
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    COVID-19
    event study
    expiration day effects
    futures market
    high-frequency data
    stock market
    Warsaw Stock Exchange
    Opis:
    This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of underlying stocks, price reversal and price shock. The study confirms that on expiration days trading volume of underlying stocks increase unusually during the time when final settlement prices of expiring futures are being calculated. Intraday volatility of stock prices is also abnormally high on expiration days. However, before 2020 this price effect occurred on expiration days during triple withing hour, while in the initial phase of COVID-19 pandemic it has been visible on expiration days only at the close and additionally at the beginning of the next trading session. The analysis of price reversal and price shock effects revealed that only the second anomaly is a phenomenon which constantly appears after futures expiration, indicating the distortion of stock prices on expiration days and their return to normal levels at the beginning of the next trading session. Division of the research period (2018-2020) into two parts allow to find out that after the outbreak of the pandemic, when the importance of hedgers’ activity on the futures market have increased, some of the analyzed anomalies have weakened and their duration have been shortened. However, distortions of underlying stock prices have been still visible at the close of the trading session on expiration days. This suggests that as long as the final settlement prices of stock future are equal to closing prices of underlying stocks, expiration day effects will occur on the WSE.
    Źródło:
    Managerial Economics; 2023, 23, 1; 39--82
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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