S&P 500 Index
Predictability of the daily high and low of the S&P 500 index
... Ratios involving the current period opening price and the high or low price of the previous period are significant predictors of the current period high or low price for many stocks and stock indexes. This is illustrated ...
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Price Deviations of S&P 500 Index Options from the Black Scholes Formula Follow a Simple Pattern
... the index value and the term structure of at-the-money-forward implied ...the index value and at-the-money-forward volatility on t + ∆t, we use the estimated parameters and the model to predict the price ...
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Short term Dependence in Time Series as an Index of Complexity: Example from the S&P 500 Index
... the S&P-500 Index, from January 3 rd , 1950 to Febru- ary 28 th , 2011, sampled at daily intervals, and expressed as an MfBm of Definition ...whole index was divided into 12 ...
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Are Mispricings Long Lasting or Short Lived? Evidence from S & P 500 Index ETF Options
... of index options, retrieved from Option Metric ...chooses S & P 500 index ETF (SPY: NYSE) as the un- derlying security, as they have high liquidity and small bid-ask ...
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Mixed fractional Brownian motion, short and long term Dependence and economic conditions: the case of the S&P 500 Index
... the S&P-500 Index, sampled daily over the period ...The S&P-500 Index is characterized by both short and long-term ...the index is persistent; and ...
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Assessing the Entropies of the Feigenbaum Strange Attractor and the S&P 500 Index as Factors Driving the Production of Information in Market Economies
... It is worth repeating at this juncture what we have said above. In the history of science, for example, concepts and narratives arise from the dominant paradigm, but the dominant paradigm may eventually be supplanted by ...
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Could Noise Spectra of Strange Attractors Better Explained Wealth and Income Inequalities? Evidence from the S&P 500 Index
... the S&P-500 Index is the output signal of a multifractal, it is then worth investigating whether income distributions (which is of interest here) are better studied by noise spectra (their ...
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Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing
... Accompanying policy of low interest rates also by policy of increasing money supply is referred to as very controversial as well. As harmful cases from history, for example Shiratsuka (2005) states e.g. the price bubble ...
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Investment Performance of Machine Learning: Analysis of S&P 500 Index
... based inequality measures across the quantiles of the conditional distribution of stock returns. Results suggest that the inequality measures have predictive value for stock returns in sample, but do not systematically ...
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Large cap versus small cap, a downside risk comparison
... In this paper we estimated for the period 1990 - 2015, Sortino Ratio and Return Level using a Generalized Pareto Distribution to evaluate downside risk of large-cap companies, approach through S&P ...
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Investigating Correlation and Volatility Transmission among Equity, Gold, Oil and Foreign Exchange
... the S&P 500 stock index, the price of gold, West Texas Intermediate crude oil and the exchange rate of the Swiss Franc to the US ...
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Macroeconomic variables and stock market: US review
... the S&P 500 (value weighted index) and DJIA (price weighted ...price index, industrial production, index, unemployment and money supply, measured by M2 and MZM aggregates ...
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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
... This research focuses on the empirical comparative analysis of three models of option pricing: (a) The implied volatility daily calibrated Black–Scholes model, (b) the Cox and Ross univariate model with the volatility ...
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The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... value-weighted index are 0.1283% and 0.0159%; in Henzel and Ziemba (1996) for the S&P 500 index are ...for S&P 500 account are ...
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Oil and S&P 500 Markets: Evidence from the Nonlinear Model
... stock index is the leading indicator that directly reflects the macroeconomic ...the S&P500 index that simultaneously takes price and volume into consideration can better reflect the change in ...
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Investment Style Preference and its Effect Upon Performance of Tracking Portfolios
... the index at the end of the in‑sample period did not have a sufficiently long history to be contained fully in the in‑sample and out‑of‑sample ...the index in the in‑sample period, whilst others were ...
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A state-contingent claim approach to asset valuation
... greater dispersion as time to maturity increases is consistent with greater probability of large price movements over longer periods, as greater weight in the tails of the distribution will place a higher probability on ...
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A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets
... stock index futures contracts, in general the number of contemporaneous (respectively, lagged) open positions and closed positions are both positively (negatively) correlated with ...the S&P ...
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Forecasting S&P 500 Stock Index Using Statistical Learning Models
... In section 2, this paper calculates the correlation between different features and the moving directions of S&P 500. Due to the highest correlation between crude oil and the moving direction, it ...
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Link between S&P 500 and FTSE 100 and the comparison of that link before and after the S&P 500 peak in October 2007
... other index slowly grows before plateauing in its influence on the opposing ...the S&P 500. The S&P 500’s influence peaks at ...the S&P ...
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