An Application of the SRA Copulas Approach to Price-Volume Research
The objective of this study was to apply the Sadegh, Ragno, and AghaKouchak (SRA) approach to the field of quantitative finance by analyzing, for the first time, the relationship between price and trading volume of the securities using four stock market indices: DJIA, FOOTSIE100, NIKKEI225, and IBEX...
| Main Authors: | , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
| Published: |
MDPI
2020
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10835/8720 |
| _version_ | 1789406395944140800 |
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| author | Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador Valls Martínez, María del Carmen |
| author_facet | Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador Valls Martínez, María del Carmen |
| author_sort | Martín Cervantes, Pedro Antonio |
| collection | DSpace |
| description | The objective of this study was to apply the Sadegh, Ragno, and AghaKouchak (SRA) approach to the field of quantitative finance by analyzing, for the first time, the relationship between price and trading volume of the securities using four stock market indices: DJIA, FOOTSIE100, NIKKEI225, and IBEX35. This procedure is a completely new methodology in finance that consists of the application of a Bayesian framework and the development of a hybrid evolution algorithm of the Markov Chain Monte Carlo (MCMC) method to analyze a large number (26) of parametric copulas. With respect to the DJIA, the Joe’s copula is the one that most efficiently models its succinct dependence structures. One of the copulas included in the SRA approach, the Tawn’s copula, is jointly adjusted to the FOOTSIE100, NIKKEI225, and IBEX 35 indices to analyze the asymmetric relationship between price and trading volume. This adjustment can be considered almost perfect for the NIKKEI225, and a relatively different characterization for the IBEX35 seems to indicate the existence of endogenous patterns in the price and volume. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-8720 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2020 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-87202023-04-12T19:05:56Z An Application of the SRA Copulas Approach to Price-Volume Research Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador Valls Martínez, María del Carmen copulas Markov Chain Monte Carlo simulation local optima vs. local minima financial markets SRA approach The objective of this study was to apply the Sadegh, Ragno, and AghaKouchak (SRA) approach to the field of quantitative finance by analyzing, for the first time, the relationship between price and trading volume of the securities using four stock market indices: DJIA, FOOTSIE100, NIKKEI225, and IBEX35. This procedure is a completely new methodology in finance that consists of the application of a Bayesian framework and the development of a hybrid evolution algorithm of the Markov Chain Monte Carlo (MCMC) method to analyze a large number (26) of parametric copulas. With respect to the DJIA, the Joe’s copula is the one that most efficiently models its succinct dependence structures. One of the copulas included in the SRA approach, the Tawn’s copula, is jointly adjusted to the FOOTSIE100, NIKKEI225, and IBEX 35 indices to analyze the asymmetric relationship between price and trading volume. This adjustment can be considered almost perfect for the NIKKEI225, and a relatively different characterization for the IBEX35 seems to indicate the existence of endogenous patterns in the price and volume. 2020-11-03T11:24:11Z 2020-11-03T11:24:11Z 2020-10-26 info:eu-repo/semantics/article 2227-7390 http://hdl.handle.net/10835/8720 en https://www.mdpi.com/2227-7390/8/11/1864 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess MDPI |
| spellingShingle | copulas Markov Chain Monte Carlo simulation local optima vs. local minima financial markets SRA approach Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador Valls Martínez, María del Carmen An Application of the SRA Copulas Approach to Price-Volume Research |
| title | An Application of the SRA Copulas Approach to Price-Volume Research |
| title_full | An Application of the SRA Copulas Approach to Price-Volume Research |
| title_fullStr | An Application of the SRA Copulas Approach to Price-Volume Research |
| title_full_unstemmed | An Application of the SRA Copulas Approach to Price-Volume Research |
| title_short | An Application of the SRA Copulas Approach to Price-Volume Research |
| title_sort | application of the sra copulas approach to price-volume research |
| topic | copulas Markov Chain Monte Carlo simulation local optima vs. local minima financial markets SRA approach |
| url | http://hdl.handle.net/10835/8720 |
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