Stock markets : emergence, macroeconomic factors and recent developments / Filippo Petroni, Ph. D., Flavio Prattico and Guglielmo D'Amico, editors.

Includes bibliographical references and index.

Print version record.

Much effort has gone into the study of financial markets and how prices vary with time. The usual approach of random walk is known to be inadequate to fully describe price dynamics. In this book, many different approaches are provided that use alternative and more adequate models. This book also examines the renewal theory in actuarial science. A simple actuarial model can be simulated well by means of this kind of stochastic process. A method dealing with the numerical solution of the renewal equation is presented. In addition, based on a theoretical model for opinion spreading on a network,

STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS; STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS; Library of Congress Cataloging-in-Publication Data; CONTENTS; PREFACE; Chapter 1: DYNAMICS OF MEAN REVERSION AFTER EXTREME STOCK RETURNS IN THE PAST 125 YEARS; ABSTRACT; INTRODUCTION; DATA AND METHODOLOGY; EMPIRICAL RESULTS; CONCLUSION; REFERENCES; Chapter 2: RECENT CHANGES IN THE STRUCTURE OF CORRELATIONS BETWEEN CEE AND GLOBAL STOCK MARKETS; ABSTRACT; INTRODUCTION; LITERATURE REVIEW; METHODOLOGY; DATA AND RESEARCH QUESTIONS; RESULTS; CONCLUSION.

APPENDIXREFERENCES; Chapter 3: MODELING AND PRICING OF COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH SEMI-MARKOV VOLATILITIES; Abstract; 1. Introduction; 2. Martingale Representation of Semi-Markov Processes; 3. Variance and Volatility Swaps for Financial Markets with Semi-Markov Stochastic Volatilities; 4. Covariance and Correlation Swaps for a Two Risky Assetsin Financial Markets with Semi-Markov Stochastic Volatilities; 5. Numerical Evaluation of Covariance and Correlation Swaps with Semi-Markov Stochastic Volatilit; Appendix; References.

Chapter 4: MEAN ANNUAL NUMBER OF MOTORCAR ACCIDENTS: A RENEWAL APPROACHABSTRACT; INTRODUCTION; MAIN DEFINITIONS; A REAL APPLICATION OF MOTOR ACCIDENTS; CONCLUSION; ACKNOWLEDGMENTS; REFERENCES; Chapter 5: THRESHOLD MODEL FOR TRIGGERED AVALANCHES ON NETWORKS; Abstract; 1. Introduction; 2. Avalanche on Networks; 3. Results; 4. Discussion; Acknowledgments; References; Chapter 6: INTERNATIONAL DEPENDENCE STRUCTURE: EVIDENCE FROM ASIA AMID THE US MORTGAGE CRISIS; ABSTRACT; INTRODUCTION; LITERATURE REVIEW; METHODS; DATA AND EMPIRICAL RESULTS; CONCLUSION; ACKNOWLEDGMENTS; REFERENCES.

Chapter 7: DIVERSIFICATION MEASURES FOR PORTFOLIO SELECTIONAbstract; 1. Introduction; 2. Fixing the Notation and Preliminary Results; 3. Portfolio DiversificationMeasures; 4. Portfolio Diversification in Practice; 5. Measuring Dependency among Assets: From the Correlation Coefficient to the Kullback-Leibler Pseudo-distance; 6. Conclusion; Acknowledgments; Appendix; References; Chapter 8: OPTIMAL FISCAL POLICY IN A SIMPLE MACROECONOMIC CONTEXT; Abstract; 1. Introduction; 2. The Setup; 3. Solving the Optimal Control Problem for the Authority; 4. Conclusion; 5. Appendix A; 6. Appendix B.

Appendix CAcknowledgments; References; Chapter 9: SEMI-MARKOV MODELS IN HIGH FREQUENCY FINANCE: A REVIEW; Abstract; 1. Introduction; 2. Financial Return Models; 3. Empirical Results; 4. Concluding Remarks; References; Chapter 10: MULTIAGENT'S MODEL OF STOCK MARKET WITH P-ADIC DESCRIPTION OF PRICES; Abstract; 1. Introduction; 2. Mathematical Model of Agent Based StockMarket; 3. Quantum Derivatives in the Hubbard Model; 4. The Jackson Integral; 5. Elliott Waves Theory; 6. Conclusion; References; Chapter 11: A NON-HOMOGENEOUS SEMI-MARKOV APPROACH TO FINANCIAL CHOICES; ABSTRACT; 1. INTRODUCTION.

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