14 research outputs found
CAN LEADING BUSINESS CYCLE INDICATORS PREDICT THE DIRECTION OF THE SOUTH AFRICAN COMMERCIAL SHARE PRICE INDEX?
Leading indicators are a popular way to predict turning points in the business cycle. However, since the lead time of these indicators differ, those with a longer lead could potentially also be used to predict turning points in other leading indicators. This paper empirically explores the viability of using leading indicators to predict the turning points of an index of commercial shares on the JSE Securities Exchange. Although share prices are leading the business cycle, other leading indicators that lead the business cycle by a longer period should lead share prices and, therefore, could potentially be useful in predicting the direction of share price movements. Copyright 2005 Economic Society of South Africa.
The evolution of portfolio rules and the capital asset pricing model
Evolution, Market selection, Wealth dynamics, Portfolio rules, CAPM, C61, D81, G11,
Robust Artificial Neural Networks for Pricing of European Options
artificial neural networks, huber function, implied parameters, option pricing & trading, robust estimation,