Risk and Volatility: Econometric Models and Financial Practice

The advantage of knowing about risks is that we can change our behavior to avoid them. Of course, it is easily observed that to avoid all risks would be impossible; it might entail no flying, no driving, no walking, eating and drinking only healthy foods and never being touched by sunshine. Even a bath could be dangerous. I could not receive this prize if I sought to avoid all risks. There are some risks we choose to take because the benefits from taking them exceed the possible costs. Optimal behavior takes risks that are worthwhile. This is the central paradigm of finance; we must take risks to achieve rewards but not all risks are equally rewarded. Both the risks and the rewards are in the future, so it is the expectation of loss that is balanced against the expectation of reward. Thus we optimize our behavior, and in particular our portfolio, to maximize rewards and minimize risks.time series;

Own capital to credit : the financial practice of the SME project in Hungary

The project as action in the 21st century is one of the strongest calls. Without a project, no company can be imagined. Growth is the fundamental interest of every organisation and the most obvious way to do this is to start successful projects that also end successfully. Projects allow for corporate value growth and qualitative progress in time. Larger companies are at the forefront of project management, following best practices that can be copied by the SME sector. Many tools and literature are available for project management but success, in many cases, does not depend on the methodology. In order for a project to be truly successful, one should always pay attention to the evolution of the three baselines from initiation to closure. However, the cost of the three baselines is the most important: from where and to what extent the project can be financed. The aim of this study is to present the financing practices of the Hungarian SME project based on the results of a research, highlighting the most favoured and rejected sources based on the opinion of the responding companies.peer-reviewe

Financial practices and problems amongst elderly in Malaysia

Being old is often associated with poverty, as a result of limited access to financial resources due to retirement or deterioration in health. The high incidence of poverty among the elderly is a global concern. How much the elderly have is important but how they use what they have is equally important. This paper focuses on financial practice and problems of the elderly in Malaysia. Data used in the analysis were collected in 2004 from among 2,327 elderly aged between 55 and 75 years. Samples were selected using multi stage systematic sampling. Financial practice was measured using 12 statements representing four dimensions, namely, planning, cash management, credit and investment. Financial problems were measured using seven items with two dimensions, namely, daily problems and credit management. In general, the elderly in the study performed basic financial practice (planning and cash management) but a lower percentage of these elderly performed credit and investment plans. About one third of elderly had experienced at least one of the seven financial problems listed. Multiple regression analysis conducted to explore the factors explaining variation in financial practice revealed that the model explained 20.7% variation in the financial practice score. The variable significantly explained the variations in the financial practice score were gender, age, region, ethnicity, education, home ownership, health perception, and income. A further research is needed to better understand the dynamic of financial practice among the elderly

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

In this paper, we review the most common specifications of discrete-time stochas- tic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap- proach which is easily implemented in empirical applications and financial practice and can be straightforwardly extended in various directions. We illustrate empirical results based on different SV specifications using returns on stock indices and foreign exchange rates.Stochastic Volatility, Markov Chain Monte Carlo, Metropolis-Hastings al- Jump Processes

“Upselling,” a Peculiar Financial Practice : An Anthropological Contribution to the Deconstruction of a Case Study

Trabalho de Projecto apresentado para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Antropologia dos Direitos Humanos e Movimentos Sociais.The current financial crisis which erupted in the fall of 2008 makes the practices of finance an important field to research. Anthropological interest in finance has been growing as the “subfield” of Anthropology of Finance demonstrates. In this project it is given a first contribution to the deconstruction of a peculiar financial practice called “upselling.” “Upselling” is a particular and unique method conceived and practiced by an English multinational foreign exchange corporation, which I encountered while residing in Denmark. It is an everyday mandatory practice and its goal is to maximize profit in every transaction done with every single one of its customers, which, furthermore, is not to be spoken of to no one, ever. Having “upselling” as a case study, the analysis and deconstruction of this everyday financial practice is extremely important and revealing for understanding the contemporary neoliberal ideological era. The research in this anthropological project has led to the exploratory hypothesis of considering it a deceitful financial practice

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Technical analysis, also known as "charting", has been a part of financial practice for many decades, yet little academic research has been devoted to a systematic evaluation of this discipline. One of the main obstacles is the highly subjective nature of technical analysis---the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of US stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution---conditioned on specific technical indicators such as head-and-shoulders or double-bottoms---we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.

Accountable: Exploring the Inadequacies of Transparent Financial Practice in the Non-Profit Sector

Increasingly, governments and organisations publish data on expenditure and finance as 'open' data in order to be more transparent to the public in how funding is spent. Accountable is a web-based tool that visualises and relates open financial data provided by local government and non-profit organisations (NPOs) in the UK. A qualitative study was conducted where Accountable was treated as a technology probe, and used by representatives of NPOs and members of the public who invest their time or effort voluntarily into such organisations. The study highlighted how: current open data sets provided by public bodies are inadequate in their representation of funding structures; the focus on finance and fiscal expenditure in such data makes invisible the in-kind effort of volunteers and the wider beneficiaries of an organisation's work; and problems arising from the interoperability of open data technologies. The paper concludes with implications for the design of future systems, considering the domains of transparency and accountability in relation to the findings