The impact of information timeliness on the predictability of stock and futures returns: an application of vector models

Article Abstract:

The effect of information timeliness on the ability of investors to forecast the closing value of a stock index and the closing price of a stock index future is investigated. Specifically, data on the Finnish FOX index and the FOX futures index were used to test for Unit roots, Granger causality and cointegration of the input-output variables as well as generate optimal VARMAX models. A test for the stationarity of the VARMAX-residuals reveals that the optimal model as the one which minimizes a weighted sum of Akaike's AIC-measure and Schwartz-Rissanen's SR-criterion.

Stock price indexes, Stock index futures, Prediction theory

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Call option pricing and replication under economic friction

Article Abstract:

An assessment of economic friction was undertaken with regards to its influence in the option pricing formula established by Black and Scholes. Utilization of the approximate hedging-based PDE revealed that introduction of multiple transaction costs does not guarantee a zero value hedging error for stocks portfolio and risk free bonds. Hedging error only becomes zero when the proportionality of economic friction is unity.

Economics, Research and Development in the Social Sciences and Humanities, Options (Finance), Economic research, Equilibrium (Economics)

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VARMAX-modelling of blast furnace process variables

Article Abstract:

Vector Autoregressive Moving Average (VARMAX) models are used in analyzing the hot metal silicon content and temperature of pig iron produced via blast furnace processes. Several process parameters are considered by the models, including the blast pressure and the heat loss to wall cooling water. Results suggest that VARMAX models provide fast and robust solutions for estimating the parameter values of pig iron.

Iron and Steel Mills, Blast furnaces and steel mills, Pig Iron, Models, Usage, Cast-iron, Cast iron, Autoregression (Statistics), Blast furnaces, Blast-furnaces

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