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dc.contributor.authorMartín Cervantes, Pedro Antonio
dc.contributor.authorCruz Rambaud, Salvador
dc.contributor.authorValls Martínez, María del Carmen
dc.date.accessioned2020-11-03T11:24:11Z
dc.date.available2020-11-03T11:24:11Z
dc.date.issued2020-10-26
dc.identifier.issn2227-7390
dc.identifier.urihttp://hdl.handle.net/10835/8720
dc.description.abstractThe 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.es_ES
dc.language.isoenes_ES
dc.publisherMDPIes_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectcopulases_ES
dc.subjectMarkov Chain Monte Carlo simulationes_ES
dc.subjectlocal optima vs. local minimaes_ES
dc.subjectfinancial marketses_ES
dc.subjectSRA approaches_ES
dc.titleAn Application of the SRA Copulas Approach to Price-Volume Researches_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/8/11/1864es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional