ARTICLE ANALYSIS

Article Analysis



Article Analysis

Introduction

In this paper we have analyzed five different articles concerning stock market. Each articles' analysis is also provided along with its methodology and practical applicality.

Article 1) Long-term and short-term price memory in the stock market

Introduction

Experts have displayed long-range dependence has been a hypothesis of numerous early ideas of the trade and enterprise cycles. Such ideas were often inspired by the distinct but non periodic cyclical patterns that typified plots of financial aggregates over time, circuits of numerous time span, some that appear almost as long as the whole span of the experiment . In the frequency domain such time sequence are said to have power at reduced frequencies (Akaike, 1973, 35).

Methodology

In this item the customary and changed rescaled variety statistics have been utilized to investigate the data.

Rescaled Range Statistics

To notice long-range or "strong" dependence, the scribe of the item has proposed utilizing the variety over benchmark deviation or R/S statistic, furthermore called the "rescaled range," which was evolved by Hurst (1951) in his investigations of stream discharges (Amin, 1993, 881).

Discussion and Analysis

Using a straightforward modification of the Hurst-Mandelbrot rescaled variety that anecdotes for short-term dependence, and opposing to preceding investigations, we find little clues of long-run recollection in chronicled U .S. supply market returns. If the source of successive association is lagged change to new data, the nonattendance of powerful dependence in supply comes back should not be astonishing from a financial viewpoint, granted the frequency with which economic asset markets clear.

Surely economic security charges should be immune to continual informational asymmetries, particularly over longer time spans. Perhaps the fluctuations of aggregate financial yield are more probable to brandish such long-run tendencies, as Kondratiev and Kuznetshave proposed, and this long-memory in yield may finally manifest itself in the come back to equity. But if some pattern of long-range dependence is really present in supply comes back, it will not be effortlessly noticed by any of our present statistical devices, particularly in outlook of the optimality of the R/S statistic in the Mandelbrot and Wallis (1969b) sense.

Article 2) Long recollection and outliers in supply market Returns

Stock Market

Stock market indices of 16 OECD countries.

Methods Used

Standard autoregressive, fractional integration and moving average.

Discussion and Analysis

Many authors have enquired the likelihood of long recollection in supply returns. Generally, very little clues have been discovered for long recollection in either supply return. This paper concerns a new check for fractionally incorporated (FI) methods conceived as Fractional Dickey-Fuller (FD-F) test. Also this paper concerns the log-periodogram regression and rescaled rang investigates (R/S) to a broad variety of supply market indicators of 16 OECD nations market supply comes back and finds some clues for affirmative long recollection in 5 of the 7 sequence considered.

Detecting and Modelling Long Memory in Time Series

There are varied delineations of long recollection processes. Especially, long recollection could be conveyed either in the time domain or in the frequency domain. In the time domain, a stationary discrete time sequence is said to be long recollection if its ...