Last decade’s unprecedented whirlwind of redistricting lawsuits and reforms have fallen behind us as redistricters shift their focus to tomorrow’s elections. This decade’s redistricting plans will be scrutinized more than ever, and the public’s perception of these new plans is vital to their acceptance. This article presents the Balanced Votes (BV) method and the Weighted Districts Method (WDM). The BV method measures the partisan fairness of a redistricting plan and creates ‘dot plots’ which show each district’s benefit/harm in relation to the overall plan. BV dot plots provide comparisons of plans (1) within a state, (2) between states, and (3) between different election cycles. The BV method mathematically derives the cutoff points for packed districts, the value of packed districts, and the value of safe seats. The BV also derives a measure of competitive districts. The BV method accomplishes this by evaluating a redistricting plan from its two independent symmetry points: the statewide vote share, and the fifty-percent winner’s threshold. To aid the general public, this article derives a user-friendly approximation to the BV method, the Weighted Districts Method (WDM). Since WDM dot plots are easy to interpret, they provide a conduit for conversation between redistricters and constituents, or justices as the case may be. The WDM dot plots can be created and evaluated by any citizen using only a pen and a blank WDM weighting function (supplied in the appendix). Most importantly, the BV and WDM methods measure districts, not seats.
{"title":"The Balanced Votes Method: A new perspective on symmetry in creating fair redistricting plans and measuring gerrymandering","authors":"R. Wallin","doi":"10.2139/ssrn.3813521","DOIUrl":"https://doi.org/10.2139/ssrn.3813521","url":null,"abstract":"Last decade’s unprecedented whirlwind of redistricting lawsuits and reforms have fallen behind us as redistricters shift their focus to tomorrow’s elections. This decade’s redistricting plans will be scrutinized more than ever, and the public’s perception of these new plans is vital to their acceptance. This article presents the Balanced Votes (BV) method and the Weighted Districts Method (WDM). The BV method measures the partisan fairness of a redistricting plan and creates ‘dot plots’ which show each district’s benefit/harm in relation to the overall plan. BV dot plots provide comparisons of plans (1) within a state, (2) between states, and (3) between different election cycles. The BV method mathematically derives the cutoff points for packed districts, the value of packed districts, and the value of safe seats. The BV also derives a measure of competitive districts. The BV method accomplishes this by evaluating a redistricting plan from its two independent symmetry points: the statewide vote share, and the fifty-percent winner’s threshold. To aid the general public, this article derives a user-friendly approximation to the BV method, the Weighted Districts Method (WDM). Since WDM dot plots are easy to interpret, they provide a conduit for conversation between redistricters and constituents, or justices as the case may be. The WDM dot plots can be created and evaluated by any citizen using only a pen and a blank WDM weighting function (supplied in the appendix). Most importantly, the BV and WDM methods measure districts, not seats. ","PeriodicalId":11044,"journal":{"name":"delete","volume":"09 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75032752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Shabista Jabi, Swati Dwivedi, V. Upadhyay, A. Abdullah, Mohammad Sarfaraj, Ankur Mishra
Background- Early treatment of white spot lesions is essential to prevent the progression of the lesion. Aim - To evaluate and compare the remineralizing potential of CPP-ACP with fluoride (Casein Phospho Peptide-Amorphous Calcium Phosphate) and S-PRG fillers (Surface Pre reacted glass fillers) using atomic absorption spectroscopy and colorimetric method. Materials and methods- Forty sound human premolars were used in this study. They were divided into two groups (A & B), consisting of 20 samples in each. White spot lesions (WSLs) were established on the window (4x4 mm2) created on the buccal surfaces of the samples. Samples in group A were treated with casein phosphopeptide amorphous calcium phosphate (CPP-ACP) with fluoride, those of group B were treated with S-PRG Fillers. The sample teeth were immersed in a demineralizing solution for 4 days. All the samples were subjected to loss of mineral content (wt %), i.e., calcium, using atomic absorption spectroscopy and phosphorus using the colorimetric method. Results- Statistical analysis was performed using one?way analysis of variance, Tukey’s and paired t-tests. Group A exhibited the highest remineralizing potential, followed by Group B. Statistically, a significant difference (p=0.001) was observed between the two groups. Conclusion- There was a significant difference in remineralizing potential of CPP-ACP with fluoride and S-PRG Fillers. CPP-ACP with fluoride appears to be an effective technique in the remineralization of white spot lesions.
{"title":"An in Vitro Study to Evaluate and Compare the Remineralizing Potential among Casein Phosphopeptide-Amorphous Calcium Phosphate (CPP-ACP) with Fluoride and Surface Pre-Reacted Glass (S-PRG) Fillers Using Quantitative Analysis.","authors":"Shabista Jabi, Swati Dwivedi, V. Upadhyay, A. Abdullah, Mohammad Sarfaraj, Ankur Mishra","doi":"10.37983/ijdm.2021.3301","DOIUrl":"https://doi.org/10.37983/ijdm.2021.3301","url":null,"abstract":"Background- Early treatment of white spot lesions is essential to prevent the progression of the lesion. Aim - To evaluate and compare the remineralizing potential of CPP-ACP with fluoride (Casein Phospho Peptide-Amorphous Calcium Phosphate) and S-PRG fillers (Surface Pre reacted glass fillers) using atomic absorption spectroscopy and colorimetric method. Materials and methods- Forty sound human premolars were used in this study. They were divided into two groups (A & B), consisting of 20 samples in each. White spot lesions (WSLs) were established on the window (4x4 mm2) created on the buccal surfaces of the samples. Samples in group A were treated with casein phosphopeptide amorphous calcium phosphate (CPP-ACP) with fluoride, those of group B were treated with S-PRG Fillers. The sample teeth were immersed in a demineralizing solution for 4 days. All the samples were subjected to loss of mineral content (wt %), i.e., calcium, using atomic absorption spectroscopy and phosphorus using the colorimetric method. Results- Statistical analysis was performed using one?way analysis of variance, Tukey’s and paired t-tests. Group A exhibited the highest remineralizing potential, followed by Group B. Statistically, a significant difference (p=0.001) was observed between the two groups. Conclusion- There was a significant difference in remineralizing potential of CPP-ACP with fluoride and S-PRG Fillers. CPP-ACP with fluoride appears to be an effective technique in the remineralization of white spot lesions.","PeriodicalId":11044,"journal":{"name":"delete","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83425223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
PurposeGiven the public availability of secondary data on investments in events such as the Olympics, FIFA World Cup and professional sports, event studies that measure stock market response to these investments have grown. Previous findings are mixed, however, with some studies suggesting that the announcement of sponsorship contracts is a positive event and others finding detrimental effects of the announcement on shareholder value. This study aims to analyze the mixed findings from event studies in sport sponsorship to determine if sponsorship announcements influence stock market response.Design/methodology/approachThe meta-analysis examines more than 20 years of research on event studies in sponsorship (34 studies).FindingsThe overall results show a positive, but non-significant effect of partnership deal announcements on shareholder wealth. Further analysis considers the effects of sponsorship announcements by each type of event window to see the impact of the announcement relative to time (pre-announcement, announcement day, post-announcement and pre- to post-announcement). This closer examination of the event window shows that stock prices of sponsoring organizations increased in the pre-announcement window.Originality/valueQuantitative meta-analytic findings indicate that information about sponsorship deals appears to leak to share markets and positively influence share price. This finding suggests that sponsoring the sports and events found in these event studies is seen as value enhancing for sponsoring firms.
{"title":"Sport Sponsorship Announcement and Stock Returns: A Meta-Analytic Review","authors":"Youngbum Kwon, T. Bettina Cornwell","doi":"10.2139/ssrn.3751134","DOIUrl":"https://doi.org/10.2139/ssrn.3751134","url":null,"abstract":"PurposeGiven the public availability of secondary data on investments in events such as the Olympics, FIFA World Cup and professional sports, event studies that measure stock market response to these investments have grown. Previous findings are mixed, however, with some studies suggesting that the announcement of sponsorship contracts is a positive event and others finding detrimental effects of the announcement on shareholder value. This study aims to analyze the mixed findings from event studies in sport sponsorship to determine if sponsorship announcements influence stock market response.Design/methodology/approachThe meta-analysis examines more than 20 years of research on event studies in sponsorship (34 studies).FindingsThe overall results show a positive, but non-significant effect of partnership deal announcements on shareholder wealth. Further analysis considers the effects of sponsorship announcements by each type of event window to see the impact of the announcement relative to time (pre-announcement, announcement day, post-announcement and pre- to post-announcement). This closer examination of the event window shows that stock prices of sponsoring organizations increased in the pre-announcement window.Originality/valueQuantitative meta-analytic findings indicate that information about sponsorship deals appears to leak to share markets and positively influence share price. This finding suggests that sponsoring the sports and events found in these event studies is seen as value enhancing for sponsoring firms.","PeriodicalId":11044,"journal":{"name":"delete","volume":"191 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74741588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Shareholder meetings are one of the only opportunities for most investors to interact directly with management. Due to COVID-19, however, shareholder meetings have moved to a virtual format. Analysis of transcripts and recordings of in-person and virtual shareholder meetings in 2019–2020 shows that, relative to in-person meetings, the overall time of virtual meetings is 18% shorter, and 29% less time is spent by firms on answering each question. These findings indicate that communication between companies and shareholders is more limited at virtual meetings. To examine if shareholders face challenges in their attempts to increase such communication in virtual meetings, I construct a dataset on shareholders’ attempts to submit questions to virtual shareholder meetings and document several tactics firms use to avoid addressing them. For example, firms explicitly state that no (additional) questions were submitted, whereas I document that multiple questions were submitted by shareholders, but were ignored. Finally, a mechanism that imposes severe restrictions on shareholders’ ability to submit questions at virtual shareholder meetings is uncovered: the use of a non-Broadridge platform to broadcast the meeting. Overall, the paper documents that with regard to 55% of the firms to which shareholders attempted to submit questions, shareholders faced obstacles. The paper concludes with policy recommendations on how virtual shareholder meetings can be designed in ways that foster communication between management and companies. Presentation of paper is available at this link: https://www.youtube.com/watch?v=vjp6VcISqDE&feature=youtu.be
{"title":"How Shifting from In-Person to Virtual-Only Shareholder Meetings Affects Shareholders’ Voice","authors":"Miriam Schwartz-Ziv","doi":"10.2139/ssrn.3674998","DOIUrl":"https://doi.org/10.2139/ssrn.3674998","url":null,"abstract":"Shareholder meetings are one of the only opportunities for most investors to interact directly with management. Due to COVID-19, however, shareholder meetings have moved to a virtual format. Analysis of transcripts and recordings of in-person and virtual shareholder meetings in 2019–2020 shows that, relative to in-person meetings, the overall time of virtual meetings is 18% shorter, and 29% less time is spent by firms on answering each question. These findings indicate that communication between companies and shareholders is more limited at virtual meetings. To examine if shareholders face challenges in their attempts to increase such communication in virtual meetings, I construct a dataset on shareholders’ attempts to submit questions to virtual shareholder meetings and document several tactics firms use to avoid addressing them. For example, firms explicitly state that no (additional) questions were submitted, whereas I document that multiple questions were submitted by shareholders, but were ignored. Finally, a mechanism that imposes severe restrictions on shareholders’ ability to submit questions at virtual shareholder meetings is uncovered: the use of a non-Broadridge platform to broadcast the meeting. Overall, the paper documents that with regard to 55% of the firms to which shareholders attempted to submit questions, shareholders faced obstacles. The paper concludes with policy recommendations on how virtual shareholder meetings can be designed in ways that foster communication between management and companies. \u0000 \u0000Presentation of paper is available at this link: \u0000https://www.youtube.com/watch?v=vjp6VcISqDE&feature=youtu.be","PeriodicalId":11044,"journal":{"name":"delete","volume":"3 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74714947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Everything changed after September 11, 2001. At least that is what everyone is saying. Political pundits, reporters, and even our closest relatives will have us believe the post 9-11 America is unlike the one that we lived in prior to the tragedy. But is it?
{"title":"Did Everything Change After 911? Not Everything!","authors":"Markham Ball","doi":"10.2139/ssrn.3438836","DOIUrl":"https://doi.org/10.2139/ssrn.3438836","url":null,"abstract":"Everything changed after September 11, 2001. At least that is what everyone is saying. Political pundits, reporters, and even our closest relatives will have us believe the post 9-11 America is unlike the one that we lived in prior to the tragedy. But is it?<br>","PeriodicalId":11044,"journal":{"name":"delete","volume":"43 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88184268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Bharati Kamble, N. Dambe, S. Kulkarni, Gauri R Virkar
In this paper, the online smart ration card system with multifactor authentication techniques has been proposed to prevent from ration forgery. Multiple factors like biometric (fingerprint technique), Radio Frequency Identification (RFID), color code sequences and SMS entry way are used to keep the ration fraud. In this framework, a RFID tag is utilized that conveys relative points of interest and the client needs to show this tag at the ration shop or at his/her place before getting the ration. The user will need to give thumb impression on the biometric machine to verify if user is authentic or not. Additionally, before placing an order the user has to provide preferences of color code sequences as provided by the user during registration. Thus, the user ‘s authenticity is verified using multiple factors thereby increasing the security of the overall system. Apart from traditional approach of visiting and then collecting the ration, a novel approach has been introduced here where the authenticated user can demand the ration online and receive it at their specified location(Eg: Home address). In this paper, we present a brief introduction to Ration Distribution system using Smart card with increased usability and security of the overall system.
{"title":"Online Smart Ration Card System with Multifactor Authentication","authors":"Bharati Kamble, N. Dambe, S. Kulkarni, Gauri R Virkar","doi":"10.2139/ssrn.3418501","DOIUrl":"https://doi.org/10.2139/ssrn.3418501","url":null,"abstract":"In this paper, the online smart ration card system with multifactor authentication techniques has been proposed to prevent from ration forgery. Multiple factors like biometric (fingerprint technique), Radio Frequency Identification (RFID), color code sequences and SMS entry way are used to keep the ration fraud. In this framework, a RFID tag is utilized that conveys relative points of interest and the client needs to show this tag at the ration shop or at his/her place before getting the ration. The user will need to give thumb impression on the biometric machine to verify if user is authentic or not. Additionally, before placing an order the user has to provide preferences of color code sequences as provided by the user during registration. Thus, the user ‘s authenticity is verified using multiple factors thereby increasing the security of the overall system. Apart from traditional approach of visiting and then collecting the ration, a novel approach has been introduced here where the authenticated user can demand the ration online and receive it at their specified location(Eg: Home address). In this paper, we present a brief introduction to Ration Distribution system using Smart card with increased usability and security of the overall system.","PeriodicalId":11044,"journal":{"name":"delete","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90702119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study provides an overview of the characteristics of signal providers on social trading platforms, which are increasing in relevance supported by the fact that retail investors do not like to make investment decisions by themselves. Signal providers and receivers exist on the platform. We use a proprietary data set of one of the largest German social trading platforms. Signal providers are grouped to certain career levels, which represent a track record calculated with the help of certain performance and risk variables. Career level five represents the highest possible ranking. We show that signal providers in general neither outperform mutual funds nor the market. However, the motivation for signal receivers to go on social trading platforms should be the high transparency and simplicity to invest amongst others. Furthermore, the study's robustness check indicates that signal providers' investment strategies are not likely to be effected in times of high market volatility due to not investing in assets that are highly prone to market movements. This behaviour is shown by a factor analysis.
{"title":"Social Trading at a Glance - A Performance Analysis of Signal Providers","authors":"Alexander Deneke","doi":"10.2139/ssrn.3410534","DOIUrl":"https://doi.org/10.2139/ssrn.3410534","url":null,"abstract":"This study provides an overview of the characteristics of signal providers on social trading platforms, which are increasing in relevance supported by the fact that retail investors do not like to make investment decisions by themselves. Signal providers and receivers exist on the platform. We use a proprietary data set of one of the largest German social trading platforms. Signal providers are grouped to certain career levels, which represent a track record calculated with the help of certain performance and risk variables. Career level five represents the highest possible ranking. We show that signal providers in general neither outperform mutual funds nor the market. However, the motivation for signal receivers to go on social trading platforms should be the high transparency and simplicity to invest amongst others. Furthermore, the study's robustness check indicates that signal providers' investment strategies are not likely to be effected in times of high market volatility due to not investing in assets that are highly prone to market movements. This behaviour is shown by a factor analysis.","PeriodicalId":11044,"journal":{"name":"delete","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83660245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might be an unintended consequence of curiosity left to roam free, best exemplified by a frolicking infant. For this unintentional yet welcome aftereffect to set in a foundational list of guiding principles needs to be present. A consideration of these requirements allows us to propose a test of intelligence for trading programs, on the lines of the Turing Test, long the benchmark for intelligent machines. We discuss the application of this methodology to the dilemma in finance, which is whether, when and how much to Buy, Sell or Hold.
{"title":"Imitation in the Imitation Game","authors":"R. Kashyap","doi":"10.2139/ssrn.3049897","DOIUrl":"https://doi.org/10.2139/ssrn.3049897","url":null,"abstract":"We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might be an unintended consequence of curiosity left to roam free, best exemplified by a frolicking infant. For this unintentional yet welcome aftereffect to set in a foundational list of guiding principles needs to be present. A consideration of these requirements allows us to propose a test of intelligence for trading programs, on the lines of the Turing Test, long the benchmark for intelligent machines. We discuss the application of this methodology to the dilemma in finance, which is whether, when and how much to Buy, Sell or Hold.","PeriodicalId":11044,"journal":{"name":"delete","volume":"103 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73852092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Marius-Cristian Frunza, D. Guégan, Rostislav Haliplii
The aim of this research is to explore the risk associated with hedging in jet fuel markets. It focuses on finding the most effective proxy hedge instrument for the Singapore spot market. Due to its particularities, this market does not exhibit the same features as traditional financial markets do. In appearance, it seems very related to the oil market, but in reality it exhibits insufficient liquidity and shows unusual volatility clustering effects. This behavior has a direct impact on the hedging strategies of refineries, airline companies and jet fuel traders. The paper explores the econometric features of the jet fuel price and underlines the need of fat tail distributions and volatility clustering models. Also, it examines the density forecasting capacity of various proxy hedge instruments including kerosene, crude and gasoil futures. The results show that Singapore Gasoil Futures contract is the best candidate for hedging the Singapore Jet Fuel spot price.
{"title":"Assessment of Proxy-Hedging in Jet-Fuel Markets","authors":"Marius-Cristian Frunza, D. Guégan, Rostislav Haliplii","doi":"10.2139/ssrn.3049564","DOIUrl":"https://doi.org/10.2139/ssrn.3049564","url":null,"abstract":"The aim of this research is to explore the risk associated with hedging in jet fuel markets. It focuses on finding the most effective proxy hedge instrument for the Singapore spot market. Due to its particularities, this market does not exhibit the same features as traditional financial markets do. In appearance, it seems very related to the oil market, but in reality it exhibits insufficient liquidity and shows unusual volatility clustering effects. This behavior has a direct impact on the hedging strategies of refineries, airline companies and jet fuel traders. The paper explores the econometric features of the jet fuel price and underlines the need of fat tail distributions and volatility clustering models. Also, it examines the density forecasting capacity of various proxy hedge instruments including kerosene, crude and gasoil futures. The results show that Singapore Gasoil Futures contract is the best candidate for hedging the Singapore Jet Fuel spot price.","PeriodicalId":11044,"journal":{"name":"delete","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76416807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The stability of an economy is directly linked to the stability of the capital markets in which it operates and vice versa. The capital market stability is in turn linked to the asset price dynamics; most of these asset prices are modelled based on expected rate of return. The expected rate of return and direction of markets is determined from the implied market volatility (VIX index). The implied volatility is a forward looking variable which tells about the realised market volatility based of market participant’s expectations. Most of the times this implied volatility is over estimated compared to the realised volatility due to the speculative behaviour of the market participants. This speculative behaviour causes virtual dynamics in the implied variables which in turn caused virtual dynamics in the individual asset prices. The virtual dynamics in the asset prices causes the divergence in the realised or fundamental value of the market; which can be attributed to the irrational behavioural of the financial market participants. The present paper aims at understanding the source and level of the speculation, and also an attempt has been made to develop a novel quantitative behavioral framework to understand and rectify this speculative behaviour. An empirical analysis has been carried out on the S&P 500 Index and CBOE VIX Index to validate the proposed model. Some interesting results have been obtained from the present study which clearly shows the quantitative behavioural model has the capability to convergence the expected volatility with the realised market volatility, this helps the market participants, regulators and policy makers to make necessary corrections based on the predicted speculation.
{"title":"Implied Volatility and Stock Market Speculation","authors":"Ramesh Thimmaraya, Venkateshwarlu Masuna","doi":"10.2139/ssrn.3040470","DOIUrl":"https://doi.org/10.2139/ssrn.3040470","url":null,"abstract":"The stability of an economy is directly linked to the stability of the capital markets in which it operates and vice versa. The capital market stability is in turn linked to the asset price dynamics; most of these asset prices are modelled based on expected rate of return. The expected rate of return and direction of markets is determined from the implied market volatility (VIX index). The implied volatility is a forward looking variable which tells about the realised market volatility based of market participant’s expectations. Most of the times this implied volatility is over estimated compared to the realised volatility due to the speculative behaviour of the market participants. This speculative behaviour causes virtual dynamics in the implied variables which in turn caused virtual dynamics in the individual asset prices. The virtual dynamics in the asset prices causes the divergence in the realised or fundamental value of the market; which can be attributed to the irrational behavioural of the financial market participants. The present paper aims at understanding the source and level of the speculation, and also an attempt has been made to develop a novel quantitative behavioral framework to understand and rectify this speculative behaviour. An empirical analysis has been carried out on the S&P 500 Index and CBOE VIX Index to validate the proposed model. Some interesting results have been obtained from the present study which clearly shows the quantitative behavioural model has the capability to convergence the expected volatility with the realised market volatility, this helps the market participants, regulators and policy makers to make necessary corrections based on the predicted speculation.","PeriodicalId":11044,"journal":{"name":"delete","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81134361","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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