Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Bogdan Negrea"'
Publikováno v:
Theoretical and Applied Economics, Vol 11(528), Iss 11(528), Pp 31-36 (2008)
The aim of this paper is to investigate the relationship between trade volume, number of transaction and daily volatility for Romanian Financial Investments Funds. There is a large debate on this topic. The empirical results of previous literature sh
Externí odkaz:
https://doaj.org/article/723e3b05acb94cfe980be80618ad4f93
Autor:
Mihai Toma, Bogdan Negrea
Publikováno v:
Journal of Behavioral and Experimental Finance. 16:22-32
We develop an experimental financial market using real data in which subjects trade two assets for 30 periods in an ambiguous environment. The main goal is to verify if CAPM holds when subjects have homogenous knowledge about future payoffs given cur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31e5fead6d4d3fe48b7f7989f5cdc274
https://doi.org/10.1016/j.jbef.2017.09.001
https://doi.org/10.1016/j.jbef.2017.09.001
Publikováno v:
Finance Research Letters. 38:101480
•Using an emerging market dataset, we find that overconfidence has a positive influence on individual returns of Romanian investors;.•An overconfidence index is constructed through principal component analysis using three variables: trading frequ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f45103b8de9f8e25ea0d28878d26924a
https://doi.org/10.1016/j.frl.2020.101480
https://doi.org/10.1016/j.frl.2020.101480
Autor:
Bogdan Negrea
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 397:54-75
This paper postulates the concept of financial market energy and provides a statistical measure of the financial market crisis magnitude based on an analogy between earthquakes and market crises. The financial energy released by the market is express
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4fd9cb49277703a6c3b1fef7145ef62
https://doi.org/10.1016/j.physa.2013.11.030
https://doi.org/10.1016/j.physa.2013.11.030
Autor:
Bogdan Negrea
Publikováno v:
The Review of Finance and Banking. (1):007-019
The paper proposes a new method based on stochastic processes theory in order to analyze the equilibrium on the financial markets under asymmetrical information. The paper proposes an analytical formula for the liquidity cost in the orders-driven mar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::d9ff139a2649c6747e04246d57f66b67
http://www.rfb.ase.ro/articole/PIII.pdf
http://www.rfb.ase.ro/articole/PIII.pdf
Autor:
Bogdan Negrea, Elena Bojesteanu
Publikováno v:
Theoretical and Applied Economics. 11(11(528)(supplement)):180-185
This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::ab0d10e00166648a4bbb7b1913c75ee3
http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf
http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf
Autor:
Bogdan Negrea, Lucian Ţâţu
Publikováno v:
Theoretical and Applied Economics. 11(11(516)(supplement)(vol2)):27-32
An important component of the transaction costs faced by investors in financial securities is the bid-ask spread set by market maker. The goal of this study is to determine the importance of the components of spread (order processing costs, inventory
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::4458adf8d379366f545b52b20ac0a478
http://www.ectap.ro/documente/suplimente/simpozion_23_nov_2007_en_vol2.pdf
http://www.ectap.ro/documente/suplimente/simpozion_23_nov_2007_en_vol2.pdf
Autor:
Bogdan Negrea
Publikováno v:
SSRN Electronic Journal.
By analogy with the Richter scale used to determine the earthquake magnitude, the paper proposes a statistical measure for the magnitude of the "financial earthquake" by means of the market energy. The energy released by the market is defined by mean
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc9a65097fd0f0bee140ff301dae3ef9
https://doi.org/10.2139/ssrn.2234708
https://doi.org/10.2139/ssrn.2234708
Autor:
Bogdan Negrea
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8de2d87e68125be3037e4d15a56739b
https://doi.org/10.2139/ssrn.555709
https://doi.org/10.2139/ssrn.555709
Autor:
Bogdan Negrea, Emmanuel Jurczenko, Catherine Lubochinsky, Christophe Moussu, Bertrand Maillet, Jérôme Héricourt, Sylvain Friederich, Hélène Raymond-Feingold, Thierry Chauveau
Publikováno v:
Périodiques Scientifiques en Édition Électronique.
Does market volatility increase ? The French stock exchange has known a deep fall in prices for 3 years with great uncertainties on economic activity and firms' finances. So, this article deals with the size of market' s turbulences, their origins an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc586b9457ad9e8e5e9a1f9208269005
https://www.persee.fr/doc/ecofi_0987-3368_2004_num_74_1_5030
https://www.persee.fr/doc/ecofi_0987-3368_2004_num_74_1_5030