The Analysis of Economic Time Series - Term Paper Example

Comments (0) Cite this document
Summary
The paper presents, the empirically-supported theory of share prices' behavior which emerged in the form of the Efficient Markets Hypothesis (EMH). Prior to the development of the EMH, analysts assumed some degree of dependence across successful price changes…
Download full paperFile format: .doc, available for editing
GRAB THE BEST PAPER98.1% of users find it useful
The Analysis of Economic Time Series
Read TextPreview

Extract of sample "The Analysis of Economic Time Series"

Download file to see previous pages RWT basically stated that speculative price changes were independent and identically distributed so that the past price data had no predictive power for future share price movements. RWT also stated that the distribution of price changes from transaction to the transaction had finite variance. In addition, if transactions were fairly uniformly spread across time and were large in numbers, then the Central Limit Theorem suggested that the price changes would be normally distributed. (Please check your citation by using Harvard system http://www.leeds.ac.uk/library/training/referencing/text.htm#indirect ) Kendall (1953) calculated the first differences of twenty-two different speculative price series at weekly intervals from 486 to 2,387 terms. He concluded that the random changes from one term to the next were large and obfuscated any systematic effect which may be present. In fact, he stated that 'the data behaved almost like a wandering series' (random walk) (its not required here-check the way author has been cited) Specifically, an analysis of share price movement revealed little serial correlation, with the conclusion that there was very little predictability of movements in share prices for a week ahead without extraneous information. Subsequently, the pattern of market levels was generated and changes akin to real levels and changes in the Dow Jones Industrial Index. It also estimated the probability of different share price movements over time by using a frequency distribution of historical changes in the weekly market index and assumed weekly changes were independently drawn from a normal distribution with a mean of + 0.5 and a standard deviation of 5.0. The subsequent conclusion was that changes in security prices behaved as if they had been generated by a simple chance model. The fundamental concept behind random walk theory is that competition in perfect markets would remove excess economic profits, except for those parties who exercised some degree of market monopoly. This meant that a trader with specialized information about future events could profit from the monopolistic access to information, but that fundamental and technical analysts who rely on past information should not expect to have speculative gains. ...Download file to see next pagesRead More
Cite this document
  • APA
  • MLA
  • CHICAGO
(The Analysis of Economic Time Series Term Paper, n.d.)
The Analysis of Economic Time Series Term Paper. Retrieved from https://studentshare.org/finance-accounting/1512376-module-corporate-finance
(The Analysis of Economic Time Series Term Paper)
The Analysis of Economic Time Series Term Paper. https://studentshare.org/finance-accounting/1512376-module-corporate-finance.
“The Analysis of Economic Time Series Term Paper”, n.d. https://studentshare.org/finance-accounting/1512376-module-corporate-finance.
  • Cited: 0 times
Comments (0)
Click to create a comment or rate a document

CHECK THESE SAMPLES OF The Analysis of Economic Time Series

Financial Time series including ARCH-Garch models

...?Running head: Financial Time Series Including ARCH-GARCH Models Financial Time Series Including ARCH-GARCH Models Insert Insert Insert Instructor’s Name 22 September 2011 OUTLINE Introduction Objectives the Research ARCH Methodology GARCH Methodology Comparison between ARCH and GRACH Conclusion Financial Time Series Including ARCH-GARCH Models Introduction Financial time series forms the basis of financial and macroeconomics where model builders use stochastic processes to test and construct equations of economic variables. Time varying volatility and non-stationarity...
9 Pages(2250 words)Research Paper

Time Series Analysis

...? INTRODUCTION Time series is a set of statistics that is collected regularly; it happens naturally and in diverse applications like in economics, finance or even medicine fields. Time series analysis predates the general stochastic procedures with their aims of describing and providing summaries of time series data; fit the low-dimensional models like the series of ARIMA and making forecasts in relevant environs (Franses, 1998). ARIMA models can easily be identified through the first order difference of the function Xt = ?Yt = Yt ? Yt?1 where Yt as a constant in the stationery is not...
4 Pages(1000 words)Essay

Economic analysis

...? Macro & Micro economics Table of Contents 0 Article Summary 3 2.0 Introduction 3 3.0 Analysis 4 3 Monetary policy 4 3.2 Fiscal Policy 6 3.3 Structural growth in the economy 7 4.0 Conclusion 8 References 10 1.0 Article Summary The article by the title “India cuts interest rates for third time this year” has been published online in the BBC News on 3rd May 2013. The report says that the Reserve Bank of India (RBI) has reduced interest rates in the country from 7.50 percent to 7.25 percent with the aim of introducing fresh waves of economic growth in the economy in the face of sluggish economic growth. It is also reported that the RBI cannot freely embark...
6 Pages(1500 words)Essay

Analysis of time series data

...-run trend and reverts back to the trend line following a disturbance. It is stationarized by de-trending. De-treding involves fitting a trend line then subtracting it from the time series. Another way would include the time index as an independent variable in a regression or ARIMA model. Difference-stationary Time Series: De-trending a difference-stationary series does not render it stationary as the mean, variance and autocorrelation remain not constant in time. It needs to be transformed into a series of period-to-period and/or season-to-season differences. Inflation adjustment or Deflation Deflation...
12 Pages(3000 words)Research Paper

Correlation and regression and time series analysis

...Correlation and regression and time series analysis. Data: Data on household consumer expenditure in the UK from 2000 to 2008. The data was collected on a quarterly basis and measured in million pound (). All of the data are measured in current prices but are not seasonally adjusted. The data was downloaded from http://www.statistics.gov.uk/statbase. Variables: The following variables were used during the analysis: Consumer Expenditure on Food and non-alcoholic beverages, measured in million Consumer Expenditure on Alcoholic beverages and tobacco, measured in million Consumer Expenditure on Clothing and Footwear, measured in million Consumer Expenditure on...
2 Pages(500 words)Lab Report

Economic Analysis

...Economic Analysis: Question one Determining the level of labour and capital that maximises profits: Capital and labour are used in the production process and they are referred to as factors of production, however the unit cost of capital and labour sometimes differs and therefore firms have to make decisions on what quantities of capital and labour are required in order to reduce the cost of production which in turn will lead to increasing the profit levels. The cost of labour and capital are the most important things to consider when one to determine the quantities of both, when the cost of capital is higher than the cost of labour then we substitute capital for labour and if the cost of labour is higher...
4 Pages(1000 words)Research Paper

Forcasting (time series)

...was aggregated at the level of the mental health directorate. It was not possible to disaggregate the data to the level of the individual health professional due to how the data had been coded. Time-series analysis was used to assess whether the intervention had had a significant impact upon adherence. During the conduct of the research, an extraneous event occurred which was modelled into the time series analysis to enable estimation of the impact. This was the introduction of the guideline as an indicator used by the Health Care Commission in April 2008; a national event, which both the control and intervention site were exposed to. At...
16 Pages(4000 words)Essay

Applying time series methodologies simulation

...Applying Time Series Simulation Calculation of time series is a good way of understanding what the long and short business future would be (Harvey, 1999). With a sizeable market share of 6%, Blue Inc already has a competitive niche. A simple occurrence is that increase in advertising budget would increase in proportional measure in market dominance. An increase in advertising budget has always increased the levels of sales over time. Forecast in revenue generated or sales would be: (2,164.18 + 2,454.41+2,264.85)/3 = 2,294.48 sales This means that if the company is invest more in advertising budget, an approximated 2,294 million USD would be generated by the company. Its worth investing because the results are tangible and positive... to...
1 Pages(250 words)Essay

Time series analysis of stock price

...volatility, financial news, investor and trader perceptions and dozens of supply and demand realities” (155). He however noted, through the “random walk theory” that such factors cannot be easily converged to give a clear picture of trend in stock prices (Thomsett, p. 155). Trend in stock prices have also been associated with factors such as politics and the overall economic trend of an economic territory. These factors being seasonal, imputes trend and seasonality on the prices of stock. Political stability that majorly depends on political seasons such as major elections as well as major economic recessions and growth would therefore define a variation in prices with...
4 Pages(1000 words)Research Proposal

Time Series Assignment

...Estimation In this section we present the values of the forecasts for the last 10% data values; 269.93 276.93 283.96 291.03 270.62 277.63 284.67 291.74 271.32 278.33 285.37 292.44 272.02 279.03 286.08 293.15 272.72 279.74 286.78 293.86 273.42 280.44 287.49 294.57 274.12 281.14 288.20 295.28 274.82 281.85 288.90 295.99 275.52 282.55 289.61 296.70 276.22 283.26 290.32 297.41 References Box, G. E. P., Jenkins, G. M., Reinsel, G. C. ,2008, ‘Time Series Analysis, Forecasting and Control (4th ed.)’, Hoboken, NJ: Wiley.  Box, G. E. P., Jenkins, G. M., Reinsel, G. C., 1994, ‘Time Series Analysis: Forecasting and Control (3rd ed.)’, Upper Saddle...
6 Pages(1500 words)Essay
sponsored ads
We use cookies to create the best experience for you. Keep on browsing if you are OK with that, or find out how to manage cookies.

Let us find you another Term Paper on topic The Analysis of Economic Time Series for FREE!

Contact Us