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Phd thesis on stock market volatility

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Sample PHD Finance and Accounting Dissertation Proposal

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Sample PHD Finance and Accounting Dissertation Proposal | Research Prospect

The analysis and modelling of the volatility of stock markets is of critical importance for option pricing and risk management in different financial markets around the world today. The volatility of the UK, US and Japanese markets are chosen for investigation and an application within the Black and Scholes option pricing framework discussed. This proposal gives an outline of the literature, methodology and data to be used and an outline of the project structure. The international stock markets are constantly changing over time and the analysis and modelling of the volatility of these markets is one of the most important factors in option trading and risk management.
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Pricing derivatives with stochastic volatility

Chen, Runquan Volatility and correlation in financial markets: Econometric modeling and empirical pricing. This thesis is an empirical study of the volatility and correlation in financial markets, and consists of two parts: The first part is on econometric modeling of the volatility and correlation Chapter 1. The second part is on the pricing implication of the correlation and volatility as risk factors Chapter 2 and 3. The thesis begins with proposing a regime-switching multivariate GARCH model of volatilities and correlation.
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The purpose of this paper is to examine whether the futures volatility could affect the investor behavior and what trading strategy different investors could adopt when they meet different information conditions. It provides the equilibrium solution and uses cuprum tick data in SHFE to conduct the empirical analysis. Investor trading behavior is always an important issue in the behavioral finance and market supervision, but the related research is scarce. The conclusion shows that the investors' behavior in Chinese future market is different from the Chinese stock market. This study empirically analyzes and verifies the different types of trading strategies investors could; investors such as institutional ones adopt reversal trading patterns generally; while investors such as individual investors adopt momentum trading patterns in general.
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