Analysis of passivity problems in the baltic equity market
The Baltic States equity market is a challenge for investors and financial analysts. Unfortunately strong assivity is observed in ``young'' markets, therefore any (Gaussian, α-stable etc) distribution fitting tests (Anderson–Darling, Kolmogorov–Smirnov, etc.) are poorly applicable. Impro...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2023-09-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/30729 |
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| _version_ | 1823857912815026176 |
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| author | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas |
| author_facet | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas |
| author_sort | Igoris Belovas |
| collection | DOAJ |
| description |
The Baltic States equity market is a challenge for investors and financial analysts. Unfortunately strong assivity is observed in ``young'' markets, therefore any (Gaussian, α-stable etc) distribution fitting tests (Anderson–Darling, Kolmogorov–Smirnov, etc.) are poorly applicable. Improvement based on mixed distributions is proposed and its adequacy in the Baltic States market is tested. In this paper we use Koutrouvelis goodness-of-fit test and modified χ2 test.
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| format | Article |
| id | doaj-art-79ddcffb731c42508bdc37ec4e4df129 |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2023-09-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-79ddcffb731c42508bdc37ec4e4df1292025-02-11T18:12:36ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2023-09-0146spec.10.15388/LMR.2006.30729Analysis of passivity problems in the baltic equity marketIgoris Belovas0Audrius Kabašinskas1Leonidas Sakalauskas2Vilnius Gediminas Technical UniversityInstitute of Mathematics and InformaticsInstitute of Mathematics and Informatics The Baltic States equity market is a challenge for investors and financial analysts. Unfortunately strong assivity is observed in ``young'' markets, therefore any (Gaussian, α-stable etc) distribution fitting tests (Anderson–Darling, Kolmogorov–Smirnov, etc.) are poorly applicable. Improvement based on mixed distributions is proposed and its adequacy in the Baltic States market is tested. In this paper we use Koutrouvelis goodness-of-fit test and modified χ2 test. https://www.zurnalai.vu.lt/LMR/article/view/30729zero returns of stockstable lawsmixed distributiongoodness-of-fitcharacterictic function methodmarket passivity |
| spellingShingle | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas Analysis of passivity problems in the baltic equity market Lietuvos Matematikos Rinkinys zero returns of stock stable laws mixed distribution goodness-of-fit characterictic function method market passivity |
| title | Analysis of passivity problems in the baltic equity market |
| title_full | Analysis of passivity problems in the baltic equity market |
| title_fullStr | Analysis of passivity problems in the baltic equity market |
| title_full_unstemmed | Analysis of passivity problems in the baltic equity market |
| title_short | Analysis of passivity problems in the baltic equity market |
| title_sort | analysis of passivity problems in the baltic equity market |
| topic | zero returns of stock stable laws mixed distribution goodness-of-fit characterictic function method market passivity |
| url | https://www.zurnalai.vu.lt/LMR/article/view/30729 |
| work_keys_str_mv | AT igorisbelovas analysisofpassivityproblemsinthebalticequitymarket AT audriuskabasinskas analysisofpassivityproblemsinthebalticequitymarket AT leonidassakalauskas analysisofpassivityproblemsinthebalticequitymarket |