Predicting DAX trends from Dow Jones data by methods of the mathematical theory of democracy

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1632-1662

  Tangian, Andranik ^a  

^a Wirtschafts und Sozialwissenschaftliche Institut   (Germany)

Author keywords

Indices of popularity and universality; Mathematical theory of democracy; Stock exchange predictions; Stock indices

Indexed keywords

COST ACCOUNTING; INVENTORY CONTROL; MATHEMATICAL MODELS; THEOREM PROVING;

MATHEMATICAL THEORY; STOCK EXCHANGE PREDICTIONS; STOCK INDICES; UNIVERSALITY;

FINANCIAL DATA PROCESSING;

EID: 34848816233     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.08.011     Document Type: Article

References (42)

1. Abramowitz M., and Stegun I. Handbook of Mathematical Functions (1972), Dover, New York
2. Arrow K.J., and Raynaud H. Social Choice and Multicriterion Decision Making (1986), MIT Press, Cambridge, MA
3. Ashford R.W., Berry R.H., and Dyson R.G. Operational research and financial management. European Journal of Operational Research 36 (1988) 143-152
4. Bachelier, L., 1900. Théorie de la spéculation. Thèse Annales scientifiques de l'Ecole Normale Supérieure, 3e série, 17, 21-86 (Paris, Gauthier-Villars). Reprinted as a book, Paris, Jacques Gabay, 1995.
5. Bernstein P.L. Against the Gods: The Remarkable Story of Risk (1996), Wiley, New York
6. Black D. The Theory of Committees and Elections (1958), Cambridge University Press, Cambridge
7. Black F., and Scholes M.S. The pricing of options and corporate liabilities. Journal of Political Economy 81 3 (1973) 637-654
8. Brams S.J., Kilgour D.M., and Zwicker W.S. The paradox of multiple elections. Social Choice and Welfare 15 (1998) 211-236
9. Brealey R.A., and Myers S.C. Principles of Corporate Finance. 7th ed. (2003), McGraw-Hill, Boston
10. Castelli Ch. The Theory of Options in Stocks and Shares (1877), Mathieson, London
11. Chen P. A Random Walk or Color Chaos on the Stock Market? - Time-Frequency Analysis of S&P Indexes. Nonlinear Dynamics & Econometrics 1 2 (1996) 87-103
12. Doumpos M., Kosmidou K., Baourakis G., and Zopounidis C. Credit risk assessment using a multicriteria hierarchical discrimination approach: A comparative analysis. European Journal of Operational Research 138 (2002) 392-412
13. Eberlein E., Keller U., and Prause K. New insights into smile, mispricing and value at risk: The hyperbolic model. Journal of Business 71 (1998) 371-406
14. Hull J.C. Fundamentals of Futures and Option Markets. 4th ed. (2002), Prentice-Hall, Upper Saddle River, NJ
15. Hull J.C. Options, Futures, and Other Derivative Securities. 5th ed. (2003), Pearson Education, Upper Saddle River, NJ
16. Ikeda, N., Watanabe, S., Fukushima, M., Kunita, H. (Eds.), 1996. Itô's Stochastic Calculus and Probability Theory, Tokyo.
17. Jarrow R. Modelling Fixes Income Securities and Interest Rate Options. 2nd ed. (2002), Stanford University Press, Stanford, CA
18. Korn G.A., and Korn Th.M. Mathematical Handbook for Scientists and Engineers (1968), McGraw-Hill, New York
19. Loistl O., Schossmann B., and Vetter O. XETRA efficiency evaluation and NASDAQ modelling by KapSyn. European Journal of Operation Research - Feature Issue Financial Modelling 135 2 (2001) 270-295
20. Loistl O., Schossmann B., Vetter O., and Veverka A. A comparison of transaction costs on Xetra and on Nasdaq. Quantitative Finance 2 3 (2002) 199-216
21. Mandelbrot B. The variation of certain speculative prices. Journal of Business 36 (1963) 394-419
22. Maron, O., 1998. Learning from Ambiguity, Ph.D. Thesis. Cambridge MA, MIT. Available from: .
23. Merton R.C. Theory of rational option pricing. Bell Journal of Economics and Management Science 4 (1973) 141-183
24. Merton R.C. Applications of option-pricing theory: Twenty-five years later. American Economic Review 88 (1998) 323-349
25. Mulvey J.M., Rosenbaum D.P., and Shetty B. Strategic financial risk management and operations research. European Journal of Operational Research 97 (1997) 1-16
26. Osborne M.F.M. Brownian motion in the stock market. Operations Research 7 2 (1959) 145-173
27. Pardalos P.M., Siskos Y., and Zopounidis C. Advances in Multicriteria Analysis (1985), Kluwer, Dordrecht
28. Roy B. Multicriteria Methodology for Decision Aiding (1996), Kluwer Academic Publishers, Dordrecht
29. Samuelson P. A rational theory of warrant pricing. Industrial Management Review 6 (1965) 13-32
30. Schärlig, A., 1996. Prartiquer ELECTRE et PROMETHEE. Lausanne, Presses Polytechniques et Universitaires Romandes.
31. Tangian, A.S., 2003. Historical Background of the Mathematical Theory of Democracy. Hagen, FernUniversität (Discussion Paper No. 332).
32. Tangian, A.S., 2003. Combinatorial and Probabilistic Investigation of Arrow's dictator. FernUniversität Hagen (Discussion Paper No. 336).
33. Tangian, A.S., 2005. Decision making in politics and economics: 1. Mathematical model of classical democracy. Diskussionspapier 665, Universität Karlsruhe. Available from: .
34. Tangian, A.S., 2006. German parliamentary elections 2005: Results in the mirror of party manifestos. WSI Diskussionspapier 139E, Hans Böckler Stiftung, Düsseldorf. Available from: .
35. Tangian, A.S., in press. Selecting predictors for traffic control by methods of the mathematical theory of democracy. European Journal of Operational Research, doi:10.1016/j.ejor.2006.06.036.
36. Tay R.E., Shen L., and Cao L. Ordinary Shares, Exotic Methods - Financial Forecasting Using Data Mining Techniques (2003), World Scientific, Singapore
37. Trippi R. Chaos and Nonlinear Dynamics in the Financial Markets: Theory, Evidence, and Applications (1995), McGraw-Hill, Irwin
38. Vincke Ph. Multicriteria Decision Aid (1992), Wiley, New York
39. Wilmott P. Paul Wilmott Introduces Quantitative Finance (2001), Wiley, Chichester
40. Wirtschaftswoche, 2002. "DAX-Werte" and "Dow Jones" (tables in every issue), No. 1/2-27, pp. 130-140.
41. Zopounidis C. Multicriteria decision aid in financial management. European Journal of Operational Research 119 (1999) 404-415
42. Zopounidis C., and Doumpos M. Multi-group discrimination using multi-criteria analysis: Illustrations from the field of finance. European Journal of Operational Research 139 (2002) 371-389