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Victor Avramov
Time Series Analysis of Prices and Quantities at the Bulgarian Electricity Exchange in Conditions of Low Liquidity
Summary:
This article analyzes the time series of prices and quantities on the Bulgarian electricity exchange. The focus is on the period between January 2016 and June with the assumption that in this initial period for its operation, the stock exchange trade is not sufficiently liquid. Statistical tests and seasonal decomposition of quantities and prices are made. This allows the determination of their statistical properties. The analysis shows that both time series are characterized by mean reversion and have a weekly seasonality.
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Plamen Petkov
Econometric Estimation of Bulgarian Investment Function
Summary:
An investment function in economic terms is a concept or strategy that explains the relationships between shifts in the national income and changes in the investment patterns in the national economy. In this publication the methodology of vector error correction model (VECM) is applied to investigate long-run and short-run relationships between investments and some of their key determinants - real gross domestic product, inflation, discount interest rate and a composite index of financial development. Econometric analysis is based on annual data, which covered the period from 1991 to 2011. It is estimated there are three investment functions – of the total investment, private investment and foreign direct investment. Åach function is analyzed with and without structural shocks occurring in the study period.
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Stefan Simeonov, Teodor Todorov, Daniel Nikolaev
Development of Frequency Analysis of the Volatility in a Model to Forecast the Financial Markets Trend and Comparative Empirical Assessment with the Technical Analysis
Summary:
The present study aims to develop the concept of predictive applicability of the Frequency Analysis of the Volatility and Trend (FAVT) as well as practical testing of the modified model for forecasting stock exchange indexes with different characteristics. For greater objectivity in estimating the forecast outcomes, FAVT is placed in parallel with traditional statistical models and the most popular method in stock exchange traders - technical analysis. In the first part of the study we develop the methodology of the concept of predictive applicability of FAVT in its modified version with movable calculation (FAVT-MC) of the frequency coefficients. The methodology of the study includes investment analysis measures, traditional statistical forecasting models, quantitative indicators of technical analysis and a modified version of the FAVT-MC. The conclusions of the statistical analysis show low applicability of linear forecasting in determining changes in the trend, while the alternative approach – non-linear forecasting yields significantly better results but under conditions of high investment activity and large variation. The choice of technical analysis tools is deliberately placed on quantitative measures known as technical indicators and does not include Eliot's Wave Theory. The results found are of varying reliability for the over ten technical indicators applied.
Exploration of the forecasting significance of the FAVT with movable calculation for the main (long-term) trends on stock exchange indexes achieved results with a reliable signal value for the end of the large growth before the general stock market collapse at the end of 2007. Clearly unambiguous results for all the periods surveyed in the performance of the different stock indices regarding the change of their major trends after the 2008 crisis were not established. A more significant importance of the modified frequency analysis, allowing the reading of forecast signals, is established for the short-term trends of the stock exchange indices.
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Blagovesta Nikolova
Trends in Contemporary Economic Forecasting
Summary:
This text attempts to outline some changes in the realm of economic forecasting within the context of a broader process of transformation in contemporary forecasting during the last few decades. The paper focuses on the following issues: the rise of technological forecasting; the advantages of long-term planning; the emergence of ‘alternative futures’ and global modeling; the normative considerations in economic forecasting; and some specific problems which need to be taken into consideration when making economic forecasts.
