Browsing Goa Business School by Author "Sebastin, A."

Now showing items 1-9 of 9

Analysis of linkage dynamics between commodity and stock markets in India using entropy theory

Reddy, Y.V.; Sebastin, A. (Decision. 36(2); 2009; 99-131.)
Are commodity and stock markets are independent of each other: A Case of India

Reddy, Y.V.; Sebastin, A. (Journal of Alternative Investments. 11(3); 2009; 85-99.)

The temporal relationship between the commodities market and the stock market has a lot of implications for not only the participants of the markets but also for the policy makers, the producers of the commodities, and, ...
Entropic analysis in financial forensics

Reddy, Y.V.; Sebastin, A. (IUP Journal of Accounting Research and Audit Practices 11(3); 2012; 42-57.)

Digital analysis has become an accepted tool for computer forensic examination of suspicious financial transactions. A major component of digital analysis is Benford's Law which postulates that in accounting data not subject ...
Interaction between equity and derivatives markets in India: An entropy approach

Reddy, Y.V.; Sebastin, A. (The ICFAI Journal of Derivatives Markets. 5(1); 2008; 18-32.)

The temporal relationship between the equities market and the derivatives market segments of the stock market has been studied using various methods and by identifying lead-lag relationship between the value of a representative ...
Interaction between Forex and stock markets in India: An entropy approach

Reddy, Y.V.; Sebastin, A. (Vikalpa. 33(4); 2008; 27-45.)

Interactions between the foreign exchange market and the stock market of a country are considered to be an important internal force of the markets in a financially liberalized environment. If causal relationship from a ...
Measuring stock price manipulation using entropy analysis: A conceptual framework

Reddy, Y.V.; Sebastin, A. (The ICFAI Journal of Applied Finance. 12(5); 2006; 14-28.)

The stock markets of developed and developing countries have witnessed online trading, dematerialization of securities, rolling settlements and tight settlement cycles, over the last two decades. However, market regulators ...
Non-linear time series invariants to study price manipulation in stock market

Reddy, Y.V.; Sebastin, A. (Metamorphosis: A Journal of Management Research. 7(1); 2008; 7-23.)

Several studies have found the successive prices at which trades of shares are executed in a stock exchange to form time series with non-linear characteristics. Invariants of a non-linear time series of share prices contain ...
Parameters for estimation of entropy to study price manipulation in stock market

Reddy, Y.V.; Sebastin, A. (Decision. 34(1); 2007; 149-182.)

The information theoretic concept of entropy is a useful tool in studying price manipulation in stock market. Sample entropy values computed for the price data of a scrip, for various trading days in the period during which ...
Price manipulation in stock market: An entropic analysis

Reddy, Y.V.; Sebastin, A. (NICE Journal of Business. 2(1); 2007; 41-53.)

This paper seeks to apply information-theoretic concept of entropy to study suspected price manipulation of scrip in the context of the Indian stock market. With the sample entropy (SampEn) methodology, the authors analysed ...

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Browsing Goa Business School by Author "Sebastin, A."

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