TY - JOUR AU - Ormos, Mihály AU - Timotity, Dusán TI - Asymmetric volatility in asset prices: An explanation with mental framing JF - HELIYON J2 - HELIYON VL - 10 PY - 2024 IS - 3 SP - 1 EP - 18 PG - 18 SN - 2405-8440 DO - 10.1016/j.heliyon.2024.e24978 UR - https://m2.mtmt.hu/api/publication/34554368 ID - 34554368 N1 - Export Date: 2 February 2024 Correspondence Address: Ormos, M.; Department of Economics, Hradná ul. 21, Slovakia; email: ormosm@ujs.sk Funding details: Vedecká Grantová Agentúra MŠVVaŠ SR a SAV, VEGA, 1/0568/20 Funding text 1: This work was supported by the Scientific Grant Agency of the Slovak Republic under the grant 1/0568/20 - Equilibrium modelling of V4 capital markets. AB - We propose a theoretical framework for the heteroscedasticity, and in particular for the asymmetric volatility of asset returns. Our model is based on the assumption that some investors are subject to mental framing in a dynamic setting. The analysis of individual trading data confirms that, in line with our model, investors tilt their portfolio towards riskier (less risky) assets subsequent to losses (gains). Based on their behavior, we derive a volatility process that accounts for the asymmetry thoroughly investigated in previous empirical studies: the parameter estimation of our volatility model yields the predicted negative relationship between abnormal returns and ensuing volatility. © 2024 The Authors LA - English DB - MTMT ER - TY - JOUR AU - Izsák, Tilla AU - Marák, László AU - Ormos, Mihály TI - Evaluation of support vector machine based stock price prediction JF - APPLIED COMPUTER SCIENCE J2 - APPLIED COMPUTER SCIENCE VL - 19 PY - 2023 IS - 3 SP - 64 EP - 82 PG - 19 SN - 1895-3735 DO - 10.35784/acs-2023-25 UR - https://m2.mtmt.hu/api/publication/34222777 ID - 34222777 AB - In recent years with the advent of computational power, Machine Learning has become a popular approach in financial forecasting, particularly for stock price analysis. In this paper, the authors develop a non-recurrent active trading algorithm based on stock price prediction, using Support Vector Machines on high frequency data, and compare its risk adjusted performance to the returns of a statistical portfolio predicted by the Capital Asset Pricing Model. The authors selected the three highest volume securities from a pool of 100 initially selected stock dataset to investigate the algorithmic trading strategy. The abnormal return estimates are significant and positive, and the systematic risk is lower than unity in all cases, suggesting lower risk compared to the market. Moreover, the estimated beta values for all stocks were close to zero, indicating a market independent process. The correlation analysis revealed weak correlations among the processes, supporting the potential for risk reduction and volatility mitigation through portfolio diversification. The authors tested an equally weighted portfolio of the selected three assets and demonstrated a remarkable return of 1348% during the evaluation period from July 1st, 2020, to January 1st, 2023. The results suggest that the weak form of market efficiency can be questioned, as the algorithmic trading strategy, employing a Support Vector Machine binary classification model, has consistently generated statistically significant and substantial abnormal returns using historical market data. LA - English DB - MTMT ER - TY - JOUR AU - Kincses, Gábor AU - Ormos, Mihály AU - Árva, Gábor TI - Makrogazdasági adatok által determinált tenisz sikerek 38 OECD ország elit női játékosának vizsgálatában JF - INFORMÁCIÓS TÁRSADALOM: TÁRSADALOMTUDOMÁNYI FOLYÓIRAT J2 - INF TARS VL - 23 PY - 2023 IS - 3 SP - 54 EP - 70 PG - 17 SN - 1587-8694 DO - 10.22503/inftars.XXIII.2023.3.3 UR - https://m2.mtmt.hu/api/publication/34006381 ID - 34006381 LA - Hungarian DB - MTMT ER - TY - JOUR AU - Ormos, Mihály AU - Timotity, Dusán TI - Sense of fairness or hunger for revenge? It does make a difference JF - ECONOMICS AND SOCIOLOGY J2 - ECON SOCIOL VL - 16 PY - 2023 IS - 1 SP - 200 EP - 213 PG - 14 SN - 2071-789X DO - 10.14254/2071-789X.2023/16-1/13 UR - https://m2.mtmt.hu/api/publication/33919191 ID - 33919191 AB - We analyze the driving factors of anomalistic patterns found in experimental studies related to bargaining games. In particular, we investigate whether the well-documented deviation from self-interested behavior can be partly, or entirely, attributed to revenge rather than fairness. Although, in general, related literature does not distinguish between the two latter notions, we highlight their differences and show that revenge significantly, and independently from the sense of fairness, contributes to decision-making in ultimatum games. Moreover, we show that, when controlling for various attributes, the hunger for revenge becomes the sole driving factor for both positively and negatively reciprocal behavior, rendering the sense of fairness insignificant. Our further cross-sectional analysis yields that gender differences are also very significant; however, the measured effects of fairness and revenge remain unaffected by this latter finding. LA - English DB - MTMT ER - TY - JOUR AU - Bóta, Gábor AU - Ormos, Mihály AU - Antalík, Imrich TI - Oil price and stock returns in Europe JF - ENTREPRENEURSHIP AND SUSTAINABILITY ISSUES J2 - ENTREPR SUST ISS VL - 10 PY - 2023 IS - 3 SP - 329 EP - 339 PG - 11 SN - 2345-0282 DO - 10.9770/jesi.2023.10.3(22) UR - https://m2.mtmt.hu/api/publication/33919156 ID - 33919156 LA - English DB - MTMT ER - TY - BOOK ED - Antalík, Imrich ED - Ormos, Mihály TI - Current Issues in Asset Pricing PB - Univerzita J. Selyeho CY - Komárno PY - 2022 SP - 179 SN - 9788081224379 UR - https://m2.mtmt.hu/api/publication/33615453 ID - 33615453 LA - English DB - MTMT ER - TY - JOUR AU - Morvai, Ján AU - Ormos, Mihály AU - Antalík, Imrich AU - Mura, Ladislav AU - Páldi, Adam AU - Szabó, Barnabás TI - Financial planning in Slovakia: results of empirical research JF - ENTREPRENEURSHIP AND SUSTAINABILITY ISSUES J2 - ENTREPR SUST ISS VL - 10 PY - 2022 IS - 2 SP - 572 EP - 589 PG - 18 SN - 2345-0282 DO - 10.9770/jesi.2022.10.2(36) UR - https://m2.mtmt.hu/api/publication/33598479 ID - 33598479 LA - English DB - MTMT ER - TY - CHAP AU - Bóta, Gábor AU - Nagy, László AU - Ormos, Mihály ED - Agnieszka, Bem ED - Karolina, Daszynska-Zygadlo ED - Tatana, Hajdíková ED - Jáki, Erika ED - Bożena, Ryszawska TI - Capital Asset Prices in V4 Countries T2 - Sustainable Finance in the Green Economy PB - Springer Netherlands CY - Cham SN - 9783030816650 T3 - Springer Proceedings in Business and Economics, ISSN 2198-7246 PY - 2022 SP - 1 EP - 18 PG - 18 DO - 10.1007/978-3-030-81663-6_1 UR - https://m2.mtmt.hu/api/publication/32801756 ID - 32801756 N1 - Export Date: 2 May 2022 Correspondence Address: Bóta, G.; Department of Finance and Accounting, Hungary; email: bota@gti.elte.hu LA - English DB - MTMT ER - TY - CHAP AU - Antalík, Imrich AU - Ján, Morvai AU - Ormos, Mihály AU - Ádám, Páldi AU - Barnabás, Szabó ED - Langhamrová, Jitka TI - Financial Literacy in Slovakia and Hungary in Relation to Age T2 - Reproduction of Human Capital – Mutual Links and Connections (RELIK 2021) PB - University of Economics in Prague CY - Prague SN - 9788024524290 PY - 2021 SP - 12 EP - 21 PG - 10 UR - https://m2.mtmt.hu/api/publication/32619449 ID - 32619449 LA - English DB - MTMT ER - TY - JOUR AU - Kincses, Gábor AU - Ormos, Mihály AU - Bartha, Zsolt TI - Magyar női teniszezők elégedettségvizsgálata és a sportág életpályamodellként való megvalósítása az infokommunikáció fejlődésének tükrében JF - INFORMÁCIÓS TÁRSADALOM: TÁRSADALOMTUDOMÁNYI FOLYÓIRAT J2 - INF TARS VL - 21 PY - 2021 IS - 3 SP - 9 EP - 25 PG - 17 SN - 1587-8694 DO - 10.22503/inftars.XXI.2021.3.1 UR - https://m2.mtmt.hu/api/publication/32528129 ID - 32528129 N1 - Export Date: 29 April 2022 LA - Hungarian DB - MTMT ER -