Resumen de Métodos de extracción de información de los mercados financieros
The extraction of accurate information from financial data has important implications for the market participants and analysts, and it is also essential for monetary authorities given the implications that the deeper knowledge of the functioning of financial markets might have for the financial stability. This doctoral dissertation aims to contribute to the literature in financial research in four different topics related to market behavior and information transmission among markets. Concretely, the following: " The first chapter aims to improve the assessment of market expectations by providing a new methodology to detect episodes of abnormal market behaviour, based on the literature on implied density the bootstrap resampling technique. This methodology enhances the evaluation of market expectations by introducing and implementing a new technique that appraises market participants' expectations about a decline in prices that is not supported by the information available in the market. Namely, it allows identifying three different types of market behavior: normal, fuzzy and abnormal trading dates on an empirical application that tests the behavior of Spanish Ibex-35 index over the period 1997 to 2005. Moreover, this chapter shows that the abnormal market behavior indicator is a reliable indicator of significant market movements.
" The second chapter proposes three indicators to improve the information content of the data used for market analysis. First, the strength of the market movement helps identifying the markets' degree of support for a certain trend. Then, the distribution of the market strength across returns is a helpful instrument to identify the markets' opinion on the prices' evolution thus, it quickly identifies the opinions of investors. Finally, this chapter proposes a new indicator of markets' evolution, the movement strength weighted return, which offers alternative information to that contained on the return based on closing prices. The empiri
