درخت حوزه‌های تخصصی

The excess volatility puzzle refers to the observation of returns that cannot be explained only by fundamentals, and this research attempts to explain such volatilities using the concept of endogenous jumps and modelling them based on the generalized Langevin equation. Based on stylized facts, price behaviour in financial markets is not simply a continuous process, but rather jumps are observed in asset prices that may be exogenous or endogenous. It is claimed that the source of exogenous jumps is news, and the source of endogenous jumps is internal interactions between the agents. The goal is to extract these endogenous jumps as a function of the state variable and time. For this purpose, the generalized Langevin equation is introduced and it is shown that the parameters of this model can be extracted based on the Kramers-Moyal coefficients. The results of self-consistency tests to evaluate the accuracy of the Kramers-Moyal method in extracting the generalized Langevin equation show that this method has good accuracy. In a practical application of the aforementioned method, Ethereum cryptocurrency price data was used between October 2017 and February 2024 with a sampling rate of one minute. By simulating the extracted dynamics, the probability distribution of the first time passage of this cryptocurrency from a specific level was calculated, and an examination of the price behavior of this asset shows that the aforementioned distribution was extracted with good accuracy. The potential function, which is calculated from the first KM coefficient, will be a quadratic parabola for the studied process, and as a result, we have a stable equilibrium at the zero point. Also using the extracted dynamics we show that this model has good out-of-sample prediction ability.

Nowadays, social brand engagement is considered as a vital elements and an important issue in marketing and management fields, since it increases the awareness of brand and also its credibility among audiences. In such a way that it creates a credible and meaningful relationship with customers that at last they became the supporters of such brand. Therefore, this study was to review the issue of social brand engagement through user-generated contents using meta-synthesis method during 2010-2024, systematically. This study made use of documentary method to gather data and population consisted of all internal and external related studies in authentic journals. To evaluate the quality of researches, we made use of Critical Appraisal Skills Program (CASP) and to maintain the quality of meta-synthesis, we made use of Kappa index that the Kappa agreement coefficient of the themes was 0.879 indicating the level of good agreement and reliability of the results. Findings showed that 62 codes and 7 themes were identified including “the use of strategies to increase user participation in UGC, the use of user content in UGC in marketing campaigns, harnessing the power of customer testimonials, creating compelling challenges and contests, using and creating a community around the brand, analyzing the impact of UGC and paying attention to the intersection of legal considerations and ethical procedures in the field of UGC campaigns for the formation of social brand engagement” and 2 dimensions have been identified including “the development of the process of using UGC and the internalization of UGC in the formation and increase of social brand engagement”. Therefore, regular disclosing brand-related contents and creating effective communication channels between the firm and customers on social media can lead to social brand engagement.