Acronym:

Procjenitelj intrinzičnih vrijednosti indeksa tržišta kapitala u razvoju 

From: 2016-06-01 To: 2017-05-31 (Completed)

BICRO 

PoC 

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doc. dr. sc. Zvonko Kostanjčar

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The financial industry finds precision of information on the states of entire markets one of the critical points in investment decisions and risk management. However, due to extremely large quantities of unstructured raw data, precision is hard to achieve. In practice, investor rely on market valuation measurements (such as CAPE by R. Shiller) developed by research centers (such as Stock Market Confidence Indexes from Yale or the Financial Crisis Observatory from ETH), which focus mostly on American markets. Although European capital markets include developed markets such as the London Stock Exchange, they also include numerous emerging markets such as Warsaw or Zagreb. Due to local investors and the fact that large global investors are lately turning to emerging markets, these markets demand for precise valuations of intrinsic market values and risk indicators. THE MAIN GOAL of the project is proof-of-concept for the intrinsic value estimator for indices of emerging European markets. This project focuses on the implementation of advanced algorithms for estimation of intrinsic values of indices, and their subsequent validation and testing on said capital markets. The new solution would enable: (1)investors to retrieve and monitor market risks on emerging European markets, (2)governments and public officials to act more effectively in stopping market bubbles and mitigating financial crises in these markets, (3)scientists who perform research on these markets to have a new data source. This project calls for an INNOVATIVE CONCEPT CHECK since one needs to: (1)check the applicability of the proposed mathematical model for intrinsic value estimation to European emerging markets (by building a prototype based on the results of preliminary research which produced a novel method for intrinsic value estimation of market indices), (2)check the possibility of commercial application (through validation with OTP INVEST), (3)check the possibility of intellectual property protection. EXPECTED RESULTS: (1)technical confirmation that the estimated intrinsic values for the Croatian capital market do indeed reflect long- term investor expectations by comparing the intrinsic values with the CROBEX index, which would validate the estimator quality, (2)commercial confirmation that the usage of the estimator would expedite capital market inefficiency identification, which would be measured via survey within OTP INVEST.