Search results for " MARKETS"
showing 10 items of 321 documents
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
2010
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of …
Il diritto privato regolatorio
2020
Market regulation is having a significative impact on private law. Such circumstance has generated an intense debate on the emerging “Regulatory Private Law”. As the regulation is considered on the perspective of the economic activities subject to indipendet authorities, the regulatory private law shall be defined as the rules as such generated by these authorities and then governing the specific market. After a brief summary on the historical process that led to the current asset of Regulatory Private Law, this essay propose a first attempt to develop an organic vision to the topic, enlighting, in the different markets (from credit and financial markets to services of general interest mark…
Pricing Reinsurance Contracts
2011
Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the celebrated Black and Scholes model. Incomplete market models allow for the relaxation of hypotheses that are unrealistic for insurance and reinsurance contracts. One such assumption is the tradeability of the underlying asset. To overcome this drawback, we propose in this chapter a stochastic programming model leading to a superhedging portfolio whose final value is at least equal to the insurance final liability. A simple model extension, furthermore, is shown to be sufficient to determine an optimal reinsurance protection for the insurer: we propose a conditional value at risk (VaR) model p…
Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions
2022
We study the dependence of renewable energy production-related critical metal futures and producer equity returns, compared to the non-renewable energy (oil and natural gas) and some other globally relevant commodity markets. We find different asymmetric and symmetric dependencies in these commodity markets. The dependence is asymmetric in the most important critical metal markets, i.e., of silver, copper, and platinum. Still, surprisingly, for example, in the oil market, the relationship is symmetric, and no relationship is found in the natural gas market. Furthermore, the oil and agricultural markets have homogenous dependence structures in most market conditions, so the information trans…
Strategic Analysis Tools Application at SMEs in Ecuador
2015
This article explores the nature and scope of Strategic Analysis Tools (SAT) application in SMEs located in emerging countries such as Ecuador (where there are no formal studies on the subject). It is intended to assess which of the instruments utilized by these firms may contribute to formulate strategic options and which of them create awareness of relevant risks or distress specifically about continuity concerning their operations. Through the application of a survey to an intentional sample-selection of SMEs in Quito-Ecuador we analyzed the consciousness over these instruments to facilitate the creation of strategic options, their contribution to assess their competitive position and th…
Simple Strategic Analysis Tools at SMEs in Ecuador
2015
This article explores the possible applications of Strategic Analysis Tools (SAT) in SMEs located in emerging countries such as Ecuador (where there are no formal studies on the subject). It is intended to analyze if whether or not it is feasible to effectively apply a set of proposed tools to guide mental map decisions of executives when decisions on strategy have to be made. Through an in-depth review of the state of the art in regards to SAT and interviews performed to main participants such as chambers and executives of different firms, it is shown the feasibility of their application. This analysis is complemented with specialists´ interviews to deepen our insights and obtaining valid …
Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric
2014
Modeling financial time series at different time scales is still an open challenge. The choice of a suitable indicator quantifying the distance between the model and the data is therefore of fundamental importance for selecting models. In this paper, we propose a multiscale model selection method based on the Jensen–Shannon distance in order to select the model that is able to better reproduce the distribution of price changes at different time scales. Specifically, we consider the problem of modeling the ultra high frequency dynamics of an asset with a large tick-to-price ratio. We study the price process at different time scales and compute the Jensen–Shannon distance between the original…
“Your ride has arrived” – Exploring the nexus between subjective well-being, socio-cultural beliefs, COVID-19, and the sharing economy
2021
This study aimed to identify and explain different facets of the sharing economy and to differentiate between micro- and macro-mobility services. We also aimed to examine the correlation between the sharing economy and subjective well-being, cultural beliefs, and COVID-19. An exploratory research technique with face-to-face semi-structured interviews was used to collect data from a sample of 22 rideshare app users in a developing country between January and May 2020 and in July 2020. The data were analyzed using the NVivo 12 application. The major findings suggest that, considering their scope and use, sharing economy technology and services can be divided into four major domains: (1) hospi…
A dynamic analysis of SP 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates.
2018
In this study, we assess the dynamic evolution of short-term correlation, long-term cointe-gration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the time-varying integration among the S&P 500, FTSE 100 and EURO STOXX 50 indices. The results obtained show that the dynamic correlation, cointegration and ECM-based long-run Gra…
THE SCOPE OF DUE DILIGENCE IN CROSS-BORDER ACQUISITIONS IN CENTRAL AND EASTERN EUROPE
2015
Cross-border acquisitions play an important role in the corporate strategic development and international expansion. The paper summarizes the results of the dissertation, which intends to establish vital link between research and practice, deeply exploring the risk assessment methods and the scope of due diligence audit in the pre-acquisition phase. The central hypothesis of the comprehensive model stated that thorough due diligence in the pre-acquisition phase is necessary to make successful cross-border acquisition. The empirical evidence has been drawn on data sample of acquisitions made by automotive firms in cross-border acquisitions in the Central and Eastern Europe. The main results …