Search results for "Econometric"

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 …

"Historical pigments characterisation by quantitative X-ray fluorescence"

2014

Abstract Most of the historical paints are mainly constituted by inorganic pigments, either pure or mixed, spread on the surfaces using different binding agents. The knowledge of the exact amount of different constituents of the paint, as well as of the mixing and pictorial techniques, is crucial for a careful program of conservation of polychrome works. Moreover, since the availability of these pigments has been changing through the centuries, their identification and chemical characterisation is useful to acquire or deepen information about the artist and his/her work. This information can also be useful for authentication purposes through relative dating because the identification of one…

Mathematical models on the way from superstring to photon

2002

Including Covariates in the ETAS Model Triggered Seismicity

2020

The paper proposes a stochastic process that improves the assessment of seismic events in space and time, considering a contagion model (branching process) within a regression-like framework to take covariates into account. The proposed approach develops the Forward Likelihood for prediction (FLP) method for estimating the ETAS model, including covariates in the model specification of the epidemic component. A simulation study is carried out for analysing the misspecification model effect under several scenarios. Also an application to the Italian catalogue is reported, together with the reference to the developed R package.

Adequate number of consumers in a liking test. Insights from resampling in seven studies

2014

The recommended number of consumers to be enrolled in a hedonic test comparing several products usually ranges from 50 to 100, at least if no liking segmentation is sought. This paper seeks to examine whether such a panel size range is adequate, by means of 7 trials with different levels of product space complexity. Five types of products were tested: Two varied in fattiness and sweetness and were tested under the same conditions in two separate laboratories (4 trials); the remaining three, varying in taste and texture, were each tested in a different laboratory (3 trials). Each of the 7 trials was run by a different laboratory. Each of the seven laboratories enrolled in its trial 150 consu…

Understanding Prediction Limits Through Unbiased Branches

2006

The majority of currently available branch predictors base their prediction accuracy on the previous k branch outcomes. Such predictors sustain high prediction accuracy but they do not consider the impact of unbiased branches which are difficult-to-predict. In this paper, we quantify and evaluate the impact of unbiased branches and show that any gain in prediction accuracy is proportional to the frequency of unbiased branches. By using the SPECcpu2000 integer benchmarks we show that there are a significant proportion of unbiased branches which severely impact on prediction accuracy (averaging between 6% and 24% depending on the prediction context used).

Cost-effectiveness of zofenopril in patients with left ventricular systolic dysfunction after acute myocardial infarction: a post hoc analysis of SMI…

2013

Claudio Borghi,1 Ettore Ambrosioni,1 Stefano Omboni,2 Arrigo FG Cicero,1 Stefano Bacchelli,1 Daniela Degli Esposti,1 Salvatore Novo,3 Dragos Vinereanu,4 Giuseppe Ambrosio,5 Giorgio Reggiardo,6 Dario Zava7 1Unit of Internal Medicine, Policlinico S Orsola, University of Bologna, Bologna, Italy; 2Italian Institute of Telemedicine, Varese, Italy; 3Division of Cardiology, University of Palermo, Palermo, Italy; 4University and Emergency Hospital, Bucharest, Romania; 5Division of Cardiology, University of Perugia, Perugia, Italy; 6Mediservice, Milano, Italy; 7Istituto Lusofarmaco d'Italia SpA, Peschiera Borromeo, Italy Background: In SMILE-4 (the Survival of Myocardial Infarction Long-term…

CORRELATIONS AMONG FORWARD RETURNS IN THE NORDIC ELECTRICITY MARKET

2009

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return correlations. Specifically, the relation between correlations and temporal separation does not seem to be invariant across segments of the electricity forward market or trading periods.

A Spatial Econometric Analysis of Convergence Across European Regions, 1980–1995

2003

The convergence of European regions has been largely discussed in the macroeconomic and the regional science literature during the past decade. Two observations are often emphasized. First, the convergence rate among European regions appears to be very slow in the extensive samples considered (Barro and Sala-iMartin 1991, 1995; Armstrong 1995a; Sala-i-Martin 1996a, 1996b). Second, as shown in Ertur and Le Gallo (see Chap. 2), the geographical distribution of European per capita GDP is highly clustered.

Aggregation of preferences for skewed asset returns

2014

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …