Search results for "FINANCIAL MARKET"
showing 10 items of 198 documents
Pricing of electricity futures based on locational price differences : The case of Finland
2018
We find that the pricing of Finnish electricity market futures has been inefficient during the latest 10 years, when the trading volumes of Electricity Price Area Differentials (EPADs) have more than doubled. Even though the calculated futures premium on EPADs is related to some risk measures and the variables capturing the demand and supply conditions in the spot electricity markets, there has been a significant positive excess futures premium in the Finnish market, and financial market participants should have been able to utilize this also in economic terms. This finding is new and relevant for the participants of the Nordic electricity markets also in the future, because both the specul…
A COMPARATIVE STUDY OF PHENOMENOLOGICAL MODELS OF MR BRAKE BASED ON NEURAL NETWORKS APPROACH
2013
In this paper a full-scale commercially available magnetorheological (MR) brake installed in a semi-active suspension (SAS) system is modeled and simulated. Two well-known phenomenological hysteresis models are explored: Bouc–Wen and Dahl ones. In particular, influence of their parameters on the response is evaluated and assessed. The next step is to introduce the artificial neural networks and discuss their application in the field of systems identification. Subsequently, two feedforward neural networks are created and trained to estimate parameters characterizing each of the MR damper models described. The semi-active suspension (SAS) system equipped with a MR brake is described and the …
Detection and elimination of UHI effects in long temperature records from villages – A case study from Tivissa, Spain
2019
Abstract Since villages are usually regarded as part of the rural area, associated temperature records are assumed to be free of urban influences and might be used as unbiased reference data for city records. However, based on two years of data from a high temporal and spatial resolution sensor network, this study proves the development of a substantial UHI in the Spanish village Tivissa with intensities of >1.5 K in summer Tmin and Tmax compared to a rural reference. Hosting a meteorological station that has been relocated several times within Tivissa during its >100-year history, we here detail a method to remove UHI biases at past measurement sites to create a more reliable rural tempera…
Emergence of statistically validated financial intraday lead-lag relationships
2014
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved market efficiency, we investigate whether statistically significant lagged correlation relationships exist in financial markets. We introduce a numerical method to statistically validate links in correlation-based networks, and employ our method to study lagged correlation networks of equity returns in financial markets. Crucially, our statistical validation of lead-lag relationships accounts for mult…
Volatility spillovers in the European bank CDS market
2015
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Eu…
Application of point-to-point matching algorithms for background correction in on-line liquid chromatography–Fourier transform infrared spectrometry …
2009
A new background correction method for the on-line coupling of gradient liquid chromatography and Fourier transform infrared spectrometry has been developed. It is based on the use of a point-to-point matching algorithm that compares the absorption spectra of the sample data set with those of a previously recorded reference data set in order to select an appropriate reference spectrum. The spectral range used for the point-to-point comparison is selected with minimal user-interaction, thus facilitating considerably the application of the whole method. The background correction method has been successfully tested on a chromatographic separation of four nitrophenols running acetonitrile (0.08…
Trend Switching Processes in Financial Markets
2010
For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes at a specific point from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating increasing trends (“bubble formation”) and decreasing trends (“bubble collapse”), on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for very short time scales. Our analysis is based on a German DAX Future data base containing 13,991,275 transactions recorded with a time resolution of 10− 2 s. For a parallel analysis, we use a data base of all S&P500 stocks …
Market reaction to a bid-ask spread change: a power-law relaxation dynamics.
2009
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of price…
The inconvenience yield of carbon futures
2021
Abstract Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.
Europeanisation as a driver of dependent financialisation in East-Central Europe: insights from the Baltic states
2021
The aim of this paper is to contribute to advancing the academic debate on dependent financialisation through a focus on East-Central Europe. In doing so, the paper identifies the role of Europeanisation as a driver of dependent financialisation using the Baltic States of Estonia, Latvia and Lithuania as case studies. The paper makes two main contributions to the literature on dependent financialisation. First, it argues that, through the establishment of 'financial chains', dependent financialisation creates asymmetric co-dependencies and bilateral risks between the 'dependent' economies in the (semi-)periphery and the financial actors in core countries. While the (semi-)peripheral economi…