Search results for "Financial markets"
showing 10 items of 57 documents
Identification of clusters of investors from their real trading activity in a financial market
2012
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
Wear modelling in mild steel orthogonal cutting when using uncoated carbide tools
2007
Abstract Wear prediction in machining has been recently studied by FEM although the use of numerical methods for such applications is still a very challenging research issue. In fact, wear phenomenon involves many aspects related to process mechanics which require a very accurate modelling. In other words, only a very punctual code set-up can help the researchers in order to obtain consistent results in FE analysis. The high relative velocity between chip and tool requires effective material models as well as friction modelling at the interface. Moreover the prediction of temperature distribution is another critical task; in the paper some different procedures are discussed. Subsequently a …
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…
A novel method to predict dark diversity using unconstrained ordination analysis
2019
[Questions] Species pools are the product of complex ecological and evolutionary mechanisms, operating over a range of spatial scales. Here, we focus on species absent from local sites but with the potential to establish within communities — known as dark diversity. Methods for estimating dark diversity are still being developed and need to be compared, as well as tested for the type, and amount, of reference data needed to calibrate these methods. [Location] South Bohemia (48°58′ N, 14°28′ E) and Železné Hory (49°52′ N, 15°34′ E), Czech Republic. [Method] We compared a widely accepted algorithm to estimate species pools (Beals smoothing index, based on species co-occurrence) against a nove…
Univariate and multivariate statistical aspects of equity volatility
2004
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
Tick size and price diffusion
2010
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties…
Economic policy uncertainty effects for forecasting future real economic activity
2018
Recently introduced measures for Economic Policy Uncertainty (EPU) included in the data from 1997 - 2016 have a role in forecasting out-of-sample values for the future real economic activity for both the euro area and the UK economies. The inclusion of EPU measures, either for the US, the UK or for overall European economies, improves the forecasting ability of models based on standard financial market information, especially for the period before the 2008 global crisis. However, during and after the crisis period, the slope of the yield curve and excess stock market returns improves the out-of-sample forecast performance the most compared to an AR-benchmark model. Hence, the EPU informatio…
Role of noise in a market model with stochastic volatility
2006
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…
Quantitative sensory testing in the German Research Network on Neuropathic Pain (DFNS): reference data for the trunk and application in patients with…
2013
Age- and gender-matched reference values are essential for the clinical use of quantitative sensory testing (QST). To extend the standard test sites for QST-according to the German Research Network on Neuropathic Pain-to the trunk, we collected QST profiles on the back in 162 healthy subjects. Sensory profiles for standard test sites were within normal interlaboratory differences. QST revealed lower sensitivity on the upper back than the hand, and higher sensitivity on the lower back than the foot, but no systematic differences between these trunk sites. Age effects were significant for most parameters. Females exhibited lower pressure pain thresholds (PPT) than males, which was the only si…
Basis-set extrapolation techniques for the accurate calculation of molecular equilibrium geometries using coupled-cluster theory
2006
To reduce remaining basis-set errors in the determination of molecular equilibrium geometries, a basis-set extrapolation (BSE) scheme is suggested for the forces used in geometry optimizations. The proposed BSE scheme is based on separating the Hartree-Fock and electron-correlation contributions and uses expressions obtained by straightforward differentiation of well established extrapolation formulas for energies when using basis sets from Dunning's hierarchy of correlation-consistent basis sets. Comparison with reference data obtained at the R12 coupled-cluster level [CCSD(T)-R12] demonstrates that BSE significantly accelerates the convergence to the basis-set limit, thus leading to impro…