Search results for "HMI"
showing 10 items of 931 documents
Symmetric logarithmic derivative of Fermionic Gaussian states
2018
In this article we derive a closed form expression for the symmetric logarithmic derivative of Fermionic Gaussian states. This provides a direct way of computing the quantum Fisher Information for Fermionic Gaussian states. Applications ranges from quantum Metrology with thermal states and non-equilibrium steady states with Fermionic many-body systems.
Effects of Behavioural Finance on Emerging Capital Markets
2014
Abstract A recent common view of finance experts is that it is becoming increasingly difficult to understand how the economy as a whole works. Although the efficient market theory might be considered an ideal model enabling the interpretation of market behavior, it has begun to lose ground, and the rationality hypothesis failed to explain the excessive volatility of the returns and trading volume recorded on both developed capital markets and emerging ones. Adding the behavioral finance perspective to the equation can help us to understand better how market agents will react. In this article, we investigate the factors that may explain the trading volume evolution on two emerging capital ma…
Market Impact and Trading Profile of Hidden Orders in Stock Markets
2009
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less m…
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
Assessing price clustering in European Carbon Markets
2012
Abstract The presence of price clustering in markets is taken as a sign of market inefficiency that can influence trading strategies. In this paper, we study the presence of a concentration in prices in carbon futures markets. Specifically, we analyze the European Carbon Futures Markets and test for evidence of preference for certain prices above others. Our results reveal the strong presence of price clustering in the carbon market at prices ending in digits 0 and 5. These findings support the attraction hypothesis, which endorses a significant clustering on gravitational prices, but also backs the negotiation hypothesis, which advocates greater clustering when trading costs are higher.
A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies
2015
Despite the enormous current interest in market timing and a series of publications in academic journals, there is still lack of comprehensive research on the evaluation of the profitability of trading rules using methods that are free from the data-snooping bias. In this paper we utilize the longest historical dataset that spans 155 years and extend previous studies on the performance of moving average trading rules in a number of important ways. Among other things, we investigate whether overweighting the recent prices improves the performance of timing rules; whether there is a single optimal lookback period in each trading rule; and how accurately the trading rules identify the bullish …
Spanish Stock Returns: Where is the Weather Effect?
2003
Psychological studies support the existence of an influence of weather on mood. Saunders (1993) and Hirshleifer and Shumway (2001) argue that the weather could affect the behaviour of market traders and, therefore, it should be reflected in the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded env…
Flecainide acetate acetic acid solvates.
2011
Flecainide acetate forms acetic acid solvates with 0.5 and 2 acetic acid molecules. Powder X-ray diffraction, differential thermal analysis/thermogravimetric, infrared, and potentiometric titration were used to determine the composition of solvates. Flecainide acetate hemisolvate with acetic acid decomposes to form a new crystalline form of flecainide acetate. This form is less stable than the already known polymorphic form at all temperatures, and it is formed due to kinetic reasons. Both flecainide acetate nonsolvated and flecainide acetate hemisolvate forms crystallize in monoclinic crystals, but flecainide triacetate forms triclinic crystals. Solvate formation was not observed when flec…
CFD prediction of shell-side flow and mass transfer in regular fiber arrays
2021
Numerical simulations were conducted for fully developed, steady-state flow with mass transfer in fiber bundles arranged in regular lattices. The porosity was 0.5 and the Schmidt number 500. Several combinations of axial flow, transverse flow and flow attack angles in the cross-section plane were considered. The axial and transverse Reynolds numbers Rez , ReT were made to vary from 10(^−4) to 10(^2). Concentration boundary conditions, and the definition of an average Sherwood number, were addressed. Results for the hydraulic permeability were compared with the literature. Both hexagonal and square lattices were found to be hydraulically almost isotropic up to transverse flow Reynolds number…
Ventricular Fibrillation and Tachycardia Detection Using Features Derived from Topological Data Analysis
2022
A rapid and accurate detection of ventricular arrhythmias is essential to take appropriate therapeutic actions when cardiac arrhythmias occur. Furthermore, the accurate discrimination between arrhythmias is also important, provided that the required shocking therapy would not be the same. In this work, the main novelty is the use of the mathematical method known as Topological Data Analysis (TDA) to generate new types of features which can contribute to the improvement of the detection and classification performance of cardiac arrhythmias such as Ventricular Fibrillation (VF) and Ventricular Tachycardia (VT). The electrocardiographic (ECG) signals used for this evaluation were obtained from…