Search results for "Market trend"
showing 6 items of 6 documents
An empirical comparison of cross-impact models for forecasting sales
1986
Abstract This paper compares a set of four cross-impact models: (1) additive, (2) likelihood multiplier, (3) R-space, and (4) a model constructed by the author. This is done by examining a forecasting problem encountered by an industrial firm. The forecasting problem was to study the market trend in order to decide whether to expand the production capacity of a ceramics plant. In spite of their different theoretical premises, the models yielded similar results. However, only the R-space model produced results that differed from the others. The paper also suggests a method that should avoid some internal contradictions of the cross-impact models.
Statistical analysis of financial returns for a multiagent order book model of asset trading
2007
We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.
The Start of a Journey to the Cloud in the Developing World: A Case Study of Egypt
2015
Cloud computing (CC) is becoming a global market trend that all businesses, sooner or later, will go for. Moving to the cloud is a long journey for developing countries that became aware of its importance to their economic development. Egypt started this journey with collective efforts from all stakeholders (i.e., Government institutes, national and international cloud providers, private businesses, and training institutes) to draw the roadmap for CC adoption in Egypt. CC adoption in Egypt is influenced by some enabling and inhibiting factors. These factors are explored by conducting an exploratory case study. The findings of this study are analyzed by utilizing concepts from the neo-instit…
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 …
Forecasts on the development of hydrogen refuelling infrastructures in Portugal
2021
In Portugal, the transition to new forms of mobility has begun in recent years, but there are still obstacles to overcome. Currently, hybrid vehicles (PHEVs) are the most widespread and accepted by the community and that is probably due to range anxiety, having in fact the possibility of double charging (both through the thermal engine and the electric battery). Furthermore, it must be considered that in addition to electric vehicles, another valid alternative to mobility in the near future is the hydrogen vehicles one. These appear to be even more sustainable from the point of view of air emissions, but on the other hand the costs for the production of hydrogen are still too high. Then, th…
Multi-agent-based Order Book Model of financial markets
2006
We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our …