Search results for "Trading"
showing 10 items of 119 documents
The informational role of thin options markets: Empirical evidence from the Spanish case
2016
This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is h…
Eiropas Savienības CO2 emisijas kvotu tirdzniecības sistēma un Latvijas tautsaimniecības ilgtspējīga attīstība
2013
ANOTĀCIJA Promocijas darba mērķis ir, balstoties uz datiem par Eiropas Savienības Emisijas kvotu tirdzniecības sistēmas (ES ETS) darbību Latvijā un ES ETS integrētību Latvijas tautsaimniecības politikā, mikro un makro līmenī izpētīt ES ETS līdzšinējo ietekmi uz Latvijas tautsaimniecības ilgtspējīgu attīstību. Pētījuma ietvaros autore izstrādājusi modeli lēmuma pieņemšanai par tiešo dalību atļauju tirdzniecībā, formulējusi stratēģijas tiešajai dalībai atļauju tirdzniecībā, izvērtējusi ES ETS integrētību Latvijas tautsaimniecības ilgtspējīgas attīstības politikā, novērtējusi ES ETS ietekmi uz Latvijas ES ETS dalībniekiem, izanalizējusi Latvijas ES ETS dalībnieku zināšanas un izpratni par ES E…
Revisiting the Profitability of Market Timing with Moving Averages
2016
In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of extraordinary good performance of the moving average trading strategy. In this paper we demonstrate that "too good to be true" reported performance of the moving average strategy is due to simulating the trading with look-ahead bias. We perform the simulations without look-ahead bias and report the true performance of the moving average strategy. We find that at best the performance of the moving average stra…
Electricity demand response schemes in China: Pilot study and future outlook
2021
Abstract Electricity demand response (DR) improves the overall energy management efficiency and allows for the integration of large-scale renewable energy into the power grid through interactive management and control of the supply and demand sides. However, in China and other emerging countries (e.g., Japan and Australia) with DR programs, the DR market mechanism is not well-established. This is particularly the situation in countries where the state power system is not freely open to participate in the DR market. Previous research has proven that considerable DR resources are largely existing in the demand side; however, the dearth of a market mechanism hinders the development of DR. Henc…
EUROPEAN UNION EMISSIONS TRADING SYSTEM’S IMPACT ON LATVIA’S COMPETITIVENESS
2012
The goal of this paper is to analyse the general impact of the European Union Emissions Trading System (EU ETS) on Latvia’s competitiveness. The hypothesis of this paper – the EU ETS in past did not had a significant impact on Latvia’s competitiveness. At the beginning of the paper the EU ETS mechanism is discussed in the context of M.E. Porter’s identified principal factors determining state’s competitiveness. Afterwards the EU ETS operation in Latvia is described and its impact on Latvia’s competitiveness is analysed. The analysis is based on statistical data about Latvia’s 79 companies and their operation in 2005-2010, inter alia, allocations and transactions of European Union Allowances…
Optimal Electrical Distribution Systems Reinforcement Planning Using Gas Micro Turbines by Dynamic Ant Colony Search Algorithm
2007
Distribution systems management is becoming an increasingly complicated issue due to the introduction of new energy trading strategies and new technologies. In this paper, an optimal reinforcement strategy to provide reliable and economic service to customers in a given time frame is investigated. In the new deregulated energy market and considering the incentives coming from the political and economical fields, it is reasonable to consider distributed generation (DG) as a viable option for systems reinforcement. In the paper, the DG technology is considered as a possible solution for distribution systems capacity problems, along several years. Therefore, compound solutions comprising the i…
Technical, Environmental and Economical Aspects of Hybrid Systems Including Renewables and Fuel Cells
2006
In this paper, some configurations including renewables and fuel cells are studied. Technical, environmental and economical aspects are treated in the frame of the EU regulations concerning the ‘emission trading’ issue and the way in which Italy has implemented the relevant EU directive. The study has been carried out considering some architectures including renewables such as photovoltaic and wind with a back up system to increase continuity of supply based on the application of fuel cells and of a hydrogen storage system. Performing several runs with different values of the cost of energy (COE) bought from the network and produced with traditional fuel, it has been observed that, for some…
Improving Pairs Trading Using Neural Network Techniques and Fundamental Ratios
2020
Pairs trading is a quantitative trading strategy consisting on identifying two stocks that historically move together and, using the assumption that their prices difference has mean- reverting properties, exploit the deviation from the mean by taking long – short position in the chosen pair to profit. Throughout the years, different approaches have been developed in order to exploit this strategy. However, there is little literature who looks whether the divergences in the prices are generated by poor company results, i.e. whether the deviation from the mean are product of bad (or good) fundamentals and are justified, or if they generate a new equilibrium point for the pair. In addition, si…
Testing Profitability of Technical Trading Rules
2017
Technical traders typically rely on back-testing which is defined as the process of testing a trading strategy using relevant historical data. Back-testing usually involves “data mining” which denotes the practice of finding a profitable trading strategy by extensive search through a vast number of alternative strategies. This chapter explains that the data-mining procedure tends to find a strategy which performance benefited most from luck. As a result, the performance of the best strategy in a back test is upward biased. This fact motivates that any back-test must be combined with a data-mining correction procedure that adjusts downward the estimated performance. Another straightforward m…
Trading with Asymmetric Volatility Spillovers
2007
: We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse-Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks coming from large firms. To exploit these asymmetric patterns in volatility, different trading rules are designed based on the inverse relationship existing between expected return and volatility. We find that most strategies generate excess after-transaction cost profits, especially after very bad news and very good news coming from large or small firm…