Search results for "computer.software_genre"
showing 10 items of 3858 documents
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…
Foetal ECG recovery using dynamic neural networks
2002
Non-invasive electrocardiography has proven to be a very interesting method for obtaining information about the foetus state and thus to assure its well-being during pregnancy. One of the main applications in this field is foetal electrocardiogram (ECG) recovery by means of automatic methods. Evident problems found in the literature are the limited number of available registers, the lack of performance indicators, and the limited use of non-linear adaptive methods. In order to circumvent these problems, we first introduce the generation of synthetic registers and discuss the influence of different kinds of noise to the modelling. Second, a method which is based on numerical (correlation coe…
A Novel Multi-step Finite-State Automaton for Arbitrarily Deterministic Tsetlin Machine Learning
2020
Due to the high energy consumption and scalability challenges of deep learning, there is a critical need to shift research focus towards dealing with energy consumption constraints. Tsetlin Machines (TMs) are a recent approach to machine learning that has demonstrated significantly reduced energy usage compared to neural networks alike, while performing competitively accuracy-wise on several benchmarks. However, TMs rely heavily on energy-costly random number generation to stochastically guide a team of Tsetlin Automata (TA) to a Nash Equilibrium of the TM game. In this paper, we propose a novel finite-state learning automaton that can replace the TA in TM learning, for increased determinis…
FPGA-based embedded Logic Controllers
2014
In general case, reconfigurable logic controllers (RLC) are included into reactive digital embedded systems, carrying out control for several processes proceeding concurrently. The paper presents a practical application of a formal, rule-based specification language in Gentzen sequent logic, which is used as an intermediate textual description of a control interpreted Petri net. On the other hand exactly the same description serves also as logic design expressions, related with different versions of functionally equivalent concurrent state machine models, considered on Register Transfer Level. The symbolic rule-based specification of Petri net-based embedded Logic Controllers (LCs) can be s…
A two-armed bandit collective for hierarchical examplar based mining of frequent itemsets with applications to intrusion detection
2014
Published version of a chapter in the book: Transactions on Computational Collective Intelligence XIV. Also available from the publisher at: http://dx.doi.org/10.1007/978-3-662-44509-9_1 In this paper we address the above problem by posing frequent item-set mining as a collection of interrelated two-armed bandit problems. We seek to find itemsets that frequently appear as subsets in a stream of itemsets, with the frequency being constrained to support granularity requirements. Starting from a randomly or manually selected examplar itemset, a collective of Tsetlin automata based two-armed bandit players - one automaton for each item in the examplar - learns which items should be included in …