Search results for "speculation"
showing 10 items of 27 documents
From arctic lemmings to adaptive dynamics: Charles Elton's legacy in population ecology.
2001
We shall examine the impact of Charles S. Elton's 1924 article on periodic fluctuations in animal populations on the development of modern population ecology. We argue that his impact has been substantial and that during the past 75 years of research on multi-annual periodic fluctuations in numbers of voles, lemmings, hares, lynx and game animals he has contributed much to the contemporary understanding of the causes and consequences of population regulation. Elton was convinced that the cause of the regular fluctuations was climatic variation. To support this conclusion, he examined long-term population data then available. Despite his firm belief in a climatic cause of the self-repeating …
Coupled-cluster techniques for computational chemistry: The CFOUR program package
2020
An up-to-date overview of the CFOUR program system is given. After providing a brief outline of the evolution of the program since its inception in 1989, a comprehensive presentation is given of its well-known capabilities for high-level coupled-cluster theory and its application to molecular properties. Subsequent to this generally well-known background information, much of the remaining content focuses on lesser-known capabilities of CFOUR, most of which have become available to the public only recently or will become available in the near future. Each of these new features is illustrated by a representative example, with additional discussion targeted to educating users as to classes of …
New land valuation criteria after the Spanish 2011 Valuation of Land Regulation : the objectivation of building expectations in rural land
2013
The land valuation regime has undergone one of its most important modifications at the hands of the 2008 Land Act and its 2011 Regulation. According to the so-called objectivity principle - which defines all established methods for the new basic situations of land - and according to the stated prohibition of taking into consideration building expectations arising from granted planning permission, the fact is that the existence of circumstances that are not a natural consequence of landowner investments made on the property is easily deducible. This is inconsistent with the spirit of the Land Act in force contained in its Explanatory Memorandum.
Portfolio diversification in the sovereign credit swap markets
2018
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…
Speculation and Lottery-Like Demand in Cryptocurrency Markets
2020
This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.’s (2011, 2017) MAX measure and employ a weekly forecast horizon and last week’s daily log-returns for calculating the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk adjusted return differences between cryptocurrencies in the lowest and highest MAX deciles exceed 1.50% per week. These re…
Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach
2017
Abstract This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VI…
Do Carbon Traders Behave as a Herd?
2017
Abstract This paper shows the existence of herding behavior in the European Carbon Futures Market and studies its possible causes and consequences. This market is characterized by leading the carbon price discovery process and by being highly dominated by professional traders. Both features make it an appropriate environment for the existence of herding. A patterns analysis indicates that the herding level increases in speculative periods, on those days on which the price and size clustering effect is stronger, and with the arrival of carbon-related news. Regarding possible market drivers, we find that herding behavior is positively related with the number of trades, the intraday volatility…
Speculation and lottery-like demand in cryptocurrency markets
2021
Abstract This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and Whitelaw’s (2011) and Bali, Brown, Murray, and Tang’s (2017) MAX measure and employ a weekly forecast horizon and daily log-returns from the previous week to calculate the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk-adjusted return differences between cryptocurrencies in the lowest a…
On measuring speculative and hedging activities in futures markets from volume and open interest data
2010
This paper provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature as proxies for speculative activity clarifies the circumstances in which they fail, as well as the assumptions that have to be made, when they are used as intended. Second, we propose a new way of combining the volume and the open interest figures, which provides additional information regarding the type of trading activity that takes place in the market on a given date. Finally, we analyse empirically …
Unawareness and bankruptcy: A general equilibrium model
1998
International audience; We present a consistent pure-exchange general equilibrium model where agents may not be able to foresee all possible future contingencies. In this context, even with nominal assets and complete asset markets, an equilibrium may not exist without appropriate assumptions. Specific examples are provided. An existence result is proved under the main assumption that there are sufficiently many states that all the agents foresee. An intrinsic feature of the model is bankruptcy, which agents may involuntarily experience in the unforeseen states.