Search results for "stock"
showing 10 items of 878 documents
FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION
2014
Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is…
Erosion rates and sediment budgets in vineyards at 1-m resolution based on stock unearthing (Burgundy, France).
2008
Abstract A new and simple method is developed to efficiently quantify erosion and deposition rates based on stock unearthing measurements. This is applicable to spatial scales ranging from plot to hillslopes, and to time scales ranging from single hydrologic events to centennial scales. The method is applied to a plot area on vineyard hillslopes in Burgundy (Monthelie, France), with measurement of 4328 vine plants. A sediment budget established at the plot scale shows a mean soil lowering of 3.44 ± 1 cm over 20 years, involving a minimal erosion rate of 1.7 ± 0.5 mm yr − 1 . Locally, erosion rates can reach up to 8.2 ± 0.5 mm yr − 1 . This approach allows the sediment redistribution to be m…
Hydrothermal liquefaction of wet biomass in batch reactors: Critical assessment of the role of operating parameters as a function of the nature of th…
2022
A scientometric analysis of articles published from 1986 to 2022 on batch hydrothermal liquefaction of microalgae, macroalgae, lignocellulosic biomass, sewage sludge and organic wastes in water was performed. We found that biocrude yield can be correlated with the kinetic severity factor (KSF) and scattering of experimental data increases in the supercritical region probably for uncertainty in the medium density affecting the kinetics of reactions involved in the process. The level of correlation and the yield increased when fast heating rates of the reactor, higher than 25 ◦C/min, were adopted. Energy recovery of biocrude obtained in fast heating experiments changes linearly with biocrude …
Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market
2010
What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stoc…
El método mejorado del tocón (ISUM) permite evaluar procesos de erosión del suelo en plantas injertadas utilizando medidas topográficas in situ
2021
[EN] Policymakers, stakeholders and rural inhabitants must be aware of the relevance of soil erosion as an irreversible landdegradation process. This is key to achieve the land degradation neutrality challenge and the sustainability of humankindand natural ecosystems. Agricultural areas are being affected by soil erosion threatening soil quality and, subsequently,food security. Therefore, it is necessary to develop new techniques and methods visually friendly and easy to be accessedto survey and assess the soil erosion concerns. ISUM (Improve Stock Unearthing Method) is a well-contrasted procedureto estimate and map soil mobilisation and erosion rates. To achieve this goal, using the plant …
Measuring Uncertainty in the Portfolio Selection Problem
2018
In this paper, we propose a new index for ranking portfolios based on the credibility expected return and loss on their investment. We assume that the return on a given portfolio is modeled as a trapezoidal fuzzy variable, whose credibility distribution is built using the data set of its historical returns. The credibilistic loss on the investment for a given portfolio is measured by means of a suitable loss function. In order to take risk-adverse investor attitudes into account, we analyze the performance of some credibility measures related to loss and risk on the investment for a given portfolio and their relationship with similar possibility measures. A numerical example is presented sh…
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach.
2016
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the cor…
Econophysics: Scaling and its breakdown in finance
1997
We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.
Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market
2013
International audience; This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.
The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices
2019
Social rating agencies implement complex filters to identify the companies with the best sustainable and social performance and help investors select the companies for their sustainable portfolios. This study analysed whether companies that are defined as ethical, sustainable and socially responsible by those agencies actually deserve this label. More specifically, the inclusion in the prestigious Dow Jones Sustainability Index (DJSI) World of companies that have been involved in controversies according to the Thomson Reuters Eikon database was studied. The results show that the inclusion of irresponsible companies in the DJSI Index is a fact. This outcome is in line with previous studies t…