Search results for "stock"
showing 10 items of 878 documents
On the interplay between multiscaling and stocks dependence
2019
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
Statistical Multivariate Techniques for the Stock Location Assignment Problem
1998
In previous papers we proposed to apply multivariate statistical methodologies, like Multidimensional Scaling (MDS) and Seriation to the stock location assignment problem of a warehouse, often solved by considering the Cube per Order Index (COI). In this paper we compare the results by MDS, Seriation, a COI based method and the Maximum Path criterion, considering the data of a whole year of a Sicilian supermarket chain warehouse. The comparison is based on the simulated times to satisfy a sample of real orders.
Kralheinz Stockhausen: Etude (1952) musica concreta
1996
L'articolo prende le mosse dall'interesse del giovane Stockhausen nei riguardi delle opere seriali di Webern, assunte quale punto di partenza verso la genesi di una "Nuova musica" interamente realizzata con strumenti elettronici
Evolution of worldwide stock markets, correlation structure and correlation based graphs
2011
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, corre…
Does investor attention influence water companies’ stock returns?
2020
Abstract The potential impacts of climate change and population growth are having serious effects on the energy and agricultural industries, which might compromise water availability. Water scarcity requires the global water industry to examine the rapidly changing market and, together with public initiatives, make innovative investments to guarantee better water management models. Therefore, from an investor's perspective, it is important to understand what might influence water companies’ stock returns. This paper analyzes how the energy and agriculture industries and the growing environmental awareness of investors influence water companies’ stock returns. Panel data on the monthly stock…
Brief Introduction to Probability Distributions
2014
There is a great deal of uncertainty in any project. That is, data is seldom absolutely reliable and exact, since there is never certainty about duration of tasks, price variations, effect on the environment, etc., to say nothing about those aspects which are external to the project and for which the project developer has no control, such as weather conditions, demand, stock fluctuations, inflation, supplier’s delays, etc. It is believed that many projects are not completed in time and finish with cost overrun, because in their preparation, data is taken as unquestionable, and then actual conditions show that it is not precisely the case. For this reason the uncertainty aspect has to be con…
How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study
2019
Abstract This paper replicates the Diebold and Yilmaz (2012) study on the connectedness of the commodity market and three other financial markets: the stock market, the bond market, and the FX market, based on the Generalized Forecast Error Variance Decomposition, GEFVD. We show that the net spillover indices (of directional connectedness), used to assess the net contribution of one market to overall risk in the system, are sensitive to the normalization scheme applied to the GEFVD. We show that, considering data generating processes characterized by different degrees of persistence and covariance, a scalar-based normalization of the Generalized Forecast Error Variance Decomposition is pref…
Asymmetric semi-volatility spillover effects in EMU stock markets
2018
Abstract The aim of this paper is to quantify the strength and the direction of semi-volatility spillovers between five EMU stock markets over the 2000–2016 period. We use upside and downside semi-volatilities as proxies for downside risk and upside opportunities. In this way, we aim to complement the literature, which has focused mainly on the contemporaneous correlation between positive and negative returns, with the evidence of asymmetry also in semi-volatility transmission. For this purpose, we apply the Diebold and Yilmaz (2012) methodology, based on a generalized forecast error variance decomposition, to downside and upside realized semi-volatility series. While the analysis of Diebol…
Per un'analisi dell'opera teorica di Karlheinz Stockhausen. Parte I: Gli scritti teorici del periodo giovanile.
1989
L'articolo traccia un quadro generale della produzione teorica di K. Stockhausen (sia pure limitatamente ai primi quattro volumi dei "Texte") e si sofferma in modo particolare sugli scritti dedicati all'analisi delle opere di Webern (di cui viene fornita la prima traduzione in lingua italiana).
Editor's Choice – European Society for Vascular Surgery (ESVS) 2021 Clinical Practice Guidelines on the Management of Venous Thrombosis
2021
European Society for Vascular Surgery (ESVS) 2021 Clinical Practice Guidelines on the Management of Venous Thrombosis