Search results for "stock"
showing 10 items of 878 documents
Riemann-Type Definition of the Improper Integrals
2004
Riemann-type definitions of the Riemann improper integral and of the Lebesgue improper integral are obtained from McShane's definition of the Lebesgue integral by imposing a Kurzweil-Henstock's condition on McShane's partitions.
A Top-Down Method for Long-Term Investing
2021
This paper bases long-term investing on a tradeable stochastic discount factor (SDF), relates it to the growth optimal portfolio and argues for a top-down method, where modeling efforts are directed at capturing its long-run dynamics in a generalized setting. This differs from the common, cumbersome bottom-up method of modeling many risky securities in the marketplace. Various optimal portfolio strategies can be implemented efficiently using fractional expectations of the SDF. This paper illustrates empirically for the US stock market that the proposed method leads to higher wealth, higher returns on investment and higher long-term utility levels.
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
Exchange Rates and Stock Prices in the MENA countries: What Role for Oil?
2011
This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced. Wiley Online Library
Density and biomass of smelt (Osmerus eperlanus) in five Finnish lakes
2005
Abstract Hydro-acoustic stock assessment and exploratory sampling with small mesh-sized trawls and seines have sometimes suggested that the importance of smelt (Osmerus eperlanus) in pelagic fish communities might be greater than sampling from commercial fishery and gillnetting indicate. We studied the proportion of smelt in the total fish density (fish ha−1) and biomass (kg ha−1) of pelagic fish with echo sounding and trawling in five southern boreal lakes. Fish density varied between 460 and 2000 fish ha−1 in the study lakes. Smelt and vendace (Coregonus albula) accounted for more than 95% of the exploratory trawl-catches. The total fish biomass in the study areas varied between 3 and 13 …
Spatio-Temporal Assessment of the European Hake (Merluccius merluccius) Recruits in the Northern Iberian Peninsula
2021
14 pages, 9 figures, 3 tables.-- This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY)
How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics
2015
The degree of correlation among stock returns aects the possibility to diversify the risk of investment,
THE KEY ROLE OF LIQUIDITY FLUCTUATIONS IN DETERMINING LARGE PRICE CHANGES
2005
Recent empirical analyses have shown that liquidity fluctuations are important for understanding large price changes of financial assets. These liquidity fluctuations are quantified by gaps in the order book, corresponding to blocks of adjacent price levels containing no quotes. Here we study the statistical properties of the state of the limit order book for 16 stocks traded at the London Stock Exchange (LSE). We show that the time series of the first three gaps are characterized by fat tails in the probability distribution and are described by long memory processes.
Open and Closed Positions and Stock Index Futures Volatility
2011
In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.
Understanding University Library Users' Mistreatment of Books
2009
This paper analyses university library users' attitudes towards book vandalism in order to develop a basis for intervention. Using a customer oriented approach data was collected from users who attended an academic library exhibition on vandalized books at a University campus. Respondants were asked both for their reactions to the vandalism as well as to suggest measures to solve this problem. Punishment and surveillance were most frequently mentioned as preventative measures although users also recognized the utility of the exhibition in increasing awareness of book mutilation. Further implications of social marketing for libraries are also discussed.