Search results for "trading"
showing 10 items of 119 documents
Contagion in Bitcoin Networks
2019
12 pages, 6 figures. Paper accepted in 2nd Workshop on Blockchain and Smart Contract Technologies (BSCT 2019), workshop satellite of 22nd International Conference on Business Information Systems (BIS 2019); International audience; We construct the Google matrices of bitcoin transactions for all year quarters during the period of January 11, 2009 till April 10, 2013. During the last quarters the network size contains about 6 million users (nodes) with about 150 million transactions. From PageRank and CheiRank probabilities, analogous to trade import and export, we determine the dimensionless trade balance of each user and model the contagion propagation on the network assuming that a user go…
An Assessment of Carousel Value-Added Tax Fraud in The European Carbon Market
2017
AbstractThe literature on the European Union Emission Trading System (EU ETS) is by now very rich. Much is known about the efficiency, the effectiveness, and the environmental and distributional impacts of the EU ETS. Less, however, is known about the carousel value-added-tax (VAT) fraud phenomena in the European carbon market. This article evaluates the welfare effects of carousel VAT fraud in the EU ETS using a computable general equilibrium (CGE) analysis. According to our findings, if VAT fraud occurs in the EU ETS, the effects on welfare for the EU Member States are negative, with welfare loss significantly higher than the VAT fraud value. This article also discusses the reverse charge…
Emission Trading in a High Dimensional Context: To What Extent Carbon Markets are Integrated with the Broader System?
2023
The following work will provide further insights into the influence of European Emission Allowance (EUA) prices on carbon dioxide trends and relevant variables of the economic-financial climate-environmental system considering a large set of time series. The methodological approach will employ Hierarchical Vector Autoregression by W. B. Nicholson et al. (2020) deal with a high-dimensional context. Results of the two specifications highlighted how CO2 appears to be more influenced by commodity prices, climate variables, along with past industrial performances. Furthermore, a shock of carbon prices could potentially exert significant turbulence on the carbon dioxide series, fading in intensit…
Unwanted effects of European Union environmental policy to promote a post-carbon industry. The case of energy in the European ceramic tile sector
2016
Global warming combined with low carbon transition plans is threatening the future of high energy consumption industry sectors in the European Union (EU). The need to respond to environmental challenges is demonstrated by support for international level energy policies and legal requirements, such as the Kyoto Protocol which the EU supports, and increased EU-level environmental legislation and energy policies. The effect of these initiatives is gradually transforming industrial activities in the EU. However, since not all countries have adopted these policies, evaluation of their net effect needs to take account also of side-effects such as delocalization of industry activity and the legal …
Revisiting the Profitability of Market Timing with Moving Averages
2017
In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of extraordinarily good performance of the moving average trading strategy. In this paper, we demonstrate that this “too good to be true” reported performance of the moving average strategy is due to simulating trading with look-ahead bias. We perform simulations without look-ahead bias and report the true performance of the moving average strategy. We find that, at best, the performance of the moving average strategy is only marginally better than that of the corresponding buy-and-hold strategy. In statistical terms,…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
A Study of Seasonality on the SAFEX Wheat Market
2015
This paper examines seasonality in returns and volatilities in the South African Futures Exchange (SAFEX) wheat futures contract in order to seek market inefficiencies that can be exploited for financial gain. Non-parametric and parametric-based techniques are used to study sample regimes before and after the peak in wheat prices that occurred during the global economic crisis in 2008. Findings of the study indicate that wheat returns on Mondays and Kansas City Board of Trade (KCBT) holidays are significant and positive while Tuesday returns are negative and significant. These seasonal patterns occur largely in the second sample of the wheat dataset. Furthermore, it is observed that volatil…
CO2 Prices, Energy and Weather
2007
One of the main objectives of the European Union Emission Trading Scheme is the establishment of a market price level for allowances that show to European CO 2 emitting installations the environmental impact of their polluting activities. The aim of this paper is to focus on the daily price changes during 2005 in an attempt to examine the underlying rationality of pricing behaviour. Specifically, we study the effect of those weather and non-weather variables that academic and market agents consider as the major determinants of the of CO 2 price levels. The results show that the energy sources are the principal factors in the determination of CO 2 price levels, and that only extreme temperat…
Regulation as determinant of EUA prices
2014
In this paper we analyse the impact of supply and demand factors on EUA Phase II future prices, with a particular emphasis on the European Commission announcements regarding the organisation of Phase II and Phase III of the European Union Emission Trading Scheme. Using two different methodologies we find strong significance of EC announcements in particular regarding the National Allocation Plans and the cap for Phase III. Our results are particularly relevant to the light of the decisions that the EC must take to achieve the 20-20-20 objectives.
Why Investors Should not be Cautious about the Academic Approach to Testing for Stock Market Anomalies
2005
The ability of investors to implement seasonal strategies implied by academic papers has been widely criticized, most recently by Hudson et al. (Applied Financial Economics, 12, 681–86, 2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers that indicates how and to what profitability such a strategy can be implemented. In particular, the pre-holiday anomaly is examined, where returns tend to be higher on the day before a holiday. After checking that the pre-holiday return compensates market frictions, the existence and the changing nature of such anomaly is tested. Finally, the profitability of the pre-holiday trading strategy in an o…