Search results for "turns"
showing 10 items of 66 documents
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
2014
We study the high frequency scaling of the distributions of returns for stocks traded at NASDAQ market as a function of the tick-to-price ratio. The tick-to-price ratio is a measure of an effective tick size. We find dramatic differences between distributions for assets with large and small tick-to-price ratio. The presence of returns clustering is evident for large tick size assets. The statistical differences between large and small tick size assets appear to reduce at higher time scales of observation. A possible way to explain returns dynamics for large tick size assets is the coupling of returns with bid-ask spread dynamics. A simple Markov- switching model is able to reproduce the pro…
“Piero Sraffa: economic reality, the economist and economic theory. An interpretation”.
2007
We carry out a textual analysis of Sraffa's main published contributions to pure economics in order to elaborate a rational reconstruction of an aspect of Sraffa's implicit methodology which has not yet been duly investigated. We refer to the threefold relationship between ‘economic reality’, ‘the economist/observer’ and ‘economic theory’. We elucidate the constraints which, for Sraffa, should bind the economists' arbitrariness and we trace the elements of continuity and evolution from the 1925–6 critique of Marshallian economics to Production of Commodities.
Method and analysis in Piero Sraffa's 1925 critique of Marshallian economics
2000
This paper provides an analysis of the logical structure and analytical content of Piero Sraffa's 1925 Italian paper, ‘Sulle relazioni fra costo e quantita prodotta’. It shows that Sraffa's criticism of the supply side of Marshall's theory of value in a competitive partial equilibrium model involves analytical and methodological issues. Endorsing an agressive methodology Sraffa logically reconstructs Marshall's model on variable returns to determine its empirical domain. He demonstrates that the latter encompasses only the empirically irrelevant cases of specific factor industries and specific external economies industries and that it cannot be generalized to non-specific factor industries …
Zvaigžņotā Debess: 2004, Rudens (185)
2004
Contents: L.Kondraševa and I.Zimina. New Riga Planetarium ; I.Rabinovičs. Remembering Fricis Blumbahs ; N.Cimahoviča. 50 cm Reflector Constructed in Riga ; J.Tambergs. Problems of Dialogue between Quantum Mechanics and Theology. A.Alksnis, Z.Alksne. The Sloan Great Wall ; A.Balklavs. Radio Galaxy – Emitter of Very High Energy Gamma-Rays ; A.Balklavs. Cosmic Objects in Photos – 2 ; A.Balklavs. New Assessments of Fine-Structure Constant Variability ; N.Cimahoviča. Dark Electric Matter Objects Around Us ; A.Balklavs. New Data on the Solar Granulation ; J.Jaunbergs. The Sinking Cliffs on Io ; D.Krieviņš. Space Launchers of Early XXI Century ; M.Sudārs. SpaceShipOne Closest to X-Prize ; J.Harja.…
Monotone Concave Operators: An application to the existence and uniqueness of solutions to the Bellman equation
2008
We propose a new approach to the issue of existence and uniqueness of solutions to the Bellman equation, exploiting an emerging class of methods, called monotone map methods, pioneered in the work of Krasnosel’skii (1964) and Krasnosel’skii-Zabreiko (1984). The approach is technically simple and intuitive. It is derived from geometric ideas related to the study of fixed points for monotone concave operators defined on partially order spaces.
Estimating regional differences in returns to education when schooling and location are determined endogenously
2010
While the growing supply of university skills is known to have agglomerated towards the large centers in Finland, there is no research knowledge available on the development of regional demands. This paper attempts to fill this gap by analyzing regional variation in the private-sector return to university education in Finland for the period 1970 - 2004. In the analysis, we focus on studying 1) whether there are differences in the return to university between different region types, and 2) to what extent can these differences - if they exist - be explained by differences in regional skill supply and unemployment. For the econometric analysis, we use a large register-based dataset constructed…
Small Scale Geographical Variation in Plumage Colour of Pied Flycatcher Males
1997
Ecology -94". A cruise report. Swedish Polar Research Secretariat, Stockholm, pp. 311-316. Lundgren, B., Hedenstr6m, A. and Pettersson, J. 1995. Correlation between some body components and visible fat index in the Willow Warbler Phylloscopus trochilus (L.). Ornis Svecica 5: 75-79. Pettersson, J. and Hasselquist, D. 1985. Fat deposition and migration capacity of Robins Erithacus rubecula and Goldcrests Regulus regulus at Ottenby, Sweden. Ring. & Migr. 6: 66-76. Piersma, T., Bruinzeel, L., Drent, R., Kersten, M., Van der Meer, J. and Wiersma, P. 1996. Variability in basal metabolic rate of a long-distance migrant shorebird (Red Knot, Calidris canutus), reflects shifts in organ sizes. Physiol…
Intellectual property strategies and firm growth : evidence from Finnish small business data
2012
The goal of this study is to shed light on the relationship between intellectual property (IP) strategies and firm growth. In brief, IP strategies are means of capturing returns on innovation investments. Employment effects and sales growth effects of innovations have been studied extensively in both theoretical and empirical economic literature but prior research has seldom included IP strategies into the analysis. There is little knowledge, whether there exists growth rate differences among firms that use different IP strategies and do patenting firms effectively demonstrate stronger growth than their non-patenting counterparts. Present study considers IP strategies as potential firm grow…
Do Investors Care About Noise Trader Risk?
2011
International audience; The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our result supports the existence of a sentiment risk valued by financial markets. We also find that the firms more impacted by the sentiment risk correspond to difficult-to-arbitrage and hard-to-value stocks, e.g. small stocks, growth stocks, young stocks, unprofitable stocks, lower dividend-paying stocks, intangible stocks and high volatility stocks.
Is Sentiment Risk Priced By Stock Market?
2012
International audience; This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.