We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model...

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

The assumption of linearity is implicitly accepted in the process which generates a time series condition submitted to a ARIMA. That is why, in this paper, we shall discuss the research of long memory in the processes: the fractional ARIMA models, denoted as ARFIMA, where d and D, the degree of...

We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the...

We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation. We use a time-consistent bivariate VAR (Vector Autoregressive Regression) model that accounts for time duration between trades. Post-listing and pre-listing...

Présente les principaux outils statistiques utilisés par les gestionnaires, illustrés par des QCM et des exercices corrigés : statistique descriptive, probabilités, principales distributions théoriques, induction statistique (échantillonnage et estimation), tests d'hypothèse, ajustement...

L’objet de la communication est de produire de la connaissance praticable sur l’organisation du travail, en construisant de nouveaux indicateurs de mesure de l’organisation du travail, quantitatifs et qualitatifs. Nous testons leur validité et leur fiabilité sur la base des données...

“Why are so many models designed and so few used” is a question often discussed within the Operational Research (OR) community. The formulation of the question seems simple, but the concepts and theories that must be mobilised to give it an answer are far more sophisticated. Would there be a...

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...

Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to...