Similar Search Results

The weekend effect : a trading robot and fractional integration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by...

Persistent link: https://www.econbiz.de/10010367366

Intraday anomalies and market efficiency : a trading robot analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do …

Persistent link: https://www.econbiz.de/10010344868

The day of the week effect in the crypto currency market

Caporale, Guglielmo Maria; Plastun, Alex - 2017

evidence against efficiency of the crypto currency market. …

Persistent link: https://www.econbiz.de/10011745267

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...

Persistent link: https://www.econbiz.de/10015158136

When inefficiency begets efficiency

Gersbach, Hans; Haller, Hans - 2004

Collective consumption decisions taken by the members of a household may prove inefficient. The impact on market performance depends on whether household inefficiencies are caused by inefficient net trades with the market or by inefficient distribution of resources within households. Inefficient...

Persistent link: https://www.econbiz.de/10011399478

Price overreactions in the cryptocurrency market

Caporale, Guglielmo Maria; Plastun, Alex - 2018

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...

Persistent link: https://www.econbiz.de/10011789179

Public sector efficiency and the functions of the government

Afonso, António; Alves, José; Bazah, Najat - 2024

We examine the relationship between public sector efficiency and government spending, to assess public resource … outcomes across various public sector performance (PSP) indicators. We compute government spending efficiency using Data … Envelopment Analysis (DEA) to subsequently assess the relationship between efficiency and the growth rate of public expenditure …

Persistent link: https://www.econbiz.de/10015125392

A probabilistic solution to high-dimensional continuous-time macro and finance models

Ji, Huang - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014331249

The efficiency of educational production : a comparison of the Nordic countries with other OECD countries

Bogetoft Pedersen, Peter; Heinesen, Eskil; Tranæs, Torben - 2015

countries and calculate input efficiency scores for each country. We estimate a wide range of specifications in order to analyse … different aspects of efficiency. In purely quantitative models (where inputs and outputs are expenditure and number of students …

Persistent link: https://www.econbiz.de/10011343085

Do dividend taxes affect corporate investment

Alstadsæter, Annette; Jacob, Martin - 2014 - This draft: July 2014

dividend tax cut raises efficiency by improving allocation of investment. …

Persistent link: https://www.econbiz.de/10010388536