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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in … Markets ; Electronic Markets ; Algorithmic Trading ; Order Entry ; Equity Trading ; Information Theory ; Entropy Measure …
Persistent link: https://www.econbiz.de/10003980635
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Price Jumps on European Stock Markets
Hanousek, Jan - 2013
We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...
Persistent link: https://www.econbiz.de/10013071459
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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998
Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...
Persistent link: https://www.econbiz.de/10010316257
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2014 - This version: August 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual … funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the … disclosed CDS holdings. For several funds in the U.S., the potential losses arising from selling CDS protection are almost as …
Persistent link: https://www.econbiz.de/10010530827
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual … funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the … disclosed CDS holdings. For several funds in the U.S., the potential losses arising from selling CDS protection are almost as …
Persistent link: https://www.econbiz.de/10010503880
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Estimation of Generalized Entropy and Atkinson Inequality Indices from Complex Survey Data
Biewen, Martin; Jenkins, Stephen P. - 2021
Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson …
Persistent link: https://www.econbiz.de/10013319962
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Wavelet analysis of Central European stock market behaviour during the crisis
Baruník, Jozef; Vácha, Lukáš - 2009
In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...
Persistent link: https://www.econbiz.de/10010322184
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Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...
Persistent link: https://www.econbiz.de/10010318771
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Wavelet analysis of Central European stock market behaviour during the crisis
Barunik, Jozef; Vacha, Lukas - 2009
In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...
Persistent link: https://www.econbiz.de/10003891213
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...
Persistent link: https://www.econbiz.de/10009665551