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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

Volatility transmission across financial markets : a semiparametric analysis

Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

Persistent link: https://www.econbiz.de/10012322368

Long-Run Wavelet-Based Correlation for Financial Time Series

Conlon, Thomas - 2018

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...

Persistent link: https://www.econbiz.de/10012917953

Do financial markets reward government spending efficiency?

Afonso, António; Jalles, João Tovar; Venâncio, Ana - 2021

We link governments’ spending efficiency scores, to sovereign debt assessments made by financial markets´, more specifically by three rating agencies (Standard & Poors, Moody´s and Fitch). Public efficiency scores are computed via data envelopment analysis. Then, we rely notably on ordered...

Persistent link: https://www.econbiz.de/10012504843

Theories of Risk : Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets

Clark, Ephraim - 2017

Investor behavior towards risk lies at the heart of economic decision making in general and modern investment theory and practice in particular. This paper uses both the mean-variance (MV) criterion and stochastic dominance (SD) procedures to analyze the preferences for four of the most widely...

Persistent link: https://www.econbiz.de/10012942924

Panel Stochastic Dominance Test and Panel Informational Efficiency LR Test

de Peretti, Christian - 2015

This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that...

Persistent link: https://www.econbiz.de/10013022962

Tales of Tails : Jumps in Currency Markets

Lee, Suzanne S. - 2016

This paper investigates the predictability of jumps in currency markets and shows the implications for carry trades. Formulating new currency jump analyses, we propose a general method to estimate the determinants of jump sizes and intensities. We employ a large panel of high-frequency data to...

Persistent link: https://www.econbiz.de/10012986192

Inflations and its uncertainty in some ECOWAS member states : transfer entropy approach

Otoakhia, Eric I. - In: CBN journal of applied statistics 12 (2021) 2, pp. 87-124

This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer en- tropy was adopted to quantify the extent of...

Persistent link: https://www.econbiz.de/10013272878

Financial crises and information transfer : an empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices

Ehlers, Stefan; Gürtler, Marc; Olboeter, Sven - 2010

This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial … crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the … as well as on a weekly basis. Hence, we conclude that information transfer from stock to CDS markets widens during the …

Persistent link: https://www.econbiz.de/10009487609

Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 268-280

Persistent link: https://www.econbiz.de/10009722093

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