Showing 1 - 10 of 25,066
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
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
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
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
Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson …
Persistent link: https://www.econbiz.de/10013319962
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
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
Although the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany,...
Persistent link: https://www.econbiz.de/10014064414
The global financial crisis that started in mid-2007 illustrates the relevance of systemic risk. One key driver of the systemic instability that materialized in the crisis was the elevated level of stress in large banks. We use EVT to analyse the effect of size on banks' univariate and systemic...
Persistent link: https://www.econbiz.de/10013133480
Entropy to quantify the indirect influence that indices have on one another. We find that Transfer Entropy is an effective way …
Persistent link: https://www.econbiz.de/10011545240