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A binary mixture of hard-sphere polyions and point counterions is considered. It is shown that in the region of strong coupling, the symmetric Poisson–Boltzmann equation is capable of describing the counterion condensation near the polyion surface and the polyion–polyion attraction that was...
Persistent link: https://www.econbiz.de/10010589345
There has been growing interest in realized volatility (RV) of financial assets that is calculated using intra-day returns. The choice of optimal time grid for these calculations is not trivial and generally requires analysis of RV dependence on the grid spacing (so-called RV signature). Typical...
Persistent link: https://www.econbiz.de/10010590148
In this work, a rule-based definition of market corrections that depends on price volatility is proposed. This enables consistent comparison of corrections in different markets. Statistics of corrections in several US equity indexes and major US equity sector ETFs is compiled. According to the...
Persistent link: https://www.econbiz.de/10012889613
The idea behind the optimal ESG portfolio (OESGP) is to expand the mean variance theory by adding the portfolio ESG value (PESGV) multiplied by the ESG strength parameter γ (which is investor’s choice) to the minimizing objective function (Pederson et al., 2019; Schmidt, 2020). PESGV is assumed...
Persistent link: https://www.econbiz.de/10013222555
The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003), the arbitrage-free condition yields option price that...
Persistent link: https://www.econbiz.de/10013101006
It is argued that liquidity risk caused by high-frequency trading in the institutional FX market is a more important factor than volatility risk. For mitigating the former, it is suggested that multi-dealer FX platforms introduce the market maker status (MMS). Those traders that have MMS would...
Persistent link: https://www.econbiz.de/10013085697
It is assumed in the news-based model (NBM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using...
Persistent link: https://www.econbiz.de/10014239426
A news-based model (NBM) in which stock prices are determined by three types of news is proposed. The first type is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using the total market return in the spirit of the CAPM. The second type is the equity...
Persistent link: https://www.econbiz.de/10014345135
The EBS market has two access methods for its customers: GUI-based access for manual traders (MT) and automated interface (AI). In this work we offer taxonomy of the AI customers in terms of average daily order number: ‘slow' AI (those AI that do not trade more than MT), high-frequency trading...
Persistent link: https://www.econbiz.de/10013112493
A regression model for analysis of impact of earnings announcements on stock prices has been formulated. An equal-weight portfolio of 29 stocks that constituted DJI in Oct 2019 is considered within the range Jan 1999 – Sep 2019. It is found that out-performance around the earnings...
Persistent link: https://www.econbiz.de/10012841636