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Annals of Operations Research
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#1Panagiotis Andrikopoulos (Coventry University)H-Index: 6
#2Nick Webber (University of Birmingham)
This paper introduces an innovative framework for decision making by individuals with inconsistent preferences. Practices, associations of individuals with a preference set shared by its members, provide context and unify preferences across an economy so that decision-makers are situated in social and economic structures. Our framework models the time evolution of certain attributes, emerging from the practice framework, that govern individuals’ decisions and their intertemporal variation. A nov...
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#1Carolyn E. Phelan (UCL: University College London)H-Index: 2
#2Daniele MarazzinaH-Index: 7
Last.Guido Germano (UCL: University College London)H-Index: 15
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We show how spectral filters can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast Fourier transform. This is relevant, for example, for the computation of fluctuation identities, which give the distribution of the maximum or the minimum of a random path, or the joint distribution at maturity with the extrema staying below or above barriers. We use as examples the methods by Feng and Linetsky (Ma...
3 CitationsSource
#1Han Lin Shang (ANU: Australian National University)H-Index: 13
#2Yang Yang (ANU: Australian National University)H-Index: 1
Last.Fearghal Kearney ('QUB': Queen's University Belfast)H-Index: 5
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As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce 1-day-ahead forecasts of these curves. The proposed method facilitates the investigati...
1 CitationsSource
#1Frank McGroarty (University of Southampton)H-Index: 11
#2Ash Booth (University of Southampton)H-Index: 3
Last.V. L. Raju Chinthalapati (University of Greenwich)H-Index: 2
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Given recent requirements for ensuring the robustness of algorithmic trading strategies laid out in the Markets in Financial Instruments Directive II, this paper proposes a novel agent-based simulation for exploring algorithmic trading strategies. Five different types of agents are present in the market. The statistical properties of the simulated market are compared with equity market depth data from the Chi-X exchange and found to be significantly similar. The model is able to reproduce a numb...
2 CitationsSource
#1Christoph WegenerH-Index: 4
#2Tobias Basse (Touro College)H-Index: 10
Last.Duc Khuong NguyenH-Index: 36
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Liquidity risk is the risk that an asset cannot always be sold without causing a fall in its price because of a lack of demand for this asset. Many empirical studies examining liquidity premia have focused on government bonds. In this paper, we specifically investigate the yield differentials between liquid and illiquid German covered bonds by considering the yields of traditional Pfandbrief bonds and Jumbo Pfandbrief bonds with different maturities. In terms of credit risk the spread between th...
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#1Konstantinos Konstantaras (University of Gloucestershire)
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
This paper investigates the value successful bidders generate from acquiring less liquid targets. This synergy is traced with both theoretical and empirical evidence from the squeeze-out stage of going private transactions, when bidders hold sizeable toeholds in target shares. By transferring their superior liquidity, acquirers can add value to the valuation of their toeholds in fully acquired target assets. We use a sample of US delisted targets from globally listed acquirers over 25 years, and...
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#1Ioannis Kyriakou (City University London)H-Index: 8
#2Athanasios A. Pantelous (Monash University)H-Index: 9
Last.Stavros A. Zenios (Bruegel)H-Index: 40
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#1Tom Erik Sønsteng Henriksen (NMBU: Norwegian University of Life Sciences)
#2Alois Pichler (Chemnitz University of Technology)H-Index: 13
Last.Stein Frydenberg (NTNU: Norwegian University of Science and Technology)H-Index: 7
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In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend to dominate the individual commodities. We further study if we can find a combination of stocks, bonds and commodities that dominate others. Compared to a 60% stock and 40% bond portfolio mix, portfolios consisting of long positions in gold futures and two different actively man...
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#1Z. SunH-Index: 1
#2Philip HamillH-Index: 5
Last.Samuel A. Vigne (Queen's University)H-Index: 6
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This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, Generalized Hurst exponent and Dynamic Conditional Score are employed to evaluate the properties of the bid-ask spread. Sovereign bonds exhibit the stylized facts reported for a range of financial markets. The 1-min interval analysis indicates the level of bid-ask spread exhibits lon...
1 CitationsSource
#1Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this...
5 CitationsSource
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