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Etude de la dynamique de la profondeur du marché : cas de la Bourse de Tunis
No full textThis paper aims to estimate a dynamic measure of market depth, called VNET (directional net volume), for a stock listed on the Tunis Stock Exchange using high-frequency data. VNET measures the difference between the volume of transactions initiated by buyers and sellers during the time required to move the price to a certain number of ticks. It is a multidimensional concept that considers the three facets of liquidity: quantity, price, and time. VNET provides a measure of depth for a given price duration, which can be studied throughout the trading day to understand the short-term dynamics of liquidity. To do this, we model the price duration using an Autoregressive Conditional Duration (ACD) model, which allows us to consider the specificities of very high-frequency data irregularly spaced over time, to obtain an unbiased and efficient measure. The nature of the ACD model makes it possible to predict future variations in the liquidity of a security. By identifying the right time to buy or sell, VNET is a good tool for any optimal trading strategy. The empirical results indicate that the market depth depends on internal trading conditions.
Keywords: Market microstructure, Asymmetric information, Liquidity, Market depth, ACD model.
JEL Classification: C41, D82, G12
Paper type: Empirical researchL'objectif de cet article est d'estimer une mesure dynamique de la profondeur du marché, appelée VNET (volume net directionnel), pour une action cotée à la Bourse des Valeurs Mobilières de Tunis (BVMT) en utilisant des données de très hautes fréquences. La VNET mesure la différence entre le volume de transactions initiées par les acheteurs et le volume de transactions initiées par les vendeurs pendant le temps nécessaire pour faire varier le prix d’un certain nombre d’échelons de cotation. Il s'agit d’un concept multidimensionnel qui tient compte des trois facettes de la liquidité : quantité, prix et temps. La VNET permet de mesurer la profondeur pour une durée-prix donnée, que l'on peut étudier tout au long de la journée de négociation afin de comprendre la dynamique à court terme de la liquidité. Pour ce faire, nous modélisons la durée-prix à l'aide d'un modèle de durée conditionnelle autorégressive (ACD) qui permet de tenir compte des spécificités des données de très hautes fréquences irrégulièrement espacées dans le temps, afin d’obtenir une mesure non biaisée et efficace. La nature du modèle ACD permet de prévoir les variations futures de la liquidité d'un titre. En identifiant le moment opportun pour acheter ou vendre, la VNET est un bon outil pour toute stratégie de négociation optimale. Les résultats empiriques que nous avons trouvés indiquent que la mesure VNET de la profondeur du marché dépend des conditions internes d’échange.
Mots clés : Microstructure du marché, Asymétrie d’information, Liquidité, Profondeur du marché, modèle ACD.
Classification JEL : C41, D82, G12
Type de l’article : Recherche empiriqu
Etude de la dynamique de la profondeur du marché : cas de la Bourse de Tunis
No full textThis paper aims to estimate a dynamic measure of market depth, called VNET (directional net volume), for a stock listed on the Tunis Stock Exchange using high-frequency data. VNET measures the difference between the volume of transactions initiated by buyers and sellers during the time required to move the price to a certain number of ticks. It is a multidimensional concept that considers the three facets of liquidity: quantity, price, and time. VNET provides a measure of depth for a given price duration, which can be studied throughout the trading day to understand the short-term dynamics of liquidity. To do this, we model the price duration using an Autoregressive Conditional Duration (ACD) model, which allows us to consider the specificities of very high-frequency data irregularly spaced over time, to obtain an unbiased and efficient measure. The nature of the ACD model makes it possible to predict future variations in the liquidity of a security. By identifying the right time to buy or sell, VNET is a good tool for any optimal trading strategy. The empirical results indicate that the market depth depends on internal trading conditions.
Keywords: Market microstructure, Asymmetric information, Liquidity, Market depth, ACD model.
JEL Classification: C41, D82, G12
Paper type: Empirical researchL'objectif de cet article est d'estimer une mesure dynamique de la profondeur du marché, appelée VNET (volume net directionnel), pour une action cotée à la Bourse des Valeurs Mobilières de Tunis (BVMT) en utilisant des données de très hautes fréquences. La VNET mesure la différence entre le volume de transactions initiées par les acheteurs et le volume de transactions initiées par les vendeurs pendant le temps nécessaire pour faire varier le prix d’un certain nombre d’échelons de cotation. Il s'agit d’un concept multidimensionnel qui tient compte des trois facettes de la liquidité : quantité, prix et temps. La VNET permet de mesurer la profondeur pour une durée-prix donnée, que l'on peut étudier tout au long de la journée de négociation afin de comprendre la dynamique à court terme de la liquidité. Pour ce faire, nous modélisons la durée-prix à l'aide d'un modèle de durée conditionnelle autorégressive (ACD) qui permet de tenir compte des spécificités des données de très hautes fréquences irrégulièrement espacées dans le temps, afin d’obtenir une mesure non biaisée et efficace. La nature du modèle ACD permet de prévoir les variations futures de la liquidité d'un titre. En identifiant le moment opportun pour acheter ou vendre, la VNET est un bon outil pour toute stratégie de négociation optimale. Les résultats empiriques que nous avons trouvés indiquent que la mesure VNET de la profondeur du marché dépend des conditions internes d’échange.
Mots clés : Microstructure du marché, Asymétrie d’information, Liquidité, Profondeur du marché, modèle ACD.
Classification JEL : C41, D82, G12
Type de l’article : Recherche empiriqu
Etude de la dynamique de la profondeur du marché : cas de la Bourse de Tunis
No full textThis paper aims to estimate a dynamic measure of market depth, called VNET (directional net volume), for a stock listed on the Tunis Stock Exchange using high-frequency data. VNET measures the difference between the volume of transactions initiated by buyers and sellers during the time required to move the price to a certain number of ticks. It is a multidimensional concept that considers the three facets of liquidity: quantity, price, and time. VNET provides a measure of depth for a given price duration, which can be studied throughout the trading day to understand the short-term dynamics of liquidity. To do this, we model the price duration using an Autoregressive Conditional Duration (ACD) model, which allows us to consider the specificities of very high-frequency data irregularly spaced over time, to obtain an unbiased and efficient measure. The nature of the ACD model makes it possible to predict future variations in the liquidity of a security. By identifying the right time to buy or sell, VNET is a good tool for any optimal trading strategy. The empirical results indicate that the market depth depends on internal trading conditions.
Keywords: Market microstructure, Asymmetric information, Liquidity, Market depth, ACD model.
JEL Classification: C41, D82, G12
Paper type: Empirical researchL'objectif de cet article est d'estimer une mesure dynamique de la profondeur du marché, appelée VNET (volume net directionnel), pour une action cotée à la Bourse des Valeurs Mobilières de Tunis (BVMT) en utilisant des données de très hautes fréquences. La VNET mesure la différence entre le volume de transactions initiées par les acheteurs et le volume de transactions initiées par les vendeurs pendant le temps nécessaire pour faire varier le prix d’un certain nombre d’échelons de cotation. Il s'agit d’un concept multidimensionnel qui tient compte des trois facettes de la liquidité : quantité, prix et temps. La VNET permet de mesurer la profondeur pour une durée-prix donnée, que l'on peut étudier tout au long de la journée de négociation afin de comprendre la dynamique à court terme de la liquidité. Pour ce faire, nous modélisons la durée-prix à l'aide d'un modèle de durée conditionnelle autorégressive (ACD) qui permet de tenir compte des spécificités des données de très hautes fréquences irrégulièrement espacées dans le temps, afin d’obtenir une mesure non biaisée et efficace. La nature du modèle ACD permet de prévoir les variations futures de la liquidité d'un titre. En identifiant le moment opportun pour acheter ou vendre, la VNET est un bon outil pour toute stratégie de négociation optimale. Les résultats empiriques que nous avons trouvés indiquent que la mesure VNET de la profondeur du marché dépend des conditions internes d’échange.
Mots clés : Microstructure du marché, Asymétrie d’information, Liquidité, Profondeur du marché, modèle ACD.
Classification JEL : C41, D82, G12
Type de l’article : Recherche empiriqu
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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