1,721,010 research outputs found
Studies on high frequency financial markets
No full textThis thesis examines high frequency financial markets in terms of the relationship among financial instruments. Chapter 2 paves the way for subsequent chapters by providing a detailed delineation of high frequency markets, the main context of this work, and discussing various topics such as the significance and popularity of high frequency trading (HFT) as well as its positive and negative impacts on today’s markets. Chapter 3, 4 and 5 are three research papers which focus on multiple aspects of the high frequency relationship among financial assets including correlation, lead-lag effects and volatility transmission. Specifically, chapter 3 studies pairs trading, a popular trading strategy based on correlation and designed to exploit related securities. Among other things, this chapter explains why the literature may have consistently underestimated the level of pairs trading profitability and market inefficiency, and then proposes a new trading rule to correct this bias which outperforms the standard rule used by previous papers. On the other hand, chapter 4 analyses the lead-lag relationship between instruments and identifies an important factor that has an impact on this relationship, namely the rate of information arrival. This chapter has been accepted for publication in Quantitative Finance. Finally, chapter 5 investigates the influence of the Brexit referendum, an important political event, on currency markets. This chapter shows that the event has affected the correlation and volatility spillover among exchange rates in a way that suggests a flight to quality and is consistent with the reduced market integration between the UK and the EU due to the UK’s decision to leave the EU
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A calendar effect: weekend overreaction (and subsequent reversal) in spot FX rates
Get PDFThis paper investigates a calendar effect, namely the weekend overreaction, in spot foreign exchange markets of 8 major and 9 emerging currencies. We find that after a large price difference between Friday close and subsequent Monday open, most markets are likely to reverse in multiple horizons during the following week, which is consistent with the overreaction hypothesis. We develop a reversal trading strategy to exploit this effect which we show are robust to transaction costs and interest rates. In the out-of-sample test, the strategy is able to generate abnormal risk-adjusted returns, which suggests that these currency markets might be weak-form inefficient
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The Brexit vote and currency markets
Get PDFThis paper studies the effect of the Brexit vote on the intraday correlation and volatility transmission among major currencies. We find that the vote causes an increase in the correlation among the safe-haven currencies of the Swiss franc and Japanese yen as well as gold, and also find a decrease in their correlation with the directly involved currencies of British sterling and the Euro. These changes are due to the appreciation of the former group and the depreciation of the latter group which represents a flight to quality of investors. We also observe a substantial decrease in volatility transmission between British sterling and the Euro following the Brexit vote due to lower levels of market integration. However the volatility transmission among the currencies has increased in general and their net spillover is positively correlated with their level of volatility and trading activities. Therefore we document the significant impact of the politically important Brexit vote on the high frequency correlation and volatility spillover in the foreign exchange market
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Ultra-high-frequency lead-lag relationship and information arrival
Get PDFTo our knowledge, this paper is the first study on the effect of information arrival on the lead–lag relationship amongst related spot instruments. Based on a large data-set of ultra-high-frequency transaction prices time-stamped to the millisecond of the S&P500 index and its two most liquid tracking ETFs, we find that their lead–lag relationship is affected by the rate of information arrival whose proxy is the unexpected trading volume of these instruments. Specifically, when information arrives, the leadership of the leading instrument may strengthen or weaken depending on whether the leading or lagging instrument responds to that information. An increase in the unexpected volume of the leader strengthens its leadership whereas an increase in the unexpected volume of the lagger weakens this leadership. In addition to the strength of leadership, an increase in the unexpected volume in response to information arrival may also have opposite effects on the lead–lag correlation coefficient depending on whether that volume increase belongs to the leader or the lagger. Finally, we find that sophisticated investors have a more significant effect on the lead–lag relationship than non-sophisticated ones
Speed of adjustment in digital assets in a decentralised financial world
No full textThis paper investigates the stability and co-movement of cryptocurrency assets in Decentralised Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long-run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi environment. We extend conventional cointegration analysis by applying a Fractionally Cointegrated Vector Autoregressive framework, which captures slow error corrections. Rolling estimations generate a time-varying series of SA, allowing examination of its evolution and cross-asset spillovers. The results reveal multiple cointegrating relationships, heterogeneous adjustment speeds, and strong contagion effects among DeFi assets. For instance, RPL exhibits rapid yet volatile adjustment, while LDO, BAL, and SNX revert more slowly, reflecting distinct risk-return trade-offs. Spillover analysis highlights high systemic interconnectedness, underscoring challenges for diversification and contagion management. Overall, dynamic SA emerges as a valuable forward-looking indicator of stability in digital asset markets
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
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