Forecasting high-frequency stock returns: a comparison of alternative methods

2022 ◽  
Author(s):  
Erdinc Akyildirim ◽  
Aurelio F. Bariviera ◽  
Duc Khuong Nguyen ◽  
Ahmet Sensoy
Keyword(s):  
Stock Returns ◽  
High Frequency ◽  
Alternative Methods

scholarly journals Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Discrete Time ◽  
High Frequency ◽  
Utility Maximization ◽  
Limit Theorems ◽  
Approximate Solutions ◽  
Diffusion Approximations ◽  
Expert Opinions ◽  
Arrival Intensity

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

scholarly journals High-frequency Direct Somatic Embryogenesis and Plantlet Regeneration from Leaves Derived from In Vitro-Germinated Seedlings of a Coffea arabica Hybrid Cultivar

HortScience ◽  
2016 ◽  
Vol 51 (9) ◽  
pp. 1148-1152 ◽  
Author(s):  
Jane Kahia ◽  
Margaret Kirika ◽  
Hudson Lubabali ◽  
Sinclair Mantell
Keyword(s):  
Tissue Culture ◽  
High Frequency ◽  
Somatic Embryos ◽  
Coffea Arabica ◽  
Alternative Methods ◽  
Direct Somatic Embryogenesis ◽  
Ms Medium ◽  
Embryogenic Cultures ◽  
Half Strength

Breeding work carried out during the period 1971–85 by the Coffee Research Institute, Ruiru, Kenya resulted in the release of a new improved hybrid Coffea arabica named Ruiru 11. The cultivar combines resistance to coffee berry disease (CBD) and leaf rust, with high yield and good cup quality attributes. The propagation by F1 hybrid seeds production, cuttings, and tip grafting do not produce enough planting materials. There was a need to explore alternative methods and tissue culture offers potential options. The objective of the study was to evaluate the effect of explant sources and cytokinins on induction and regeneration of somatic embryos. Eight different explants were cultured on half-strength Murashige and Skoog (MS) medium supplemented with 10 µm benzylaminopurine (BAP). The effect of kinetin, N6-(2-isopentyl) adenine (2iP) evaluated at (0, 0.5, 5, or 25 µm) or thidiazuron (TDZ) (0, 0.5, 1.0, or 5 µm) added in separate experiments was also evaluated. The percentage of embryogenic cultures and the numbers of embryos per explant were determined after 3 months’ culture. The explant type had a significant effect (P > 0.05) on the induction of somatic embryos. Explants from in vitro-germinated seedlings produced the highest embryogenic cultures (90%) and the highest mean number of embryos (19.36) per explant. Cytokinins strongly enhanced induction and regeneration of somatic embryos. TDZ at 1 µm produced the highest embryogenic cultures (100%) and the highest mean number of embryos (24.2). The embryos were germinated on half-strength MS medium without any hormones. A high (98%) survival rate of the regenerated plantlets was recorded over all the treatments in the greenhouse. This is the first report on induction of high-frequency direct somatic embryos from coffee juvenile tissues. This is of great significance in tissue culture and indeed molecular biology manipulations because it allows regeneration of coffee from several explants.

scholarly journals Estimating dynamic copula dependence using intraday data

2015 ◽  
Vol 19 (4) ◽  
Author(s):  
Lidan Grossmass ◽  
Ser-Huang Poon
Keyword(s):  
Stock Returns ◽  
Long Memory ◽  
High Frequency ◽  
Time Varying ◽  
Credit Crisis ◽  
Dynamic Copula ◽  
Tick Data ◽  
Out Of Sample ◽  
Intraday Data ◽  
Better Than

AbstractWe estimate the dynamic daily dependence between assets by applying the Semiparametric Copula-Based Multivariate Dynamic (SCOMDY) model on intraday data. Using tick data of three stock returns of the period before and during the credit crisis, we find that our dependence estimator better captures the steep increase in dependence during the onset of the crisis as compared to other commonly used time-varying copula methods. Like other high-frequency estimators, we find that the dependence estimator exhibits long memory and forecast it using a HAR model. We show that for out-of-sample forecasts, our dependence estimator performs better than the constant estimator and other commonly used time-varying copula dependence estimators.

scholarly journals TRACHEAL STENOSIS SURGERY

2010 ◽  
Vol 17 (04) ◽  
pp. 638-642
Author(s):  
SHAFAQ AHMED ◽  
SARFRAZ JANJUA
Keyword(s):  
Laryngeal Mask Airway ◽  
Endotracheal Tube ◽  
Tracheal Stenosis ◽  
Nasogastric Tube ◽  
High Frequency ◽  
Laryngeal Mask ◽  
Alternative Methods ◽  
High Frequency Ventilation ◽  
Suction Catheter ◽  
Mask Ventilation

Objective: To highlight the problems and solutions in airways management in patients with tracheal stenosis undergoing surgical interventions and to highlight the alternative methods of airway control where high frequency ventilatory facility is not available. Study Design: Case series study. Place and Duration: Combined Military Hospital Rawalpindi from 1st Jan 2004 to 30th June 2007. Patients and Methods: Twenty nine patients of both sex and all age groups presenting with difficulty in breathing due to tracheal stenosis undergoing surgical intervention on trachea have been included. All the patients were managed under general anaesthesia. Nasogastric tube 10 Fr, suction catheter, laryngeal mask airway or mask ventilation was used for initial ventilation where conventional endotracheal tube of even smallest size did not work. Results: Small size endotracheal tube were used in twenty four patients. Difficulty was faced in five patients. In these patients endotracheal tube of smallest size available could not be passed and we had to provide ventilation by innovative measures like nasogastric tube 10Fr in one, suction catheter 10Fr in two, laryngeal mask airway in one and mask ventilation in one. There was no mortality. Conclusions: Adequate ventilation during tracheal stenosis surgery can be very difficult in some cases. Therefore a thorough understanding, a tier of flexible plans and a variety of ventilating means should be arranged before administering anaesthesia.Nasogastric tube 10Fr or suction catheter of similar size are suitable alternative if facility for high frequency ventilation is not available.

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