Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading

2013 ◽  
Vol 03 (02) ◽  
pp. 1350012 ◽  
Author(s):  
Robert Jarrow ◽  
Hao Li

In a frictionless and competitive economy, where high frequency (HF) traders possess no market power, this paper characterizes necessary and sufficient conditions on the price process and information sets for HF traders to earn abnormal trading profits. Two sufficient conditions shown to generate abnormal returns are that HF trading enables the observation of short-term price momentum/reversals, not otherwise visible, or it enables the observation of signals correlated to future price movements. The welfare considerations of the existence of such abnormal trading profits are also discussed.

2018 ◽  
Vol 2 ◽  
pp. e26235
Author(s):  
Franck Michel ◽  
Catherine Faron-Zucker ◽  
Sandrine Tercerie ◽  
Gargominy Olivier

As the biodiversity community increasingly adopts Semantic Web (SW) standards to represent taxonomic registers, trait banks or museum collections, some questions come up relentlessly: How to model the data? For what goals? Can the same model fulfill different goals?So far, the community has mostly considered the SW standards through their most salient manifestation: the Web of Linked Data (Heath and Bizer 2011). Indeed, the 5-star Linked Data principles are geared towards the building of a large, distributed knowledge graph that may successfully fulfill biodiversity’s need for interoperability and data integration. However, the SW addresses a much broader set of problems involving automatic reasoning. For instance, reasoners can exploit ontological knowledge to improve query answering, leverage class definitions to infer class subsumption relationships, or classify individualsi.e.compute instance relationships between individuals and classes by applying reasoning techniques on class definitions and instance descriptions (Shearer et al. 2008).Whether a "thing" should be modelled as a class or a class instance has been debated at length in the SW community, and the answer is often a matter of perspective. In the context of taxonomic registers for example, the NCBI Organismal Classification (Federhen 2012) and Vertebrate Taxonomy Ontology (Midford et al. 2013) represent taxa as classes in the Ontology Web Language (OWL). By contrast, other initiatives represent taxa as instances of various classes,e.g.the SKOS Concept class (skos:Concept) in the AGROVOC thesaurus (Caracciolo et al. 2013) (we speak of the instances asSKOS concepts), the Darwin Core taxon class (dwc:Taxon)in Encyclopedia of Life (Parr et al. 2016), or classes depicting taxonomic ranks in GeoSpecies, DBpedia and the BBC Wildlife Ontology. Such modelling discrepancies impede linking congruent taxa throughout taxonomic registers. Indeed, one can state the equivalence between two classes (withowl:equivalentClass) or two class instances (withowl:sameAs, skos:exactMatch, etc.), but good practices discourage the alignment of classes with class instances (Baader et al. 2003).Recently, Darwin Core's popularity has fostered the modeling of taxa as instances of classdwc:Taxon(Senderov et al. 2018, Parr et al. 2016). In this context, pragmatism may incline a Linked Data provider to comply with this majority trend to ensure maximum interlinking. Although technically and conceptually valid, this choice entails certain drawbacks. First, considering a taxon only as a an instance misses the fact that it is a set of biological individuals with common characteristics. An OWL class exactly captures this semantics through the set of necessary and sufficient conditions that an individual must meet to be a class member. In turn, an OWL reasoner can leverage this knowledge to perform query answering, compute subsumption or instance relationships. By contrast, taxa depicted by class instances are notdefinedbutdescribedby stating their properties. Hence the second drawback: unless we develop bespoke reasoners, there is not much a standard OWL reasoner can deduce from instances.Yet, some works have demonstrated the effectiveness of logic representation and reasoning capabilities,e.g.computing the alignments of two primate classifications (Franz et al. 2016) using generic reasoners that nevertheless require proprietary input formats. OWL reasoners are typically designed to solve such classification problems. They may leverage taxonomic ontologies to compute alignments with other ontologies or apply reasoning to individuals' properties to infer their species. Hence, pragmatically following the instance-based approach may indeed maximize interlinking in the short term, but bears the risk of denying ourselves potentially desirable use cases in the longer term. We believe that developing class-based ontologies for biodiversity should help leverage the SW’s extensive theoretical and practical works to tackle a variety of use cases that so far have been addressed with bespoke solutions.


2018 ◽  
Vol 15 (1) ◽  
pp. 224-235
Author(s):  
Abdullah Ejaz ◽  
Petr Polak

The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.


2020 ◽  
Vol 20 (2) ◽  
Author(s):  
Marco M. Sorge

AbstractRational expectations (RE) frameworks featuring informational constraints are becoming increasingly popular in macroeconomic research. A recent strand of literature has explored the analytics of RE models with informational subperiods, in which the occurrence of exogenous shocks is period-specific and decision makers condition their own choices and expectations upon a sequence of nested information sets (timing restrictions). Assuming the unrestricted (full information) RE model satisfies saddle-path stability, this paper provides (i) necessary and sufficient conditions for existence of an uncountably infinite set of linearly perturbed solutions to its restricted (informationally constrained) counterpart, and (ii) an algorithm for computing the full set of sunspot solutions when equilibrium indeterminacy occurs.


1986 ◽  
Vol 23 (04) ◽  
pp. 851-858 ◽  
Author(s):  
P. J. Brockwell

The Laplace transform of the extinction time is determined for a general birth and death process with arbitrary catastrophe rate and catastrophe size distribution. It is assumed only that the birth rates satisfyλ0= 0,λj> 0 for eachj> 0, and. Necessary and sufficient conditions for certain extinction of the population are derived. The results are applied to the linear birth and death process (λj=jλ, µj=jμ) with catastrophes of several different types.


2008 ◽  
pp. 134-151
Author(s):  
A. Shastitko ◽  
M. Ovchinnikov

The article proposes an approach to the analysis of social change and contributes to the clarification of concepts of economic policy. It deals in particular with the notion of "change of system". The author considers positive and normative aspects of the analysis of capitalist and socialist systems. The necessary and sufficient conditions for the system to be changed are introduced, their fulfillment is discussed drawing upon the historical and statistical data. The article describes both economic and political peculiarities of the transitional period in different countries, especially in Eastern Europe.


2020 ◽  
pp. 77-90
Author(s):  
V.D. Gerami ◽  
I.G. Shidlovskii

The article presents a special modification of the EOQ formula and its application to the accounting of the cargo capacity factor for the relevant procedures for optimizing deliveries when renting storage facilities. The specified development will allow managers to take into account the following process specifics in the format of a simulated supply chain when managing inventory. First of all, it will allow considering the most important factor of cargo capacity when optimizing stocks. Moreover, this formula will make it possible to find the optimal strategy for the supply of goods if, also, it is necessary to take into account the combined effect of several factors necessary for practice, which will undoubtedly affect decision-making procedures. Here we are talking about the need for additional consideration of the following essential attributes of the simulated cash flow of the supply chain: 1) time value of money; 2) deferral of payment of the cost of the order; 3) pre-agreed allowable delays in the receipt of revenue from goods sold. Developed analysis and optimization procedures have been implemented to models of this type that are interesting and important for a business. This — inventory management systems, the format of which is related to the special concept of efficient supply. We are talking about models where the presence of the specified delays for the outgoing cash flows allows you to pay for the order and the corresponding costs of the supply chain from the corresponding revenue on the re-order interval. Accordingly, the necessary and sufficient conditions are established based on which managers will be able to identify models of the specified type. The purpose of the article is to draw the attention of managers to real opportunities to improve the efficiency of inventory management systems by taking into account these factors for a simulated supply chain.


2020 ◽  
Vol 17 (3) ◽  
pp. 313-324
Author(s):  
Sergii Chuiko ◽  
Ol'ga Nesmelova

The study of the differential-algebraic boundary value problems, traditional for the Kiev school of nonlinear oscillations, founded by academicians M.M. Krylov, M.M. Bogolyubov, Yu.A. Mitropolsky and A.M. Samoilenko. It was founded in the 19th century in the works of G. Kirchhoff and K. Weierstrass and developed in the 20th century by M.M. Luzin, F.R. Gantmacher, A.M. Tikhonov, A. Rutkas, Yu.D. Shlapac, S.L. Campbell, L.R. Petzold, Yu.E. Boyarintsev, V.F. Chistyakov, A.M. Samoilenko, O.A. Boichuk, V.P. Yacovets, C.W. Gear and others. In the works of S.L. Campbell, L.R. Petzold, Yu.E. Boyarintsev, V.F. Chistyakov, A.M. Samoilenko and V.P. Yakovets were obtained sufficient conditions for the reducibility of the linear differential-algebraic system to the central canonical form and the structure of the general solution of the degenerate linear system was obtained. Assuming that the conditions for the reducibility of the linear differential-algebraic system to the central canonical form were satisfied, O.A.~Boichuk obtained the necessary and sufficient conditions for the solvability of the linear Noetherian differential-algebraic boundary value problem and constructed a generalized Green operator of this problem. Based on this, later O.A. Boichuk and O.O. Pokutnyi obtained the necessary and sufficient conditions for the solvability of the weakly nonlinear differential algebraic boundary value problem, the linear part of which is a Noetherian differential algebraic boundary value problem. Thus, out of the scope of the research, the cases of dependence of the desired solution on an arbitrary continuous function were left, which are typical for the linear differential-algebraic system. Our article is devoted to the study of just such a case. The article uses the original necessary and sufficient conditions for the solvability of the linear Noetherian differential-algebraic boundary value problem and the construction of the generalized Green operator of this problem, constructed by S.M. Chuiko. Based on this, necessary and sufficient conditions for the solvability of the weakly nonlinear differential-algebraic boundary value problem were obtained. A typical feature of the obtained necessary and sufficient conditions for the solvability of the linear and weakly nonlinear differential-algebraic boundary-value problem is its dependence on the means of fixing of the arbitrary continuous function. An improved classification and a convergent iterative scheme for finding approximations to the solutions of weakly nonlinear differential algebraic boundary value problems was constructed in the article.


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