scholarly journals Slow Decay of Impact in Equity Markets

2015 ◽  
Vol 01 (02) ◽  
pp. 1550007 ◽  
Author(s):  
X. Brokmann ◽  
E. Sérié ◽  
J. Kockelkoren ◽  
J.-P. Bouchaud
Keyword(s):  
Power Law ◽  
Equity Markets ◽  
Impact Model ◽  
Market Impact ◽  
Temporal Dependence ◽  
Raw Data ◽  
Slow Decay ◽  
First Approximation ◽  
Information Contents ◽  
The Impact

Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a 10-day horizon in various equity markets. We find that the impact of single meta-orders is to a first approximation universal and slowly decays to zero (or to a small value), possibly as a power-law. We show that autocorrelated order-flows and trade information contents fully accounts for the apparent plateau observed in the raw data. We discuss the possible bias introduced by the quasi-linear assumption.

scholarly journals Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database

2018 ◽  
Vol 04 (03n04) ◽  
pp. 1950006
Author(s):  
Frédéric Bucci ◽  
Michael Benzaquen ◽  
Fabrizio Lillo ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Empirical Study ◽  
Time Scales ◽  
Equity Markets ◽  
Equity Market ◽  
Slow Decay ◽  
The Us ◽  
Long Time ◽  
Power Law Function ◽  
Short Time ◽  
The Impact

We present an empirical study of price reversion after the executed metaorders. We use a dataset with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends: while at the end of the same day, it is on average [Formula: see text] of the peak impact, the decay continues for the next few days, following a power-law function at short-time scales, and converges to a non-zero asymptotic value at long-time scales ([Formula: see text] days) equal to [Formula: see text] of the impact at the end of the first day, that is [Formula: see text] of peak impact. Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.

Rapid evaluation of FDG imaging alternatives using head-to-head comparisons of full ring and gamma camera based PET scanners –

2002 ◽  
Vol 41 (05) ◽  
pp. 208-213 ◽  
Author(s):  
L. M. Haslinghuis-Bajan ◽  
L. Hooft ◽  
A. van Lingen ◽  
M. van Tulder ◽  
W. Devillé ◽  
...  
Keyword(s):  
Methodological Quality ◽  
Gamma Camera ◽  
First Generation ◽  
Prospective Evaluation ◽  
First Approximation ◽  
Variable Head ◽  
Malignant Lesions ◽  
The Impact ◽  
Pet Scanners

SummaryAim: While FDG full ring PET (FRPET) has been gradually accepted in oncology, the role of the cheaper gamma camera based alternatives (GCPET) is less clear. Since technology is evolving rapidly, “tracker trials” would be most helpful to provide a first approximation of the relative merits of these alternatives. As difference in scanner sensitivity is the key variable, head-to-head comparison with FRPET is an attractive study design. This systematic review summarises such studies. Methods: Nine studies were identified until July 1, 2000. Two observers assessed the methodological quality (Cochrane criteria), and extracted data. Results: The studies comprised a variety of tumours and indications. The reported GC- and FRPET agreement for detection of malignant lesions ranged from 55 to 100%, but with methodological limitations (blinding, standardisation, limited patient spectrum). Mean lesion diameter was 2.9 cm (SD 1.8), with only about 20% <1.5 cm. The 3 studies with the highest quality reported concordances of 74-79%, for the studied lesion spectrum. Contrast at GCPET was lower than that of FRPET, contrast and detection agreement were positively related. Logistic regression analysis suggested that pre-test indicators might be used to predict FRPET-GCPET concordance. Conclusion: In spite of methodological limitations, “first generation” GCPET devices detected sufficient FRPET positive lesions to allow prospective evaluation in clinical situations where the impact of FRPET is not confined to detection of small lesions (<1.5 cm). The efficiency of head-to-head comparative studies would benefit from application in a clinically relevant patient spectrum, with proper blinding and standardisation of acquisition procedures.

scholarly journals Searching for energy-resolved quasi-periodic oscillations in AGN

2021 ◽  
Author(s):  
Dominic I Ashton ◽  
Matthew J Middleton
Keyword(s):  
Power Law ◽  
Spectral Component ◽  
Broad Band ◽  
Initial Study ◽  
Periodic Oscillations ◽  
Single Observation ◽  
Curved Space ◽  
Multiple Observations ◽  
Band Noise ◽  
The Impact

Abstract X-ray quasi-periodic oscillations (QPOs) in AGN allow us to probe and understand the nature of accretion in highly curved space-time, yet the most robust form of detection (i.e. repeat detections over multiple observations) has been limited to a single source to-date, with only tentative claims of single observation detections in several others. The association of those established AGN QPOs with a specific spectral component has motivated us to search the XMM-Newton archive and analyse the energy-resolved lightcurves of 38 bright AGN. We apply a conservative false alarm testing routine folding in the uncertainty and covariance of the underlying broad-band noise. We also explore the impact of red-noise leak and the assumption of various different forms (power-law, broken power-law and lorentzians) for the underlying broad-band noise. In this initial study, we report QPO candidates in 6 AGN (7 including one tentative detection in MRK 766) from our sample of 38, which tend to be found at characteristic energies and, in four cases, at the same frequency across at least two observations, indicating they are highly unlikely to be spurious in nature.

scholarly journals Nitrogen Mass Balance and Pressure Impact Model Applied to an Urban Aquifer

Water ◽  
2020 ◽  
Vol 12 (4) ◽  
pp. 1171 ◽  
Author(s):  
Mitja Janža ◽  
Joerg Prestor ◽  
Simona Pestotnik ◽  
Brigita Jamnik
Keyword(s):  
Groundwater Quality ◽  
Urban Areas ◽  
Transport Model ◽  
Nitrate Concentration ◽  
Impact Model ◽  
Sewer System ◽  
Management Measures ◽  
Pressure Impact ◽  
The Impact ◽  
The City

The assurance of drinking water supply is one of the biggest emerging global challenges, especially in urban areas. In this respect, groundwater and its management in the urban environment are gaining importance. This paper presents the modeling of nitrogen load from the leaky sewer system and from agriculture and the impact of this pressure on the groundwater quality (nitrate concentration) in the urban aquifer located beneath the City of Ljubljana. The estimated total nitrogen load in the model area of 58 km2 is 334 ton/year, 38% arising from the leaky sewer system and 62% from agriculture. This load was used as input into the groundwater solute transport model to simulate the distribution of nitrate concentration in the aquifer. The modeled nitrate concentrations at the observation locations were found to be on average slightly lower (2.7 mg/L) than observed, and in general reflected the observed contamination pattern. The ability of the presented model to relate and quantify the impact of pressures from different contamination sources on groundwater quality can be beneficially used for the planning and optimization of groundwater management measures for the improvement of groundwater quality.

A NONLINEAR STRAIN-DEPENDENT VARIABLE-ORDER FRACTIONAL MODEL WITH APPLICATIONS TO ALUMINUM FOAMS

Fractals ◽  
2021 ◽  
Author(s):  
WEI CAI ◽  
PING WANG
Keyword(s):  
Power Law ◽  
Variable Order ◽  
Aluminum Foams ◽  
Static Compression ◽  
Fractional Model ◽  
Comparative Results ◽  
The Impact ◽  
Strain Responses ◽  
Strain Dependent ◽  
Quasi Static Compression

In this paper, a power-law strain-dependent variable order is first incorporated into the fractional constitutive model and employed to describe mechanical behaviors of aluminum foams under quasi-static compression and tension. Comparative results illustrate that power-law strain-dependent variable order is capable of better describing stress–strain responses compared with the traditional linear one. The evolution of fractional order along with the porosities or relative densities can be well qualitatively interpreted by its physical meaning. Furthermore, the model is also extended to characterize the impact behaviors under large constant strain rates. It is observed that fractional model with sinusoidal variable order agrees well with the experimental data of aluminum foams with impact and non-impact surfaces.

COMMENTARY: Beyond the Black Box Revisited: Algorithmic Trading and TCA Analysis Using Excel

2018 ◽  
Keyword(s):  
Decision Process ◽  
Investment Decision ◽  
Black Box ◽  
Third Party ◽  
Algorithmic Trading ◽  
Impact Model ◽  
Market Impact ◽  
Proprietary Information ◽  
Analysis Techniques ◽  
Trading Decisions

In this paper we revisit techniques from “Creating Dynamic Pre-Trade Models: Beyond the Black Box” (Kissell, 2011) which was awarded The Journal of Trading’s Best Paper of the Year Award in 2011. We provide investors a pre-trade of pre-trade modeling technique that can be used to decipher broker and vendor models, and to calibrate a customized investor specific market impact model. We also provide a suite of Excel TCA Add-In functions that can incorporate investor specific market impact parameters and allow investors to perform TCA analysis on their own desktops within Excel, and with the added level of security and comfort that their investment decision process will not be reverse engineered because they do not need to upload or transmit any of their proprietary information and valuable trade information to a third-party website or API for analysis. Techniques in this paper enable investors to create their own customized TCA analyses within Excel to assist with both trading decisions and portfolio analysis and optimization.

scholarly journals Macro and microeconomic analysis of the impact of the covid-19 pandemic in Chile and the projections of the central bank's

2021 ◽  
Vol 8 (3) ◽  
Author(s):  
Rodrigo Barra Novoa
Keyword(s):  
Central Bank ◽  
Medium Term ◽  
Social Growth ◽  
Representative Data ◽  
First Approximation ◽  
Microeconomic Analysis ◽  
The Social ◽  
First Results ◽  
Business Profitability ◽  
The Impact

This article offers a first approximation of the impacts of the COVID-19 pandemic on the Chilean macro and microeconomic environment, using representative data from the latest formal surveys in the country. Here, the number of active firms plummeted in part due to the social crisis that began on October 18, 2019, and losses were felt in most industries due to the pandemic crisis that continues to generate job losses and low business profitability. These first results have implications for central bank policies and can predict medium and medium-term projections, especially for the country's economic and social growth.

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