Multivariate Hawkes process model of market participants behavior in the high frequency world

2021 ◽  
Vol 08 (01) ◽  
pp. 2050054
Author(s):  
Sugato Chakravarty ◽  
Kiseop Lee ◽  
Yang Xi
Keyword(s):  
Public Sector ◽  
High Frequency ◽  
Process Model ◽  
Hawkes Process ◽  
Transaction Data ◽  
The Public ◽  
Market Participants ◽  
Public Sector Banks ◽  
Average Return ◽  
Causality Relationship

We propose a multivariate Hawkes process to model the interaction between the non-high frequency traders (NHFTs) behavior (Buy and sell) and high frequency traders (HFTs) behavior (Buy and sell). We apply our model to the intraday transaction data of the public sector banks stock in India, which is sampled from March 2012 to June 2012. We find that the mutually-exciting NHFT and HFT behaviors benefit the stocks, which have better average return above the average return of the public sector bank index. We further identify the granger causality relationship for mutually exciting dominating stocks that HFTs activities cause the activities of NHFTs. In other words, NHFTs are market followers in those stocks.

scholarly journals Editorial

2007 ◽  
Vol 6 (2) ◽  
pp. v-vi
Author(s):  
Leena James
Keyword(s):  
Information Technology ◽  
Public Sector ◽  
Social Movement ◽  
Banking Sector ◽  
Work Process ◽  
The Public ◽  
Customer Base ◽  
Public Sector Banks ◽  
National Bank ◽  
The Impact

The eleventh issue of Ushus brings to you a wide variety of scholarly articles encompassing socio-economic and managerial issues. The first paper "Information technology and banking sector with reference to customer satisfaction" focuses on the impact of automation of the public sector banks as per the reflections of the bank officials and the customers. The crest of the article lies in the fact that the customers are being able to keep abreast with the exchange of automation in the modern banking practices and the survey brings out their perception towards it and throws some light on the effective ways to deal with this crisis. The study concludes with the analytical results that public sector bank customers have a positive inclination towards technological upgradation but the banks need to be more flexible in their work process and focus on marketing themselves in order to entrap a larger customer base. The paper titled "Administration of micro-credit by national bank" talks about the successful micro-finance initiatives taken by NABARD how aptly they had been implemented and evolved as a sustainable social movement over a decade now.

scholarly journals Non Performing Assets: A Study of Pithoragarh District Co-Operative Bank Ltd. (Uttarakhand)

2018 ◽  
Vol 8 (03) ◽  
Author(s):  
Vimal Kumar Joshi ◽  
C. S. Joshi
Keyword(s):  
Public Sector ◽  
Banking Sector ◽  
Major Portion ◽  
The Public ◽  
Public Sector Banks ◽  
Nationalised Banks

Now a days the Indian banking sector has been facing serious problems of raising Non – Performing Assets. Non – Performing Assets are a burning topic of concern for the public sector banks, as managing and controlling NPA is very important. A well – built banking sector is significant for a prosperous economy. The crash of banking sector may have an unfavourable blow on other sectors. A banker should be very cautious in lending, because banker is not lending money out of his own pocket. A major portion of the money lent comes from the public deposits and government share. At present NPA is increasing year by year in nationalized banks. According to the RBI data the Gross NPA of nationalised banks as on end of September 2017 hits 7.34 lakh crore. In this direction present paper is undertaken to study the reasons for advances becoming NPA of the Pithoragarh District CO- Operative Bank ltd and to give suitable suggestions to overcome the mentioned problem.

scholarly journals Information Technology and Banking Sector With Reference to Customer Satisfaction

2007 ◽  
Vol 6 (2) ◽  
pp. 1-17
Author(s):  
K J Raman ◽  
A Marcus
Keyword(s):  
Information Technology ◽  
Public Sector ◽  
Banking Sector ◽  
Main Concern ◽  
The Public ◽  
Public Sector Banks ◽  
Wide Range ◽  
New Development ◽  
Chennai City ◽  
The Impact

Raman and Marcus (2007) have studied the impact of Automation in Public sector Banks as per the reflections of bank customers and bank officials belong to Chennai region. Marcus (2006) studied the public sector banks with special reference to selected branches in Chennai city and the perception of customers due to inception of Information Technology in the banking sector. Customers vary in their perception on information technology. In reality, customers are not against for automation and IT inception. The main concern for them is the delay in transaction due to technical snag and the increased cost of operation due to automation. Most of the customers have accounts in the private sector banks and they are well informed about the new development and up gradation that is happening in those banks. The customers believe that crores of money is being spent by the banks in the name of developing software, training the staff in IT and in providing better ambience to keep abreast with the private banks, but the ultimate outcome of which is not noteworthy.The present study is based on the reflections of 674 bank customers of the public sector banks who have various types of bank accounts in the branches of Chennai city. Branches of public sector banks in Chennai city, consisting of 19 nationalized banks and State Bank of India with its 7 Associates were covered in the process. A wide range of customers through various domains of banking operations have been studied to identify their overall perception.

A Process Model for Successful E-Government Adoption in the Least Developed Countries

2012 ◽  
pp. 341-369
Author(s):  
Ahmed Imran ◽  
Shirley Gregor
Keyword(s):  
Public Sector ◽  
Process Model ◽  
Developed Countries ◽  
Theoretical Development ◽  
Least Developed Countries ◽  
Developed Country ◽  
The Public ◽  
Key Stakeholders ◽  
Information And Communication ◽  
High Level

Least developed countries (LDCs), have been struggling to find a workable strategy to adopt information and communication technology (ICT) and e-government in their public sector organizations. Despite a number of high-level initiatives at national and international levels, the progress is still unsatisfactory in this area. Consequently, the countries are failing to keep pace in the global e-government race, further increasing the digital divide. This chapter reports on an exploratory study in a least developed country, Bangladesh, involving a series of focus groups and interviews with key stakeholders. A lack of knowledge and entrenched attitudes and mindsets are seen as the key underlying contributors to the lack of progress. The analysis of the relationships among the major barriers to progress led to a process model, which suggests a pathway for e-government adoption in an LDC such as Bangladesh. The chapter introduces important directions for the formulation of long-term strategies for the successful adoption of ICT in the public sector of LDCs and provides a basis for further theoretical development.

NTPC Public Offer

2010 ◽  
pp. 1-20
Author(s):  
Samir K. Barua ◽  
Sobhesh Kumar Agarwalla
Keyword(s):  
Public Sector ◽  
Thermal Power ◽  
Common Occurrence ◽  
Power Utility ◽  
Large Power ◽  
The Public ◽  
Market Participants ◽  
The Government ◽  
Public Offer

Disinvestment of government shareholding in Public Sector Undertakings, through Public Offers, is a common occurrence in many economies. This case describes such a process of disinvestment of the government of India's stake in a large power utility, National Thermal Power Corporation (NTPC) in India. In addition to process details, the case contains information and data that make it possible to rigorously analyze the response of market participants and the resulting changes in the prices of shares of NTPC before, during and after the public offer.

Banking in India: Evolution, Performance, Growth and Future

2020 ◽  
Vol 66 (3) ◽  
pp. 312-326
Author(s):  
Nand L Dhameja ◽  
Shilpa Arora
Keyword(s):  
Economic Development ◽  
Public Sector ◽  
Banking Sector ◽  
Financial System ◽  
Significant Part ◽  
The Public ◽  
Public Sector Banks ◽  
Bright Future ◽  
Private Banks ◽  
Performance Challenges

Banks, a significant part of financial system of a country, are essential for its economic development. They have developed over the years and are faced with the challenges for the bright future. The article discusses development and future of banking sector in India in the light of the reforms over the years and is divided into four parts. The paper traces evolution and significance of banking, discusses reforms during pre-liberalisation and post-liberalisation as recommended by various Committees, namely, Narasimham Committees (1991 & 1998), Verma Committee (1996) and Khan Committee (1997) along with the structural and operational reforms. The performance challenges in terms of fee-based income, profitability, credit deposit ratio, business and profitability per employee are highlighted, comparing the public sector banks and private banks.

HRM Practices In Commercial Banks: A Discriminant Analysis Among Public And Private Sector Banks

Think India ◽  
2019 ◽  
Vol 22 (2) ◽  
pp. 214-221
Author(s):  
E. RUSHIT GNANA ROY ◽  
P. JEGAN
Keyword(s):  
Public Sector ◽  
Human Resources ◽  
Private Sector ◽  
Banking Industry ◽  
Public And Private ◽  
The Public ◽  
Public Sector Banks ◽  
Hrm Practices ◽  
Knowledge Based ◽  
Public And Private Sector

Since the banking industry is a knowledge based industry it is essential to transfer the staff recruited into valuable human resources for the banks. It can be done by the provision of adequate skills, knowledge, competences and talents to the human resources. The investment n HRM is essential and inevitable in banking industry, since the return on investment on HRM practices for higher than its cost. With this background, that rate of implementation of HRM practices is banks was analysed. The study revealed that implementation of HRM practices at private sector banks are higher compared to public sector banks. The public sector banks should realise the importance of implementation of HRM practice in order to enrich their performance.

Corruption and Public Sector Borrowing in EU Transition Economies

2021 ◽  
pp. 646-656
Author(s):  
Omer Faruk Ozturk
Keyword(s):  
Public Sector ◽  
Transition Economies ◽  
Public Debt ◽  
Causality Test ◽  
The Public ◽  
Institutional Economic ◽  
Private Interests ◽  
Causality Tests ◽  
Causality Relationship ◽  
State Employees

Corruption can be expressed as the abuse of public power for specific purposes and goals. The corruption in the public sector occurs as a result of state employees acting upon the private interests rather than public interest. The public borrowing policy is important for ensuring and maintaining the economic stability in a country. The high level of public borrowing is one of the important factors leading macroeconomic instability. Many institutional, economic, social, and political factors have been revealed as the determinants of public sector borrowing level. In this study, the causality relationship between corruption and public debt in 11 EU transition economies for the period of 2002-2017 was analyzed through causality tests of Kónya and Dumitrescu and Hurlin. Kónya panel bootstrap causality test revealed a one-way causality from public debt borrowing to corruption Croatia, Czechia, Hungary, Romania, and Slovenia and a one-way causality from corruption to public debt borrowing in Bulgaria, Estonia, Lithuania, Poland, Slovakia, and Slovenia. The Dumitrescu and Hurlin causality test discovered a bidirectional causality relationship between public debt borrowing and corruption.

A Process Model for Successful E-Government Adoption in the Least Developed Countries

2011 ◽  
pp. 321-350
Author(s):  
Ahmed Imran ◽  
Shirley Gregor
Keyword(s):  
Public Sector ◽  
Process Model ◽  
Developed Countries ◽  
Theoretical Development ◽  
Least Developed Countries ◽  
Developed Country ◽  
The Public ◽  
Key Stakeholders ◽  
Information And Communication ◽  
High Level

Least developed countries (LDCs), have been struggling to find a workable strategy to adopt information and communication technology (ICT) and e-government in their public sector organizations. Despite a number of high-level initiatives at national and international levels, the progress is still unsatisfactory in this area. Consequently, the countries are failing to keep pace in the global e-government race, further increasing the digital divide. This chapter reports on an exploratory study in a least developed country, Bangladesh, involving a series of focus groups and interviews with key stakeholders. A lack of knowledge and entrenched attitudes and mindsets are seen as the key underlying contributors to the lack of progress. The analysis of the relationships among the major barriers to progress led to a process model, which suggests a pathway for e-government adoption in an LDC such as Bangladesh. The chapter introduces important directions for the formulation of long-term strategies for the successful adoption of ICT in the public sector of LDCs and provides a basis for further theoretical development.

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