Information and volatility linkages across energy and financial markets

2019 ◽  
Vol 44 (4) ◽  
pp. 594-613 ◽  
Author(s):  
Ashley Ding
Keyword(s):  
Financial Markets ◽  
Implied Volatility ◽  
Energy Transition ◽  
Jel Classification ◽  
Common Information ◽  
Trading Model ◽  
The Common ◽  
Information Linkages ◽  
Volatility Linkages ◽  
Impacts Of Climate Change

This study examines information and volatility linkages across energy and financial markets. In a world economy so connected, the impacts of climate change are likely to be transmitted through interlinked global markets. Hence, uncovering and understanding the interaction across these markets is a fundamental concern during the energy transition as it helps to understand how to strengthen incentives to facilitate energy investments. Based on the relation between information flows and volatility, this study employs a simple correlation approach based on implied volatility measures and the trading model of Fleming et al. to measure the common information linkages, as gauged by the correlation of return volatilities. The results suggest that volatility linkages across these markets are strong due to common information sharing and cross-market hedging. JEL Classification: G12, G14

Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices

2019 ◽  
Vol 18 (3) ◽  
pp. 263-289 ◽  
Author(s):  
Gagan Sharma ◽  
Parthajit Kayal ◽  
Piyush Pandey
Keyword(s):  
International Finance ◽  
Implied Volatility ◽  
Jel Classification ◽  
Brics Countries ◽  
Volatility Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Portfolio Managers ◽  
Information Linkages ◽  
Autoregressive Conditional Heteroscedasticity

In this article, we examine the information linkages of the forward-looking measure of volatility, the volatility index (VIX), for underlying equity market indices of BRICS countries—Brazil, Russia, India, China and South Africa. A study of the information transmission process confirmed a long-run equilibrium relationship between pairs of BRICS countries. The multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) model revealed strong intertemporal linkages between sample VIX. Return and volatility spill-over matrix show the varying degree of connectedness of BRICS VIX across the study period. This study contributes to the international finance literature and has important implications for investors, portfolio managers, policymakers and academia. JEL Classification: C58, F36, G11, G14, G15

scholarly journals The role of youth in the climate change debate

2019 ◽  
Vol 29 (Supplement_4) ◽  
Author(s):  
P Van Den Hazel
Keyword(s):  
Climate Change ◽  
Young People ◽  
Energy Transition ◽  
Business Leaders ◽  
Sustainable Lifestyles ◽  
Raising Awareness ◽  
The World ◽  
The Face ◽  
Indirect Impacts ◽  
Impacts Of Climate Change

Abstract The impacts of climate change are not distributed equally. Some people will experience natural disasters first hand, some will be affected more gradually over time, and some will experience only indirect impacts. There are data from the United nations that show the interest of youth on climate change. Close to half a million youth around the world have taken action on climate change through SGP [small grants programmes] projects in their homes, schools and communities. (UNDP, 2015). 84% of the surveyed young people agree that they need more information to prevent climate change. (UNEP, 2011). Furthermore, about 73% of surveyed youth say they currently feel the effects climate change. (UNEP, GlobeScan Survey, 2008). Some 89% of youth respondents say young people can make a difference on climate change. [UNEP, 2008]. But only 9% of youth are very confident the world will act quickly enough to address climate change. [UNEP, 2008]. Young people are key actors in raising awareness, running educational programmes, promoting sustainable lifestyles, conserving nature, supporting renewable energy, adopting environmentally-friendly practices and implementing adaptation and mitigation projects[UNFCCC]. Action by youth, as protest school strikes or speeches to the UN by Greta Thunberg, urge immediate action from governments, business leaders and school leaders. There are different reasons for this action by youth. The psycho-social impacts of a changing climate are generally under lighted in these reasons. Are the responses by society enough to minimize suffering and promote resilience of youth in the face of the challenging impacts of climate change? Or do governments and businesses enough while they increasingly seem to be moving toward action on climate change, as they proclaim to cut their own emissions or be active in their energy transition? It is not clear whether those actions are enough to satisfy the next generation of customers, employees and decision makers.

scholarly journals Effective Application of Improved Profit-Mining Algorithm for the Interday Trading Model

2014 ◽  
Vol 2014 ◽  
pp. 1-13 ◽  
Author(s):  
Yu-Lung Hsieh ◽  
Don-Lin Yang ◽  
Jungpin Wu
Keyword(s):  
Financial Markets ◽  
Real World ◽  
Traditional Approach ◽  
Rule Mining ◽  
Mining Algorithm ◽  
Large Databases ◽  
Real World Applications ◽  
Trading Model ◽  
Mining Algorithms ◽  
Infant Stage

Many real world applications of association rule mining from large databases help users make better decisions. However, they do not work well in financial markets at this time. In addition to a high profit, an investor also looks for a low risk trading with a better rate of winning. The traditional approach of using minimum confidence and support thresholds needs to be changed. Based on an interday model of trading, we proposed effective profit-mining algorithms which provide investors with profit rules including information about profit, risk, and winning rate. Since profit-mining in the financial market is still in its infant stage, it is important to detail the inner working of mining algorithms and illustrate the best way to apply them. In this paper we go into details of our improved profit-mining algorithm and showcase effective applications with experiments using real world trading data. The results show that our approach is practical and effective with good performance for various datasets.

scholarly journals Vínculos entre la Escuela Austriaca de Economía y el método de la inversión en valor

2021 ◽  
pp. 255-304
Author(s):  
Diego E. Quijano Durán
Keyword(s):  
Common Sense ◽  
Jel Classification ◽  
Austrian School ◽  
Economic Calculation ◽  
Austrian School Of Economics ◽  
Value Investing ◽  
Palabras Clave ◽  
The World ◽  
The Common

The Austrian school of economics and the investment method known as value investing have a similar conception of the world, so that it is possible to find multiple links between them and form a coherent structure. To the economist, this allows for a much deeper understanding of the entrepreneurial function and the manner in which economic calculation is actually performed. To the investor, it offers a theoretical framework that explains economic phenomena, permitting him to better understand the role of the entrepreneur and to protect his investment when dangerous patterns can be observed. In this essay, we begin from the common stance of both schools of thought towards common sense, the use of realistic assumptions, the importance of prudence and the low value of complex mathematics in the fields of economics and finance. We then proceed to develop in greater depth nine aspects that have strong philosophical and scientific links. Key words: Value investing, Austrian school of economics, entrepreneurship, dynamic efficiency, economic calculation. JEL Classification: A12, G17, M20. Resumen: La Escuela Austriaca de Economía y el método de inversión en valor tienen una concepción similar del mundo que permite entrelazarlas coherentemente. Al economista, le permite profundizar el conocimiento del ejercicio de la función empresarial y la realización del cálculo económico en la práctica. Al inversor, le ofrece un marco teórico para comprender mejor el papel del empresario y los fenómenos económicos y detectar temprano patrones peligrosos y así protegerse. En este trabajo partimos de la base de que ambas escuelas de pensamiento tienen sus raíces en el sentido común y los supuestos realistas, que son prudentes a la hora de ver el futuro y que dudan de la utilidad de las matemáticas complejas en los campos económicos y financieros. Sobre ello, desarrollamos nueve aspectos en los cuales hay fuertes conexiones como, por ejemplo, la manera en que el ejercicio de la empresarialidad mejora la eficiencia del mercado y coordina los planes de las personas. Palabras clave: Inversión en valor, escuela austriaca de economía, empre-sarialidad, eficiencia dinámica, cálculo económico. Clasificación JEL: A12, G17, M20.

Website Fingerprinting in the Age of QUIC

2021 ◽  
Vol 2021 (2) ◽  
pp. 48-69
Author(s):  
Jean-Pierre Smith ◽  
Prateek Mittal ◽  
Adrian Perrig
Keyword(s):  
Transport Protocol ◽  
Limited Data ◽  
Web Traffic ◽  
Common Information ◽  
Feature Importance ◽  
The Common ◽  
Http Protocol

Abstract With the meteoric rise of the QUIC protocol, the supremacy of TCP as the de facto transport protocol underlying web traffic will soon cease. HTTP/3, the next version of the HTTP protocol, will not support TCP. Current website-fingerprinting literature has ignored the introduction of this new protocol to all modern browsers. In this work, we investigate whether classifiers trained in the TCP setting generalise to QUIC traces, whether QUIC is inherently more difficult to fingerprint than TCP, how feature importance changes between these protocols, and how to jointly classify QUIC and TCP traces. Experiments using four state-of-theart website-fingerprinting classifiers and our combined QUIC-TCP dataset of ~117,000 traces show that while QUIC is not inherently more difficult to fingerprint than TCP, TCP-trained classifiers may fail to detect up to 96% of QUIC visits to monitored URLs. Furthermore, classifiers that take advantage of the common information between QUIC and TCP traces for the same URL may outperform ensembles of protocol-specific classifiers in limited data settings.

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