The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets

2021 ◽  
Author(s):  
Walid Ben Omrane ◽  
Khaled Guesmi ◽  
Qianru Qi ◽  
Samir Saadi
Keyword(s):  
High Frequency ◽  
Macroeconomic News

scholarly journals Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

2021 ◽  
Vol 12 (2) ◽  
pp. 647-682 ◽  
Author(s):  
Torben G. Andersen ◽  
Martin Thyrsgaard ◽  
Viktor Todorov
Keyword(s):  
High Frequency ◽  
Opposite Effect ◽  
Functional Limit ◽  
Cross Sectional ◽  
Macroeconomic News ◽  
Market Index ◽  
Cross Sectional Dimension ◽  
Large Panel ◽  
The Cross ◽  
Over Time

We study the temporal behavior of the cross‐sectional distribution of assets' market exposure, or betas, using a large panel of high‐frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the cross‐sectional dimension of the panel is either fixed or increasing. We derive functional limit results for the cross‐sectional distribution of betas evolving over time. We demonstrate, for constituents of the S&P 500 market index, that the dispersion in betas is elevated at the market open and gradually declines over the trading day. This intraday pattern varies significantly over time and reacts to information shocks such as clustered earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC announcements have the opposite effect on market betas.

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior

1998 ◽  
Vol 33 (3) ◽  
pp. 383 ◽  
Author(s):  
Alvaro Almeida ◽  
Charles Goodhart ◽  
Richard Payne
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Macroeconomic News ◽  
Rate Behavior

scholarly journals Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies

2017 ◽  
Vol 43 ◽  
pp. 37-54 ◽  
Author(s):  
Kam Fong Chan ◽  
Mahesh Chhagan ◽  
Alastair Marsden
Keyword(s):  
High Frequency ◽  
Asia Pacific ◽  
Macroeconomic News ◽  
Cross Border

The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets

2021 ◽  
Author(s):  
Walid Ben Omrane ◽  
Khaled Guesmi ◽  
Qi Qianru ◽  
Samir Saadi
Keyword(s):  
High Frequency ◽  
Macroeconomic News

The Microstructure of Steatite (Protoenstatite)

1985 ◽  
Vol 43 ◽  
pp. 236-237
Author(s):  
W. E. Lee ◽  
A. H. Heuer
Keyword(s):  
High Frequency ◽  
Glass Ceramics ◽  
Magnesium Silicate ◽  
Beam Current ◽  
Glassy Matrix ◽  
Angle Of Incidence ◽  
X Ray ◽  
Mechanical And Electrical Properties ◽  
Argon Ions ◽  
High Temperature Polymorph

IntroductionTraditional steatite ceramics, made by firing (vitrifying) hydrous magnesium silicate, have long been used as insulators for high frequency applications due to their excellent mechanical and electrical properties. Early x-ray and optical analysis of steatites showed that they were composed largely of protoenstatite (MgSiO3) in a glassy matrix. Recent studies of enstatite-containing glass ceramics have revived interest in the polymorphism of enstatite. Three polymorphs exist, two with orthorhombic and one with monoclinic symmetry (ortho, proto and clino enstatite, respectively). Steatite ceramics are of particular interest a they contain the normally unstable high-temperature polymorph, protoenstatite.Experimental3mm diameter discs cut from steatite rods (∼10” long and 0.5” dia.) were ground, polished, dimpled, and ion-thinned to electron transparency using 6KV Argon ions at a beam current of 1 x 10-3 A and a 12° angle of incidence. The discs were coated with carbon prior to TEM examination to minimize charging effects.

Simulations of high-resolution images of amorphous silicon films

1986 ◽  
Vol 44 ◽  
pp. 544-545
Author(s):  
G. Y. Fan ◽  
J. M. Cowley
Keyword(s):  
Electron Microscope ◽  
High Frequency ◽  
Fourier Transformation ◽  
Amorphous Materials ◽  
Low Frequency ◽  
Chromatic Aberration ◽  
Structure Information ◽  
Frequency Components ◽  
High Resolution Images ◽  
Spatial Frequency Spectrum

It is well known that the structure information on the specimen is not always faithfully transferred through the electron microscope. Firstly, the spatial frequency spectrum is modulated by the transfer function (TF) at the focal plane. Secondly, the spectrum suffers high frequency cut-off by the aperture (or effectively damping terms such as chromatic aberration). While these do not have essential effect on imaging crystal periodicity as long as the low order Bragg spots are inside the aperture, although the contrast may be reversed, they may change the appearance of images of amorphous materials completely. Because the spectrum of amorphous materials is continuous, modulation of it emphasizes some components while weakening others. Especially the cut-off of high frequency components, which contribute to amorphous image just as strongly as low frequency components can have a fundamental effect. This can be illustrated through computer simulation. Imaging of a whitenoise object with an electron microscope without TF limitation gives Fig. 1a, which is obtained by Fourier transformation of a constant amplitude combined with random phases generated by computer.

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