scholarly journals INFORMATION CONTENT OF INTER-TRANSACTION TIME: A STRUCTURAL APPROACH

2015 ◽  
Vol 16 (4) ◽  
pp. 697-711 ◽  
Author(s):  
Doojin Ryu
Keyword(s):  
Regression Analysis ◽  
Information Content ◽  
Market Microstructure ◽  
Futures Market ◽  
Informed Trading ◽  
Significant Information ◽  
Trade Size ◽  
Microstructure Model ◽  
Intraday Data

This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant information, and that fast trading is indicative of informed trading. This result remains robust when the effect of trade size is incorporated into the model. Our regression analysis indicates that the information role of inter-transaction time becomes more important when informed trading is less concentrated, liquidity is lower, and the market is more volatile.

scholarly journals COMPREHENSIVE MARKET MICROSTRUCTURE MODEL: CONSIDERING THE INVENTORY HOLDING COSTS

2017 ◽  
Vol 18 (2) ◽  
pp. 183-201 ◽  
Author(s):  
Doojin RYU
Keyword(s):  
Information Content ◽  
Market Microstructure ◽  
Futures Market ◽  
Market Liquidity ◽  
Significant Information ◽  
Holding Costs ◽  
Spread Dynamics ◽  
Microstructure Model ◽  
Inventory Holding ◽  
Indicator Model

The purpose of this study is to propose a structural market microstructure model and examine the intraday price and spread dynamics in a highly liquid market. We extend the model of Madhavan, Richardson, and Roomans to devise a comprehensive order indicator model that considers the order duration, order size, market liquidity, and most importantly, inventory holding costs. Our empirical analyses on the KOSPI200 futures market indicate that the inventory holding costs of liquidity suppliers explain a significant portion of model-implied spreads. Meanwhile, the duration and size of traded orders convey significant information content on the inventory holding component. Market liquidity is also an important consideration for futures traders who have to manage their inventory holding costs.

On the Determinants of Basis Spread for Taiwan Index Futures and the Role of Speculators

2014 ◽  
Vol 17 (01) ◽  
pp. 1450002 ◽  
Author(s):  
Charles Chang ◽  
Emily Lin
Keyword(s):  
Futures Market ◽  
Informed Trading ◽  
Index Futures ◽  
Intraday Data ◽  
Arbitrage Strategy

This paper investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and informed trading continue to widen spreads despite the fact that a naïve arbitrage strategy outperforms the market.

scholarly journals The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types

Risks ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 111
Author(s):  
Jatin Malhotra ◽  
Angelo Corelli
Keyword(s):  
Significant Relationship ◽  
Price Discovery ◽  
Futures Market ◽  
Futures Contracts ◽  
Information Share ◽  
Relative Contribution ◽  
Intraday Data ◽  
Chicago Mercantile Exchange

This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future’s information share (IS) can be explained by the positioning of commercial and non-commercial traders. We find a positive significant relationship between IS and both the speculative trade position and hedgers trade position. The results support the conclusion that the IS of regular futures can be better explained by speculators than hedgers.

Plasma Levels of Protein S, Protein C, and Factor X: Effects of Sex, Hormonal State and Age

1995 ◽  
Vol 74 (05) ◽  
pp. 1271-1275 ◽  
Author(s):  
C M A Henkens ◽  
V J J Bom ◽  
W van der Schaaf ◽  
P M Pelsma ◽  
C Th Smit Sibinga ◽  
...  
Keyword(s):  
Regression Analysis ◽  
Postmenopausal Women ◽  
Protein C ◽  
Blood Donors ◽  
Premenopausal Women ◽  
Protein S ◽  
The Other ◽  
Factor X ◽  
Normal Ranges

SummaryWe measured total and free protein S (PS), protein C (PC) and factor X (FX) in 393 healthy blood donors to assess differences in relation to sex, hormonal state and age. All measured proteins were lower in women as compared to men, as were levels in premenopausal women as compared to postmenopausal women. Multiple regression analysis showed that both age and subgroup (men, pre- and postmenopausal women) were of significance for the levels of total and free PS and PC, the subgroup effect being caused by the differences between the premenopausal women and the other groups. This indicates a role of sex-hormones, most likely estrogens, in the regulation of levels of pro- and anticoagulant factors under physiologic conditions. These differences should be taken into account in daily clinical practice and may necessitate different normal ranges for men, pre- and postmenopausal women.

Moderating Role of Learning Strategies Between Meta-Cognitive Awareness and Study Habits Among University Students

2019 ◽  
Vol 34 (Spring 2019) ◽  
pp. 215-231
Author(s):  
Mussarat J. Khan ◽  
Seemab Rasheed
Keyword(s):  
Regression Analysis ◽  
Resource Management ◽  
University Students ◽  
Learning Strategies ◽  
Management Strategies ◽  
Cognitive Strategies ◽  
Study Habits ◽  
Good Reliability ◽  
Cognitive Awareness

The purpose of present study is to examine the role of learning strategies as moderator between meta-cognitive awareness and study habits among university students. Sample comprises of 200 students (100 male students and 100 female students) of various universities of Islamabad and Rawalpindi with age ranging from 18-25 years. In order to assess study variables questionnaires were used included Meta-Cognitive Awareness Inventory (Schraw & Dennison, 1994) measuring two-components of meta-cognition that are knowledge and regulation of cognition. Study habits demonstrated by the students were measured by the Study Habits Inventory (Wrenn, 1941). Motivated Strategies for Learning Questionnaire (Pintrich, Smith, Garcia, & McKeachie, 1991) which includes motivation and learning strategies scales. In the present study, only the learning strategies section was utilized, which measures the cognitive strategies and resource management strategies. Results revealed positive correlation between research instruments and are also having good reliability. Regression analysis reflected that meta-cognitive awareness predicts study habits among university students. Regression analysis also suggested that learning strategies including resource management strategies and cognitive strategies significantly moderates the relationship between meta-cognitive awareness and study habits. It is also explored gender differences on learning strategies, meta-cognitive awareness and study habits. Future implications of the study were also discussed.

PENGARUH KUALITAS PRODUK DAN RELIGIUSITAS TERHADAP KEPUTUSAN NASABAH PRODUK SIMPANAN PADA BSM CABANG PURWOKERTO

2017 ◽  
Vol 4 (1) ◽  
pp. 189-215
Author(s):  
Yoiz Shofwa Shafrani
Keyword(s):  
Regression Analysis ◽  
Product Quality ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Analytical Tool ◽  
The Other ◽  
Financial Assets ◽  
Islamic Bank

Perkembangan dunia perbankan syariah tidak lepas dari peran para nasabah yang memberikan kepercayaan terhadap pihak perbankan untuk penyimpanan asset keuangannya. Faktanya banyak kelompok nasabah yang memutuskan untuk menjadi nasabah di perbankan syariah karena faktor religiusitasnya. Faktor lain yang dapat ikut mempengaruhi keputusan nasabah adalah kualitas produk. Di mana kualitas produk merupakan karakteristik yang melekat dari suatu produk. Kemungkinan yang terjadi bahwa kebanyakan nasabah pada perbankan syariah juga masih merupakan nasabah perbankan konvensional.Tujuan yang ingin dicapai dalam penelitian ini adalah untuk mengetahui pengaruh kualitas produk dan tingkat religiusitas nasabah terhadap keputusan nasabah untuk menyimpan dananya atau tidak di BSM Cabang Purwokerto. Alat analisis yang digunakan adalah analisis regresi linier berganda, dengan jumlah sampel 100 nasabah. Diperoleh hasil Y = 5,046 + 0,101X1 + 0,218X2. Berdasarkan uji F yang sudah dilakukan maka dapat diketahui bahwa variabel kualitas produk dan religiusitas secara bersama – sama berpengaruh terhadap keputusan nasabah untuk menyimpan dananya di BSM Cabang Purwokerto. Berdasarkan uji t yang sudah dilakukan dapat diketahui bahwa secara partial baik variabel kualitas produk maupun variabel religiusitas berpengaruh terhadap keputusan nasabah untuk menyimpan dananya di BSM Cabang Purwokerto. The progress of the Islamic bank cannot be separated from the role of its customers who give trust to the bank to deposit their financial assets. It is a fact many groups of customers decide to be the customers of the Islamic bank because of their religiosity. The other influences factor of a customer’s decision is the quality of the product. The aim of this research was to determine the effect of product quality and level of customers’ religiosity towards customers’ decision whether to keep their funds in Syariah Mandiri Bank, Branch of Purwokerto, or not. The analytical tool used was multiple linear regression analysis, with a sample of 100 customers. The results indicate Y = 5,046 + 0,101X1 + 0,218X2. Based on F, it can be seen that both variables of product quality and religiosity simultanously affect the customers’ decision to keep theirfunds in BSM Branch of Purwokerto. Based on t test, it can be seen that independently, either variable of product quality or variables of religiosityinfluences the customers’ decision to keep their funds in BSM Branch of Purwokerto.

The role of information structure in the instantiation of objects: Evidence from Amazonian Spanish

2020 ◽  
Vol 13 (1) ◽  
pp. 219-245
Author(s):  
Rosa Vallejos ◽  
Evelyn Fernández-Lizárraga ◽  
Haley Patterson
Keyword(s):  
Regression Analysis ◽  
Information Structure ◽  
Mixed Model ◽  
Linguistic Variables ◽  
Social Variables ◽  
Null Objects ◽  
The Impact ◽  
Role Of Information ◽  
Activation Status

AbstractThis study analyzes the instantiation of objects in Peruvian Amazonian Spanish (PAS) discourse in two communities with distinct linguistic contexts. We examine the impact of two social variables (gender and place) and nine linguistic variables (transitivity, animacy, definiteness, anaphora function, anaphora expression, cataphora function, cataphora expression, activation, topic persistence) on the speech of eight participants. Our findings indicate that null instantiation in PAS is pervasive, occurring with a range of verb lexemes. While neither gender nor place are significant predictors of null objects, various linguistic variables contribute to the instantiation of objects. The five significant variables as determined by a mixed model regression analysis include the following: animacy, definiteness, anaphora expression, cataphora expression, and activation status. Several findings are consistent with previous research (e. g. human and definite referents disfavor null objects), while other results differ (e. g. PAS propositions disfavor null objects). Activation status and anaphora expression are the most significant predictors of null objects in PAS. In particular, highly accessible referents in discourse and anaphoric null objects favored null objects in subsequent clauses. Thus, the results in the present study demonstrate the pivotal role of information structure in object instantiation, furthering the discussion on syntax-discourse interplay phenomena.

Relation of Fatigue with Alexithymia and Depression in Psychiatric Outpatients

2007 ◽  
Vol 105 (2) ◽  
pp. 539-545
Author(s):  
Thomas N. Wise ◽  
Michael J. Sheridan
Keyword(s):  
Primary Care ◽  
Regression Analysis ◽  
Psychosocial Stress ◽  
Multivariate Regression ◽  
Multivariate Regression Analysis ◽  
Psychiatric Outpatients ◽  
The Mean

The complaint of fatigue is common in community, primary care, and psychiatric settings. Fatigue is often associated with depression and psychosocial stress. This report investigated the role of alexithymia and depression in fatigue as reported in a sample of 151 psychiatric outpatients (75 men and 76 women) who completed all scales. The mean age of the sample was 45.5 yr. ( SD = 12.5), and mean education was 16.2 yr. ( SD = 2.4). Fatigue was inversely correlated with education (–.16) and positively correlated with depression (.44), anxiety (.30), and alexithymia (.35). However, in a multivariate regression analysis, only depression and alexithymia remained significant ( p ≤ .01).

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