Algorithmic Trading and Transaction Costs

2020 ◽  
pp. 189-219
Author(s):  
George Chalamandaris ◽  
Dimitrios Antonopoulos
Keyword(s):  
Transaction Costs ◽  
Hedge Fund ◽  
Relative Volume ◽  
Trading Strategies ◽  
Algorithmic Trading ◽  
Price Momentum ◽  
Out Of Sample ◽  
High Level ◽  
Implicit Transaction Costs

“Algos” are algorithmic trading strategies that are meant to optimize the execution quality of the trades in terms of transaction costs and market-timing. This chapter presents the transaction costs taxonomy and popular algorithmic execution strategies. Authors empirically examine a dataset of hedge fund transactions. Our results suggest that implicit transaction costs are characterized by a significant buy-sell asymmetry. To get some insight about the possible determinants of Implicit Transaction Costs, authors investigate the algo type and stock characteristics such as market capitalization, relative volume, inverse prior close, price momentum, buy indicator and trade duration. Both in-sample and out-of-sample tests show that a significant portion of transaction costs can be anticipated before the trade execution. Results show that high-level execution strategies can be constructed to optimize the algo choice.

scholarly journals IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING

2017 ◽  
Vol 20 (04) ◽  
pp. 1750024 ◽  
Author(s):  
ERINDI ALLAJ
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Price Impact ◽  
Quadratic Variation ◽  
Trading Strategies ◽  
Arbitrage Pricing Theory ◽  
Bid Ask Spread ◽  
Bid Price ◽  
Equivalent Probability Measure ◽  
Implicit Transaction Costs

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume. The investors in the market always buy at the ask and sell at the bid price. Implicit transaction costs are composed of two terms, one is able to capture the bid-ask spread, and the second the price impact. Moreover, a new definition of a self-financing portfolio is obtained. The self-financing condition suggests that continuous trading is possible, but is restricted to predictable trading strategies having cádlág (right-continuous with left limits) and cáglád (left-continuous with right limits) paths of bounded quadratic variation and of finitely many jumps. That is, cádlág and cáglád predictable trading strategies of infinite variation, with finitely many jumps and of finite quadratic variation are allowed in our setting. Restricting ourselves to cáglád predictable trading strategies, we show that the existence of an equivalent probability measure is equivalent to the absence of arbitrage opportunities, so that the first fundamental theorem of asset pricing (FFTAP) holds. It is also shown that the use of continuous and bounded variation trading strategies can improve the efficiency of hedging in a market with implicit transaction costs. To better understand how to apply the theory proposed we provide an example of an implicit transaction cost economy that is linear and nonlinear in the order size.

Heart Rate Recovery Changes during Competition Period in High-Level Basketball Players

2018 ◽  
Vol 1 (80) ◽  
Author(s):  
Audrius Gocentas ◽  
Anatoli Landõr ◽  
Aleksandras Kriščiūnas
Keyword(s):  
Heart Rate ◽  
Heart Rate Recovery ◽  
Team Sports ◽  
Basketball Players ◽  
Coeffi Cients ◽  
Competition Period ◽  
Monitoring Training ◽  
Intense Training ◽  
High Level

Research background and hypothesis. Replete schedule of competitions and intense training are features of contemporary team sports. Athletes, especially the most involved ones, may not have enough time to recover. As a consequence, aggregated fatigue can manifest in some undesirable form and affect athlete’s performance and health.Research aim. The aim of this study was to evaluate the changes in heart rate recovery (HRR) and investigate possible relations with sport-specifi c measures of effi cacy in professional basketball players during competition season.Research methods. Eight male high-level basketball players (mean ± SD, body mass, 97.3 ± 11.33 kg; height 2.02 ± 0.067 m, and age 23 ± 3.12 years) were investigated. The same basketball specifi c exercise was replicated several times from September till April during the practice sessions in order to assess the personal trends of HRR. Heart rate monitoring was performed using POLAR TEAM SYSTEM. Investigated athletes were ranked retrospectively according to the total amount of minutes played and the coeffi cients of effi cacy. Research results. There were signifi cant differences in the trends of HRR between the investigated players. The most effective players showed decreasing trends of HRR in all cases of ranking.Discussion and conclusions. Research fi ndings have shown that the quality of heart rate recovery differs between basketball players of the same team and could be associated with sport-specifi c effi cacy and competition playing time.Keywords: adaptation, autonomic control, monitoring training.

About Innovative Content of Subject-Oriented Pedagogical Education

2019 ◽  
Vol 28 (10) ◽  
pp. 106-117
Author(s):  
R. M. Asadullin
Keyword(s):  
Teacher Education ◽  
Teacher Training ◽  
Educational Process ◽  
Professional Activity ◽  
Subject Knowledge ◽  
Technological Structure ◽  
State Pedagogical ◽  
High Level ◽  
Competencies Development

The continuous modernization of the education system makes the problems of the quality of teacher training increasingly relevant. Moreover, the measures taken to improve the system of teacher education are largely confined to the introduction of new organizational and managerial mechanisms and practically do not affect the internal content and technological structure of the teacher training process.Modern pedagogical universities are constantly looking for innovative models of training teachers that will be able to solve non-standard social and professional tasks. However, recent studies in this area do not fully take into account the nature of pedagogical activity and conditions of its formation. Thus, the need arises for a special study of the processes and means of updating the content and technologies of teacher training in order to control the level of students’ professional competencies development, as required by educational and professional standards. This means the creation of a special educational system in a pedagogical university, which can provide a harmonious and synchronous mastering by future specialists of both subject knowledge and methods of pedagogical activity.The article provides a theoretical study aimed at identifying key patterns of designing a new content for teacher education, the basis of which is the formation of a future teacher as a subject of his own professional activity. The author describes the experience of using a subject-oriented model of education, implemented at Bashkir State Pedagogical University n.a. M. Akmulla. The effectiveness of this model is confirmed by the high level of students’ mastery of designing methods and constructing the educational process, as well as their positive experience in the implementation of educational activities.

Analisis Soal Matematika Tipe Higher Order Thinking Skills (HOTS) Tingkat SMP

2020 ◽  
Vol 2 (2) ◽  
pp. 112-129
Author(s):  
Lelly Oktafiana ◽  
Iis Holisin ◽  
Himmatul Mursyidah
Keyword(s):  
Power Level ◽  
Thinking Skills ◽  
Higher Order Thinking Skills ◽  
National Examination ◽  
Class Viii ◽  
Valid Test ◽  
Grade Material ◽  
Data Collection Technique ◽  
High Level

This study aims to describe the quality of the 2018 Mathematics National Examination (UN) in the HOTS types at the junior high level in terms of the level of validity, reliability, problem differentiation power, level of difficulty and distractor. This type of research is a descriptive study. The research was conducted at SMP Muhammadiyah 4 Surabaya and SMP Negeri 13 Surabaya for students in class VIII. The data collection technique used is a test. The test was taken from the 2018 math UN questions in odd semester VIII grade material including HOTS type. The number of UN mathematics questions in 2018 in the odd semester VIII class material consisted of 12 questions with 25% including LOTS types and 75% including HOTS types. The results showed: (1) 100% valid test questions, (2) high question reliability, (3) good problem differentiation power, (4) the difficuly level of the question 77,77% categorized as moderate and 2 question 22,23% are categorized as difficult, (5) there are 2 questions with one of the answer options do not work.

Hedge Fund Performance Persistence and Mixed Trading Strategies

2016 ◽  
Author(s):  
Dimitrios Stafylas ◽  
Keith P. Anderson ◽  
Muhammad Moshfique Uddin
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Trading Strategies ◽  
Performance Persistence ◽  
Hedge Fund Performance

scholarly journals Evaluation of Physiological and Quality Parameters of Green Asparagus Spears Subjected to Three Treatments against the Decline Syndrome

Agronomy ◽  
2021 ◽  
Vol 11 (5) ◽  
pp. 937
Author(s):  
Francisco Javier López-Moreno ◽  
Santiago Atero-Calvo ◽  
Eloy Navarro-León ◽  
Begoña Blasco ◽  
Teresa Soriano ◽  
...  
Keyword(s):  
Early Death ◽  
Amino Acid Profile ◽  
Quality Parameters ◽  
Asparagus Officinalis ◽  
Chicken Manure ◽  
Economic Losses ◽  
Whole Plants ◽  
High Level ◽  
Green Asparagus

Green asparagus (Asparagus officinalis L.) is a widely grown and consumed crop which provides high-level nutritional interest. In recent years, the decline syndrome in asparagus plantations has been rapidly augmenting. This syndrome causes the early death of whole plants, also negatively affecting the new replanting. Decline causes notable economic losses in the sector. The objective of this work was to verify the effect of different treatments against asparagus decline syndrome on the physiological parameters and nutritional quality of the spears. To meet the objective, four different treatments were applied to asparagus plots strongly affected by decline syndrome: (T1) untreated control soil, (T2) biofumigation with Brassica pellets, (T3) biofumigation with chicken manure pellets, and (T4) disinfestation of the soil with Dazomet. The cumulative yield and physiological and quality parameters of green asparagus spears were studied. Thus, malondialdehyde (MDA), photosynthetic pigments, glutathione (GSH), ascorbate (AsA), total phenols, flavonoids, anthocyanin, antioxidant test, mineral nutrients, and the amino acid profile were measured on asparagus spears. The results showed that the Brassica pellets and Dazomet treatments were the most effective against the damage caused by the decline syndrome. However, it would be necessary to monitor the evolution in the following years.

scholarly journals AI-based localization and classification of skin disease with erythema

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Ha Min Son ◽  
Wooho Jeon ◽  
Jinhyun Kim ◽  
Chan Yeong Heo ◽  
Hye Jin Yoon ◽  
...  
Keyword(s):  
Neural Network ◽  
Skin Diseases ◽  
Classification Model ◽  
Screening Tests ◽  
Sensitivity Score ◽  
Common Skin ◽  
Novel Method ◽  
Improved Performance ◽  
High Level

AbstractAlthough computer-aided diagnosis (CAD) is used to improve the quality of diagnosis in various medical fields such as mammography and colonography, it is not used in dermatology, where noninvasive screening tests are performed only with the naked eye, and avoidable inaccuracies may exist. This study shows that CAD may also be a viable option in dermatology by presenting a novel method to sequentially combine accurate segmentation and classification models. Given an image of the skin, we decompose the image to normalize and extract high-level features. Using a neural network-based segmentation model to create a segmented map of the image, we then cluster sections of abnormal skin and pass this information to a classification model. We classify each cluster into different common skin diseases using another neural network model. Our segmentation model achieves better performance compared to previous studies, and also achieves a near-perfect sensitivity score in unfavorable conditions. Our classification model is more accurate than a baseline model trained without segmentation, while also being able to classify multiple diseases within a single image. This improved performance may be sufficient to use CAD in the field of dermatology.

scholarly journals Comparing quality of life between patients undergoing trans-areola endoscopic thyroid surgery and trans-oral endoscopic thyroid surgery

BMC Surgery ◽  
2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Shuang Shen ◽  
Xiaochi Hu ◽  
Rui Qu ◽  
Youming Guo ◽  
Libo Luo ◽  
...  
Keyword(s):  
Quality Of Life ◽  
Thyroid Surgery ◽  
Short Form ◽  
Endoscopic Thyroidectomy ◽  
Operation Time ◽  
Endoscopic Thyroid Surgery ◽  
Sf 36 ◽  
Areola Approach ◽  
High Level

Abstract Background Compared with conventional open surgery, endoscopic thyroidectomy via the oral vestibular approach (ETVOA) and endoscopic thyroidectomy via the areola approach (ETAA) avoided scarring of the skin, which may help patients achieve a better quality of life (QOL). However, the benefit of the QOL from this technique has not been adequately investigated, therefore this study compared the QOL outcomes between ETVOA and ETAA. Methods 131 patients were enrolled in this study. ETAA surgery and ETVOA surgery were performed in 74 patients and 57 patients, respectively. These patients were followed up at 2 weeks, 4 weeks, and 8 weeks, and their QOL was evaluated using a thyroid surgery-specific questionnaire and a short-form health survey (SF-36). Results There were no differences in clinical characteristics such as gender, age, body mass index (BMI), and tumor size between the two groups. The volume of intraoperative blood loss, cost of hospitalization, and complications between the two procedures showed no differences. Compared with ETAA, ETVOA has a longer operation time, no drainage, and shorter hospital stay. In the QOL questionnaire, several parameters in ETVOA were better. The satisfaction scores of patients undergoing ETVOA were higher. In addition, the cosmetic satisfaction in patients who received ETOVA was significantly better than that of patients who underwent ETAA. The degree of neck movement disorder in patients with ETVOA was milder. Patients who received ETVOA had higher score on the SF-36. Conclusions The trans-oral endoscopic approach can acquire better cosmetic results and achieved high-level QOL.

scholarly journals Mobile Networks and Internet of Things Infrastructures to Characterize Smart Human Mobility

Smart Cities ◽  
2021 ◽  
Vol 4 (2) ◽  
pp. 894-918
Author(s):  
Luís Rosa ◽  
Fábio Silva ◽  
Cesar Analide
Keyword(s):  
Internet Of Things ◽  
Mobile Networks ◽  
Smart Cities ◽  
Human Mobility ◽  
Rapid Development ◽  
Disruptive Technology ◽  
New Paradigm ◽  
Design And Optimization ◽  
High Level

The evolution of Mobile Networks and Internet of Things (IoT) architectures allows one to rethink the way smart cities infrastructures are designed and managed, and solve a number of problems in terms of human mobility. The territories that adopt the sensoring era can take advantage of this disruptive technology to improve the quality of mobility of their citizens and the rationalization of their resources. However, with this rapid development of smart terminals and infrastructures, as well as the proliferation of diversified applications, even current networks may not be able to completely meet quickly rising human mobility demands. Thus, they are facing many challenges and to cope with these challenges, different standards and projects have been proposed so far. Accordingly, Artificial Intelligence (AI) has been utilized as a new paradigm for the design and optimization of mobile networks with a high level of intelligence. The objective of this work is to identify and discuss the challenges of mobile networks, alongside IoT and AI, to characterize smart human mobility and to discuss some workable solutions to these challenges. Finally, based on this discussion, we propose paths for future smart human mobility researches.

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