Página 1 dos resultados de 19 itens digitais encontrados em 0.017 segundos

Forests trapped in nitrogen limitation – an ecological market perspective on ectomycorrhizal symbiosis

Franklin, Oskar; Näsholm, Torgny; Högberg, Peter; Högberg, Mona N
Fonte: BlackWell Publishing Ltd Publicador: BlackWell Publishing Ltd
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
15.84%
Ectomycorrhizal symbiosis is omnipresent in boreal forests, where it is assumed to benefit plant growth. However, experiments show inconsistent benefits for plants and volatility of individual partnerships, which calls for a re-evaluation of the presumed role of this symbiosis.We reconcile these inconsistencies by developing a model that demonstrates how mycorrhizal networking and market mechanisms shape the strategies of individual plants and fungi to promote symbiotic stability at the ecosystem level.The model predicts that plants switch abruptly from a mixed strategy with both mycorrhizal and nonmycorrhizal roots to a purely mycorrhizal strategy as soil nitrogen availability declines, in agreement with the frequency distribution of ectomycorrhizal colonization intensity across a wide-ranging data set. In line with observations in field-scale isotope labeling experiments, the model explains why ectomycorrhizal symbiosis does not alleviate plant nitrogen limitation. Instead, market mechanisms may generate self-stabilization of the mycorrhizal strategy via nitrogen depletion feedback, even if plant growth is ultimately reduced.We suggest that this feedback mechanism maintains the strong nitrogen limitation ubiquitous in boreal forests. The mechanism may also have the capacity to eliminate or even reverse the expected positive effect of rising CO2 on tree growth in strongly nitrogen-limited boreal forests.

No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

Hentschel, Ludger; Campbell, John
Fonte: Elsevier Publicador: Elsevier
Português
Relevância na Pesquisa
46.15%
It seems plausible that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. We develop a formal model of this volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model). Our model is asymmetric and helps to explain the negative skewness and excess kurtosis of U.S. monthly and daily stock returns over the period 1926–1988. We find that volatility feedback normally has little effect on returns, but it can be important during periods of high volatility.; Economics

Ill-gotten Money and the Economy : Experiences from Malawi and Namibia

Yikona, Stuart; Slot, Brigie; Geller, Michael; Hansen, Bjarne; Kadiri, Fatima el
Fonte: World Bank Publicador: World Bank
Português
Relevância na Pesquisa
25.74%
Over the last 20 years, the international community has significantly stepped up its efforts to prevent, detect, and deter money flows related to criminal activities and terrorism financing. Since the early 2000s, this drive has extended to developing countries, with most of them introducing anti-money laundering (AML) policies. The primary driver behind this is law enforcement; these policies are aimed at detecting and tracing flows of ill-gotten money, which would enable authorities to fight and prevent crime and recover assets of crime, corruption, and tax evasion. The core objective of this study is to introduce economics into the international debate about anti-money laundering, and to introduce the idea of the usefulness and effectiveness of such policies. The study focuses on two developing countries: Malawi, a low-income country, and Namibia, a middle-income country. The findings presented in this study are based on an extensive literature research; World Bank discussions with numerous public- and private-sector officials and representatives of the Governments of Malawi and Namibia during a Bank mission in November 2010; and workshops conducted in both countries in February 2011 to obtain feedback on the preliminary findings. In conducting this study...

Can Internet Search Queries Help to Predict Stock Market Volatility?

Dimpfl, Thomas; Jank, Stephan
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: ResearchPaper
Português
Relevância na Pesquisa
46.08%
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases.

Measuring causality between volatility and returns with high-frequency data

Dufour, Jean-Marie; García, René; Taamouti, Abderrahim
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/workingPaper; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /09/2008 Português
Relevância na Pesquisa
76.44%
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On observing that a central difference between these alternative explanations lies in the direction of causality, we consider vector autoregressive models of returns and realized volatility and we measure these effects along with the time lags involved through short-run and long-run causality measures proposed in Dufour and Taamouti (2008), as opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures contracts, the associated realized volatilities (before and after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized volatility, we find a weak dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic leverage effect for the first three days at the daily frequency. The volatility feedback effect appears to be negligible at all horizons. By contrast...

A nonparametric copula based test for conditional independence with applications to granger causality

Bouezmarni, Taoufik; Rombouts, Jeroen V. K.; Taamouti, Abderrahim
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /06/2009 Português
Relevância na Pesquisa
56.08%
This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in general settings since there is no restriction on the dimension of the data. In fact, to apply the test, only a bandwidth is needed for the nonparametric copula. We prove that the test statistic is asymptotically pivotal under the null hypothesis, establish local power properties, and motivate the validity of the bootstrap technique that we use in finite sample settings. A simulation study illustrates the good size and power properties of the test. We illustrate the empirical relevance of our test by focusing on Granger causality using financial time series data to test for nonlinear leverage versus volatility feedback effects and to test for causality between stock returns and trading volume. In a third application, we investigate Granger causality between macroeconomic variables

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

Jiang, Jinzhi
Fonte: Brock University Publicador: Brock University
Tipo: Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
46.03%
We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Leverage Causes Fat Tails and Clustered Volatility

Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.03%
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and uncorrelated across time. All this changes when the funds are allowed to leverage, i.e. borrow from a bank, to purchase more assets than their wealth would otherwise permit. During good times competition drives investors to funds that use more leverage, because they have higher profits. As leverage increases price fluctuations become heavy tailed and display clustered volatility, similar to what is observed in real markets. Previous explanations of fat tails and clustered volatility depended on "irrational behavior", such as trend following. Here instead this comes from the fact that leverage limits cause funds to sell into a falling market: A prudent bank makes itself locally safer by putting a limit to leverage, so when a fund exceeds its leverage limit, it must partially repay its loan by selling the asset. Unfortunately this sometimes happens to all the funds simultaneously when the price is already falling. The resulting nonlinear feedback amplifies large downward price movements. At the extreme this causes crashes...

The fine structure of volatility feedback II: overnight and intra-day effects

Blanc, Pierre; Chicheportiche, Rémy; Bouchaud, Jean-Philippe
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.03%
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share of overnight volatility comes from feedback effects. The residual kurtosis of returns is small for intra-day returns but infinite for overnight returns. We provide a plausible interpretation for these findings, and show that our Intra-Day/Overnight model significantly outperforms the standard ARCH framework based on daily returns for Out-of-Sample predictions.

Stock Price Dynamics and Option Valuations under Volatility Feedback Effect

Kanniainen, Juho; Piché, Robert
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/09/2012 Português
Relevância na Pesquisa
66.34%
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.; Comment: 23 pages, 7 figures, 2 tables

An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects

Li, Xin; Tolmasky, Carlos F.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 07/12/2015 Português
Relevância na Pesquisa
15.99%
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leading order, with 77 years Dow Jones Industrial Average data. We find in the short time scale (10 to 50 days) the future volatility is sensitive to the sign of past returns, i.e. asymmetric feedback or leverage effect. However, in the long time scale (300 to 1000 days) clustering becomes the main factor. We study non-stationary features by using moving windows and find that clustering and leverage effects display time evolutions that are rather nontrivial. The structure of our model allows us to shed light on a few surprising facts recently found by Chicheportiche and Bouchaud.; Comment: 16 pages, 9 figures

Prospect Agents and the Feedback Effect on Price Fluctuations

Yang, Yipeng; Tsoi, Allanus
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.96%
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply, the agents' trading behaviors can affect the price process in turn, which is called the feedback effect. The prospect agents make actions based on their reactions to gains and losses, and as a consequence of the feedback effect, a relationship between the agents' trading behavior and the price fluctuations is constructed, which explains the implied volatility skew and smile observed in actual market.

On return-volatility correlation in financial dynamics

Shen, J.; Zheng, B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 01/02/2012 Português
Relevância na Pesquisa
26.08%
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the return-volatility correlation of the time series, while other characteristics, such as the probability distribution of returns and long-range time-correlation of volatilities etc., remain essentially unchanged. This suggests that the leverage effect or anti-leverage effect in financial markets arises from a kind of feedback return-volatility interactions, rather than the long-range time-correlation of volatilities and asymmetric probability distribution of returns. Further, we show that large volatilities dominate the return-volatility correlation in financial dynamics.; Comment: 6 pages, 4 figures

On a multi-timescale statistical feedback model for volatility fluctuations

Borland, L.; Bouchaud, J. -Ph.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/07/2005 Português
Relevância na Pesquisa
36.15%
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time horizons, we obtain a model that captures most stylized facts of financial time series: Student-like distribution of returns with a power-law tail, long-memory of the volatility, slow convergence of the distribution of returns towards the Gaussian distribution, multifractality and anomalous volatility relaxation after shocks. At variance with recent multifractal models that are strictly time reversal invariant, the model also reproduces the time assymmetry of financial time series: past large scale volatility influence future small scale volatility. In order to quantitatively reproduce all empirical observations, the parameters must be chosen such that our model is close to an instability, meaning that (a) the feedback effect is important and substantially increases the volatility, and (b) that the model is intrinsically difficult to calibrate because of the very long range nature of the correlations. By imposing the consistency of the model predictions with a large set of different empirical observations...

Forests trapped in nitrogen limitation – an ecological market perspective on ectomycorrhizal symbiosis

Franklin, Oskar; Näsholm, Torgny; Högberg, Peter; Högberg, Mona N.
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2014 Português
Relevância na Pesquisa
15.84%
Ectomycorrhizal symbiosis is omnipresent in boreal forests, where it is assumed to benefit plant growth. However, experiments show inconsistent benefits for plants and volatility of individual partnerships, which calls for a re-evaluation of the presumed role of this symbiosis. We reconcile these inconsistencies by developing a model that demonstrates how mycorrhizal networking and market mechanisms shape the strategies of individual plants and fungi to promote symbiotic stability at the ecosystem level. The model predicts that plants switch abruptly from a mixed strategy with both mycorrhizal and nonmycorrhizal roots to a purely mycorrhizal strategy as soil nitrogen availability declines, in agreement with the frequency distribution of ectomycorrhizal colonization intensity across a wide-ranging data set. In line with observations in field-scale isotope labeling experiments, the model explains why ectomycorrhizal symbiosis does not alleviate plant nitrogen limitation. Instead, market mechanisms may generate self-stabilization of the mycorrhizal strategy via nitrogen depletion feedback, even if plant growth is ultimately reduced. We suggest that this feedback mechanism maintains the strong nitrogen limitation ubiquitous in boreal forests. The mechanism may also have the capacity to eliminate or even reverse the expected positive effect of rising CO2 on tree growth in strongly nitrogen-limited boreal forests.

The impact of risk regulation on price dynamics

Danielsson, Jon; Shin, Hyun Song; Zigrand, Jean-Pierre
Fonte: Elsevier Publicador: Elsevier
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /05/2004 Português
Relevância na Pesquisa
25.79%
Most financial risk regulations assume that asset returns are exogenous, where risk is estimated from historical data. This assumption fails to take into account the feedback effect of trading decisions on prices. We investigate the consequences of risk constrained trading by means of simulations of a general equilibrium model with a value-at-risk constraint and compare the results to the case when risk constraints are not present. Prices are lower on average in the presence of risk regulation, while volatility is higher. Risk regulation may have the perverse effect of exacerbating price fluctuations.

Pricing and hedging of derivative securities: Some effects of asymmetric information and market power.

Stremme, Alexander
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //1999 Português
Relevância na Pesquisa
25.94%
This thesis consists of a collection of studies investigating various aspects of the interplay between the markets for derivative securities and their respective underlying assets in the presence of market imperfections. The classic theory of derivative pricing and hedging hinges on three rather unrealistic assumptions regarding the market for the underlying asset. Markets are assumed to be perfectly elastic, complete and frictionless. This thesis studies some effects of relaxing one or more of these assumptions. Chapter 1 provides an introduction to the thesis, details the structure of what follows, and gives a selective review of the relevant literature. Chapter 2 focuses on the effects that the implementation of hedging strategies has on equilibrium asset prices when markets are imperfectly elastic. The results show that the feedback effect caused by such hedging strategies generates excess volatility of equilibrium asset prices, thus violating the very assumptions from which these strategies are derived. However, it is shown that hedging is nonetheless possible, albeit at a slightly higher price. In Chapter 3, a model is developed which describes equilibrium asset prices when market participants use technical trading rules. The results confirm that technical trading leads to the emergence of speculative price "bubbles". However...

Informed speculation and the organisation of financial markets.

Dennert, Jurgen
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //1990 Português
Relevância na Pesquisa
15.74%
The thesis deals with several aspects of the impact of informed speculation on financial markets. It consists of four chapters. Chapter 1 gives a general discussion of the welfare effects of insider trading, and investigates whether insider trading should be prohibited. The following chapters are concerned with more specific questions of the organisation and regulation of financial markets. Chapter 2 investigates the performance of dealership markets in the presence of informed speculation. It is shown that informed trading creates externalities which might render markets with several competing market makers less liquid than a market with a monopolist specialist. Chapter 3 deals with a different effect of insider trading on secondary markets. It is argued that insider trading influences the allocation of risk between different classes of investors. The premature resolution of uncertainty due to insider trading makes prices more volatile and more informative. The effects of these two opposed effects on ex-ante investment are ambiguous: both more and less investment may occur. Chapter 4 investigates a dynamic asset pricing model with informed speculation and noise trading. The properties of the steady state equilibria in a overlapping generations economy with infinite horizon are characterized. It is shown that noise trading leads to feedback effects of the kind that expectations of a high price volatility become self-stabilizing. The effects of asymmetric information and the early release of information are discussed and related to the results of the preceding chapters.

Time-varying volatility and returns on ordinary shares: An empirical investigation.

Sentana Ivanez, Enrique
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //1992 Português
Relevância na Pesquisa
26.12%
This research investigates various issues relating to the level and volatility of returns on ordinary shares. In particular, we have looked at the relation over time between volatility and risk premia, both at a univariate and multivariate levels. We also look at the links between stock markets over the world, and whether they are integrated. We evaluate the role of measurable economic variables in explaining asset price (co-)movements over time. Our model combines an APT factor pricing approach with a GARCH-type parameterisation of the volatility of the factors. These can be "observable" (i.e. related to economic variables), "unobservable" and country-specific. Estimates of these factors and their time-varying variances are obtained using a Kalman Filter-based Full Information Maximum Likelihood method. Using monthly data on sixteen markets it is found that idiosyncratic risk is significantly priced, and that the "price of risk" is not common across countries, which rejects the null of global capital market integration. Another empirical finding is that most of the correlation between markets is accounted for by the "unobservables". The econometric background to the conditionally heteroskedastic factor model employed is also analysed. We find that the matrix of factor loadings is unique under orthogonal transformations...