1 resultado para Event-based control
em Universidad del Rosario, Colombia
Filtro por publicador
- ABACUS. Repositorio de Producción Científica - Universidad Europea (1)
- Aberdeen University (2)
- Abertay Research Collections - Abertay University’s repository (1)
- Aberystwyth University Repository - Reino Unido (3)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (8)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (13)
- Aquatic Commons (2)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (2)
- Archive of European Integration (1)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (5)
- Aston University Research Archive (39)
- Biblioteca de Teses e Dissertações da USP (2)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (8)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (3)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (30)
- Boston University Digital Common (5)
- Brock University, Canada (2)
- Bucknell University Digital Commons - Pensilvania - USA (4)
- Bulgarian Digital Mathematics Library at IMI-BAS (3)
- Cambridge University Engineering Department Publications Database (65)
- CentAUR: Central Archive University of Reading - UK (42)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (30)
- Cochin University of Science & Technology (CUSAT), India (4)
- CORA - Cork Open Research Archive - University College Cork - Ireland (2)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (3)
- CUNY Academic Works (1)
- Deakin Research Online - Australia (95)
- Department of Computer Science E-Repository - King's College London, Strand, London (8)
- Digital Commons - Michigan Tech (6)
- Digital Commons @ DU | University of Denver Research (1)
- Digital Commons at Florida International University (11)
- Digital Peer Publishing (1)
- DigitalCommons@The Texas Medical Center (6)
- DigitalCommons@University of Nebraska - Lincoln (5)
- Doria (National Library of Finland DSpace Services) - National Library of Finland, Finland (1)
- Duke University (6)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (2)
- FUNDAJ - Fundação Joaquim Nabuco (1)
- Glasgow Theses Service (1)
- Greenwich Academic Literature Archive - UK (2)
- Helda - Digital Repository of University of Helsinki (10)
- Indian Institute of Science - Bangalore - Índia (43)
- Instituto Politécnico de Bragança (4)
- Instituto Politécnico do Porto, Portugal (2)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (2)
- Martin Luther Universitat Halle Wittenberg, Germany (1)
- Massachusetts Institute of Technology (3)
- Memorial University Research Repository (1)
- National Center for Biotechnology Information - NCBI (11)
- Nottingham eTheses (7)
- Publishing Network for Geoscientific & Environmental Data (6)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (79)
- Queensland University of Technology - ePrints Archive (166)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (2)
- Repositório digital da Fundação Getúlio Vargas - FGV (3)
- Repositorio Institucional da UFLA (RIUFLA) (1)
- Repositório Institucional da Universidade de Aveiro - Portugal (3)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (31)
- Research Open Access Repository of the University of East London. (1)
- SAPIENTIA - Universidade do Algarve - Portugal (1)
- Scielo España (1)
- SerWisS - Server für Wissenschaftliche Schriften der Fachhochschule Hannover (1)
- Universidad de Alicante (10)
- Universidad del Rosario, Colombia (1)
- Universidad Politécnica de Madrid (43)
- Universidade Complutense de Madrid (1)
- Universidade Estadual Paulista "Júlio de Mesquita Filho" (UNESP) (1)
- Universidade Federal do Rio Grande do Norte (UFRN) (5)
- Universitat de Girona, Spain (8)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (2)
- Université de Lausanne, Switzerland (2)
- Université de Montréal, Canada (3)
- University of Michigan (5)
- University of Queensland eSpace - Australia (24)
- University of Washington (2)
- WestminsterResearch - UK (2)
Resumo:
We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.