Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

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.

First-Principles Calculations of the Electronic and Structural Properties of GaSb

In this paper, we carried out first-principles calculations in order to investigate the structural and electronic properties of the binary compound gallium antimonide (GaSb). This theoretical study was carried out using the Density Functional Theory within the plane-wave pseudopotential method. The effects ofexchange and correlation (XC) were treated using the functional Local Density Approximation (LDA), generalized gradient approximation (GGA): Perdew–Burke–Ernzerhof (PBE), Perdew-Burke-Ernzerhof revised for solids (PBEsol), Perdew-Wang91 (PW91), revised Perdew–Burke–Ernzerhof (rPBE), Armiento–Mattson 2005 (AM05) and meta-generalized gradient approximation (meta-GGA): Tao–Perdew– Staroverov–Scuseria (TPSS) and revised Tao–Perdew–Staroverov–Scuseria (RTPSS) and modified Becke-Johnson (MBJ). We calculated the densities of state (DOS) and band structure with different XC potentials identified and compared them with the theoretical and experimental results reported in the literature. It was discovered that functional: LDA, PBEsol, AM05 and RTPSS provide the best results to calculate the lattice parameters (a) and bulk modulus (B0); while for the cohesive energy (Ecoh), functional: AM05, RTPSS and PW91 are closer to the values obtained experimentally. The MBJ, Rtpss and AM05 values found for the band gap energy is slightly underestimated with those values reported experimentally.