Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Analyzing the CEMS intrapreneurial level using the GET2 test

This thesis is mainly focused on the intrapreneurial level of CEMS students around the world. Organizations are seeking to hire people with an entrepreneurial personality. This means that companies are looking for someone with similar psychological traits as entrepreneurs who are capable of influence positively in firm’s innovation. Therefore, the research question is “What is the CEMS intrapreneurial level?” The contribution of this thesis is to check whether CEMS students have high intrapreneurship level or not. In order to find out, the General measure Enterprising Tendency (GET) test was sent to these students. The main finding is that CEMS students have score which can located them in the Medium range, meaning they have an average level of intrapreneurship. Thus, it is possible to raise awareness on the intrapreneurial potential that they can achieve. Furthermore, this thesis hopes to grow a concern on this topic so that universities give more emphasis on it.