An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Semi-similar solutions of the unsteady compressible second-order boundary layer flow at the stagnation point

Semi-similar solutions of the unsteady compressible laminar boundary layer flow over two-dimensional and axisymmetric bodies at the stagnation point with mass transfer are studied for all the second-order boundary layer effects when the free stream velocity varies arbitrarily with time. The set of partial differential equations governing the unsteady compressible second-order boundary layers representing all the effects are derived for the first time. These partial differential equations are solved numerically using an implicit finite-difference scheme. The results are obtained for two particular unsteady free stream velocity distributions: (a) an accelerating stream and (b) a fluctuating stream. It is observed that the total skin friction and heat transfer are strongly affected by the surface mass transfer and wall temperature. However, their variation with time is significant only for large times. The second-order boundary layer effects are found to be more pronounced in the case of no mass transfer or injection as compared to that for suction. Résumé Des solutions semi-similaires d'écoulement variable compressible de couche limite sur des corps bi-dimensionnels thermique, sont étudiées pour tous les effets de couche limite du second ordre, lorsque la vitesse de l'écoulement libre varie arbitrairement avec le temps. Le systéme d'équations aux dérivées partielles représentant tous les effets est écrit pour la premiére fois. On le résout numériquement á l'aide d'un schéma implicite aux différences finies. Les résultats sont obtenus pour deux cas de vitesse variable d'écoulement libre: (a) un écoulement accéléré et (b) un écoulement fluctuant. On observe que le frottement pariétal total et le transfert de chaleur sont fortement affectés par le transfert de masse et la température pariétaux. Néanmoins, leur variation avec le temps est sensible seulement pour des grandes durées. Les effets sont trouvés plus prononcés dans le cas de l'absence du transfert de masse ou de l'injection par rapport au cas de l'aspiration.