Az ajánlati könyv statisztikai tulajdonságai (Statistical properties of the limit order book)

A pénzügyi modellek jelentős része feltételezi a piacok hatékony működését. Ennek következtében számos tudományos kutatás központi témája volt a piacok hatékonyságának tesztelése és ennek igazolása, esetleg cáfolata. Ezen próbálkozások azonban mind a mai napig eredménytelenül zárultak. A tesztelések nyomán a kutatások a termékek áralakulásából indultak ki, és a hozamokat ezen keresztül elemezték. Az elmúlt években azonban a fókusz átterelődött az árak alakulásáról egy elemibb tényezőre, az ajánlati könyvre. Ugyanis végső soron az ajánlatvezérelt piacokon az árakat az ajánlati könyvbe benyújtott megbízások alakulása fogja meghatározni. Mivel a tőzsdék jelentős része ajánlatvezérelt piacként működik, ezért érdemesnek tartották a kutatók, hogy inkább az ajánlati könyv alakulásának statisztikai jellemzőit elemezzék, hátha az eredményre vezet, és sikerül közelebb jutni a hatékony piacok elméletének igazolásához vagy cáfolatához. Jelen tanulmány célja az, hogy az eddig megjelent tudományos kutatások alapján ismertesse az ajánlati könyv alapvető statisztikai tulajdonságait, és rávilágítson arra: mindez valójában hozzájárult-e a hatékony piacok elméletének igazolásához? ______ Most of the fi nancial models assume that markets are effi cient. As a result, numerous scientifi c researchers were focused on testing the effi cient market hypothesis, and tried to prove, or deny it. However, all these attempts are still unsuccessful. During these researches, the analyses of the effi cient market hypothesis were based on the price evolution of a certain asset, and through this the returns were examined. In the recent years the research interest has changed, and instead of analyzing the returns, a more primary factor got into focus, namely the limit order book. The reason is that on order driven markets the prices and the order sizes in the limit order book infl uence the price evolution on the market. Since a notable number of stock markets operate as an order driven market, the researchers thought that it worth analyzing the statistical properties of the limit order book, because maybe it will get us closer to the proof of the effi cient market hypothesis. The purpose of this study is to summarize the statistical properties of the limit order book, based on the scientifi c works published so far. The study would like to highlight whether these studies contributed to the proof or disproof of the effi cient market hypothesis.

Can Europe recover without credit?

Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in middle-income countries and 3.2 percent per year in high-income countries. However, the implications of these historical episodes for the current European situation are limited, for two main reasons. First, creditless recoveries are much less common in high-income countries, than in low-income countries which are financially undeveloped. European economies heavily depend on bank loans and research suggests that loan supply played a major role in the recent weak credit performance of Europe. There are reasons to believe that, despite various efforts, normal lending has not yet been restored. Limited loan supply could be disruptive for the European economic recovery and there has been only a minor substitution of bank loans with debt securities. Second, creditless recoveries were associated with significant real exchange rate depreciation, which has hardly occurred so far in most of Europe. This stylised fact suggests that it might be difficult to re-establish economic growth in the absence of sizeable real exchange rate depreciation, if credit growth does not return.

Can Europe recover without credit?

Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in middle-income countries and 3.2 percent per year in high-income countries. However, the implications of these historical episodes for the current European situation are limited, for two main reasons. First, creditless recoveries are much less common in high-income countries, than in low-income countries which are financially undeveloped. European economies heavily depend on bank loans and research suggests that loan supply played a major role in the recent weak credit performance of Europe. There are reasons to believe that, despite various efforts, normal lending has not yet been restored. Limited loan supply could be disruptive for the European economic recovery and there has been only a minor substitution of bank loans with debt securities. Second, creditless recoveries were associated with significant real exchange rate depreciation, which has hardly occurred so far in most of Europe. This stylised fact suggests that it might be difficult to re-establish economic growth in the absence of sizeable real exchange rate depreciation, if credit growth does not return.

The effect of climate change on the potential distribution of the European Phlebotomus species and the parasite Leishmania infantum in 2011-2070. A climate envelope modeling approach

Aims: In the Mediterranean areas of Europe, leishmanisasis is one of the most emerging vector-borne diseases. Members of genus Phlebotomus are the primary vectors of the genus Leishmania. To track the human health effect of climate change it is a very important interdisciplinary question to study whether the climatic requirements and geographical distribution of the vectors of human pathogen organisms correlate with each other. Our study intended to explore the potential effects of ongoing climate change, in particular through a potential upward altitudinal and latitudinal shift of the distribution of the parasite Leishmania infantum, its vectors Phlebotomus ariasi, P. neglectus, P. perfiliewi, P. perniciosus, and P. tobbi, and some other sandfly species: P. papatasi, P. sergenti, and P. similis. Methods: By using a climate envelope modelling (CEM) method we modelled the current and future (2011-2070) potential distribution of 8 European sandfly species and L. infantum based on the current distribution using the REMO regional climate model. Results: We found that by the end of the 2060’s most parts of Western Europe can be colonized by sandfly species, mostly by P. ariasi and P. pernicosus. P. ariasi showed the greatest potential northward expansion. For all the studied vectors of L. infantum the entire Mediterranean Basin and South-Eastern Europe seemed to be suitable. L. infantum can affect the Eastern Mediterranean, without notable northward expansion. Our model resulted 1 to 2 months prolongation of the potentially active period of P. neglectus P. papatasi and P. perniciosus for the 2060’s in Southern Hungary. Conclusion: Our findings confirm the concerns that leishmanisais can become a real hazard for the major part of the European population to the end of the 21th century and the Carpathian Basin is a particularly vulnerable area.

A study of stock market fluctuations and their relation to business conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubblelike deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the nonfundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

An Examination of Stock Performance: The Three Top-Performing Lodging Firms August 1987 - January 1990

A study published in the Fall 1988 issue of the FIU Hospitality Review revealed that the top three lodging stock performers during the period July 1982 to January 1988 were Prime Motor Inns, Inc., Marriott Corporation, and Hilton Hotels Corporation. The author has completed a follow-up study in an attempt to determine how selected lodging firms have fared since the summer rally of 1987 (which preceded the stock crash of October 19, 1987) until more recent times.

A Study of Stock Market Fluctuations and their Relations to Business Conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubble-like deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the non-fundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

The Electoral Rise of Populist Radical Right Parties in Europe: Ideological Parameters and Social Motivations

Populist radical right parties have become major political actors in Europe. This paper analyses the path and the different phases that have led them from the fringes of public debate to their present signifi cance, which is based on their capacity to attract electoral support and infl uence the political agendas in their respective countries. Besides, an analysis of the core ideological beliefs of these parties, and of the topics on which their mobilization capacity rests, is provided, as well as of the type of voters that are attracted by them. Finally, the authors discuss the meaning and impact of the growing popularity of the ideas and proposals put forward by the populist radical right parties.

Obestatin as a key regulator of metabolism and cardiovascular function with emerging therapeutic potential for diabetes

Obestatin is a 23-amino acid C-terminally amidated gastrointestinal peptide derived from preproghrelin and which forms an alpha helix. Although obestatin has a short biological half-life and is rapidly degraded, it is proposed to exert wide-ranging pathophysiological actions. Whilst the precise nature of many of its effects is unclear, accumulating evidence supports positive actions on both metabolism and cardiovascular function. For example, obestatin has been reported to inhibit food and water intake, body weight gain, and gastrointestinal motility, and to also mediate promotion of cell survival and prevention of apoptosis. Obestatin-induced increases in β-cell mass, enhanced adipogenesis and improved lipid metabolism have been noted along with upregulation of genes associated with β-cell regeneration, insulin production and adipogenesis. Furthermore, human circulating obestatin levels generally demonstrate an inverse association with obesity and diabetes, whilst the peptide has been shown to confer protective metabolic effects in experimental diabetes, suggesting that it may hold therapeutic potential in this setting. Obestatin also appears to be involved in blood pressure regulation and to exert beneficial effects on endothelial function, with experimental studies indicating that it may also promote cardioprotective actions against, for example, ischaemia-reperfusion injury. This review will present a critical appraisal of the expanding obestatin research area and discuss the emerging therapeutic potential of this peptide for both metabolic and cardiovascular complications of diabetes. 

Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.

Desk Review of Queensland shark stock assessment for Fisheries Queensland

An independent desk review of the document entitled “Stock assessment of whaler and hammerhead sharks (Carcharhinidae and Sphyrnidae) in Queensland” commissioned by the Queensland’s Department of Agriculture and Fisheries was undertaken during January 15-February 12, 2016.

Sobre o contágio nos mercados bolsistas internacionais: evidência de nove países

Mestrado em Contabilidade e Análise Financeira

Reputational risk of banks : a study on the effects of regulatory sanctions for major european banks

Mestrado em Finanças

Comparison of two HVAC renovation solutions : A case study

Within the aging building stock of Europe, there is great potential of saving energy through renovation and upgrading to modern standards, and to thereby approach the internationally set goals of lower energy use. This paper concerns the planned renovation of the building envelope and HVAC systems in a multi-family house in Ludwigsburg, Germany. Five systemic HVAC solutions were compared, with special focus on two systems: A) Balanced ventilation with HRC + Micro heat pump, and B) Forced exhaust ventilation + Heat pump with exhaust air HRC + Ventilation radiators. Given the predicted heating demand and ventilation rate of the house after renovation, the performance of the two systems was compared, alongside three common systems for reference. Calculations were made using TMF Energi, a tool developed by SP Technical Research Institute of Sweden.    Both systems A and B were found to have the lowest electrical energy use together with the ground source heat pump system for the assumed conditions. For other assumptions, including different climate and degree of insulation, some differences between these three systems were noted. Most significant is the increased electrical use of system B for higher heating loads due to limitations in the power available from the heat source, exhaust air, which is dependent on the ventilation rate.

Moving toward stock units identification based on spatial population structure of marine species in the Mediterranean Sea and adjacent waters through multidisciplinary and holistic approaches for the sustainability of fisheries resources

Investigating stock identity of marine species in a multidisciplinary holistic approach can reveal patterns of complex spatial population structure and signatures of potential local adaptation. The population structure of common sole (Solea solea) in the Mediterranean Sea was delineated using genomic and otolith data, including single nucleotide polymorphisms (SNPs) markers and otolith data. SNPs were correlated with environmental and spatial variables to evaluate the impact of these features on the actual genetic population structure. Integrated holistic approach was applied to combine the tracers with different spatio-temporal scales. SNPs data was also used to illustrate the population structure of European hake (Merluccius merluccius) within the Alboran Sea, extending into the neighboring Mediterranean Sea and Atlantic Ocean. The aim was to identify patterns of neutral and potential adaptive genetic variation by applying seascape genomic framework. Results from both genetic and otolith data suggested significant divergence among putative populations of common sole, confirming a clear separation between Western, Adriatic Sea and Eastern Mediterranean Sea. Evidence of fine-scale population structure in the Western Mediterranean Sea was observed at outlier loci level and in the Adriatic. Our study not only indicates that separation among Mediterranean sole population is led primarily by neutral processes, but it also suggests the presence of local adaptation influenced by environmental and spatial factors. The holistic approach by considering the spatio-temporal scales of variation confirmed that the same pattern of separation between these geographical sites is currently occurring and has occurred for many generations. Results showed the occurrence of population structure in Merluccius merluccius by detecting westward–eastward differentiation among populations and distinct subgroups at a fine geographical scale using outlier SNPs. These results enhance the knowledge of the population structure of commercially relevant species to support the application of spatial stock assessment models, including a redefinition of fishery management units.