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High Frequency Decomposition and Trade Arrivals
Typically, the prices of financial assets are studied over fixed-time intervals such as the case with monthly or daily returns. Modern technology now allows us to consider each transac- tion that occurred throughout a trading period and the particular instance in time at which it was placed. Statistical analysis of financial assets conducted at this level is referred to as high frequency econometrics. This microscopic view of the market allows us to observe an asset’s price formation process in continuous time. High frequency data is marked by a number of peculiarities that do not persist in discrete-time financial data, thus requiring a different econometric approach in order to preserve the vast amount of microstructure information embedded in the transaction data. In this paper, we construct and specify the joint probability distribution of price movements and trade arrivals as a compound Poisson process to build a theoretical framework to study the interplay of volatility and the timing of trades. We extend the price decomposition model proposed by Rydberg and Shephard (2003) by defining the magnitude of price change process to follow an adaptation of the autoregressive conditional multinomial–a finite state, VARMA model originally developed by Engle and Russell (2005). Furthermore, we define the trade arrival process to be a doubly-stochastic Poisson process (or Cox process) and propose estimating its random intensity through kernel density estimation
Nutrient Mitigation Capacity of Low-Grade Weirs in Agricultural Drainage Ditches
Installation of low-grade weirs in agricultural drainage ditches is being evaluated as an innovative, and cost effective, management practice that decreases nutrient concentrations and loads by increasing water volume and hydraulic residence time of the ditch. Results revealed that weirs significantly increased (P = 0.029) hydraulic residence time (HRT) and ditch water volumes, leading to considerable reductions in outflow water volumes (61%). Furthermore, ditches with weirs achieved greater (P = 0.09) cumulative outflow load reductions (96%) and greater (P = 0.029) concentration reductions during the biogeochemical reduction phase of the experiment. Similarly, field research from Terrace Ditch in Yazoo County, MS yielded significant percentage concentration reductions for baseflow (53%), stormflow (63%), and load (65%). Results from the experimental approach and field scale research offer promising insight into the future of low-grade weir’s establishment as an additional best management practice in agricultural landscapes
Cascading Failures and Fundamental Uncertainty: Divergence in Financial Risk Assessment
By applying common financial risk assessment models to the network economy formalized in Delli Gatti et al. (2006), and by contextualizing both in the broader literature on complexity in economic systems, the question of convergence in economic models is addressed. Critically, a formal state condition is identified which can contribute to the emergence of periods of extreme divergence from expected conditions even in a model characterized by restrictive assumptions regarding agent choice and market structure. The strength of the impact of this state condition, here the topology of a credit network, on the dynamics of the economic system is furthermore shown to be highly dependent upon the structure of the market. The existence of such state conditions has fundamental implications for the evaluation of risk and institutional design in economic system
Graduate Recital:Kent Alexander Krause, Euphonium
Kemp Recital Hall Saturday Evening March 31, 2007 7:00p.m
Getting to the Point? Rethinking Arrows on Maps
Introduction. Maps help to form public opinion and build public morale. When the war is over, they will contribute to shaping the
thought and action of those responsible for the reconstruction of a shattered world. Hence it is important in these times
that the nature of the information they set forth should be well understood (Wright, 1942: 527)
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