Extension and calibration of a Hawkes-based optimal execution model

We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a few seconds that the market needs to adjust after a large trade. Motivated by our estimation results, we derive the optimal execution strategy for a multi-exponential Hawkes kernel and backtest it on the data for round trips. We find that the strategy is profitable on average when trading at the midprice, which is in accordance with violated martingale conditions. However, in most cases, these profits vanish when we take bid-ask costs into account

The fine structure of volatility feedback II: overnight and intra-day effects

We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share of overnight volatility comes from feedback effects. The residual kurtosis of returns is small for intra-day returns but infinite for overnight returns. We provide a plausible interpretation for these findings, and show that our Intra-Day/Overnight model significantly outperforms the standard ARCH framework based on daily returns for Out-of-Sample predictions

JAPANESE DEMAND FOR WHEAT PROTEIN QUANTITY AND QUALITY

Ladd and Martin's hedonic pricing model is extended to include the interactive effect of noncontracted characteristics on the value of contracted characteristics. Marginal values of wheat protein in the Japanese import market are estimated using the interactive effects of noncontracted dough/flour characteristics typically proxied by protein. Protein value is linked positively to farinograph stability, a prime factor in blending different flours. Three high protein wheats maintained about the same marginal value of protein. The marginal value for the two low protein wheats appear more end-use dependant. They varied in a $2.00/ton range depending on protein absorption, stability, and extensibility.Demand and Price Analysis,

Response to "Letter to the Editor" in regard to the article: "Bariatric Surgery After Previous Antireflux Surgery Without Takedown of The Previous Fundoplication: A Prospective Study"

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Les environnements numériques d’apprentissage (ENA) : État des lieux et prospective

Rapport d’analyse et de synthès

When Gold Cations Meet Polyoxometalates

International audienceMerging gold(I) cations with polyoxometalate anions results in various interclusters and complexes. Herein, the syntheses of these newly emerging gold(I)/polyoxometalate materials are reviewed. The applications of these promising hybrids in organic catalysis are also summarized and evaluated in terms of the advantages and limitations of the catalysts including efficiency, synergistic effects and recyclability

Experimental phase-space-based optical amplification of scar modes

Waves billiard which are chaotic in the geometrical limit are known to support non-generic spatially localized modes called scar modes. The interaction of the scar modes with gain has been recently investigated in optics in micro-cavity lasers and vertically-cavity surface-emitting lasers. Exploiting the localization properties of scar modes in their wave analogous phase space representation, we report experimental results of scar modes selection by gain in a doped D-shaped optical fiber