Reducing the risk of VWAP orders execution: A new approach to modelling intra-day volume

In an era of increasing competition in financial services, financial institutions are spending more resources on broadening the array and reducing the price of products offered to clients. This also applies to broking houses, which have a vital interest in reducing costs associated with the execution of their clients’ orders. This paper presents a technique that aims to reduce the execution risk of VWAP (Volume Weighted Average Price) orders, which are orders to buy or sell a certain amount of a stock during the specified period at the VWAP. VWAP is calculated by dividing the value of trades by the volume over a specified period

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We propose use a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of the Markowitz framework under the liquidity constraints. The results show that cryptocurrencies add value to a portfolio and the optimization approach is even able to increase the return of a portfolio and lower the volatility risk

Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restriction models with identical information sets to the case of nested information sets, and those of Chamberlain (1992a) and Brown and Newey (1998) for models of sequential moment restrictions without unknown functions to cases with unknown functions of possibly endogenous variables. Our bound results are applicable to semiparametric panel data models and semiparametric two stage plug-in problems. As an example, we compute the efficiency bound for a weighted average derivative of a nonparametric instrumental variables (IV) regression, and find that the simple plug-in estimator is not efficient. Finally, we present an optimally weighted, orthogonalized, sieve minimum distance estimator that achieves the semiparametric efficiency bound

Decomposing Volume for VWAP Strategies

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of considered models is based on the decomposition of traded volume into two parts: one reflects volume changes due to market evolutions, the second describes the stock specific volume pattern. The dynamics of the specific part of volume is depicted by ARMA, and SETAR models. The implementation of VWAP strategies imposes some dynamical adjustments within the day

Discrimination of Radiotoxic and Chemotoxic Effects of Uranium on Mouse Embryo Fibroblasts

Uranium (U) is a natural radioactive heavy metal used in the nuclear industry, in different forms with different isotopic compositions (natural, depleted or enriched in 235U) and solubilities. Uranium internal exposure is a major risk for the nuclear workers. Uranium uptake can occur accidentally after inhalation, ingestion, or absorption through intact or injured skin. Due to these physical and chemical properties, U toxicity results from both chemical and radiological toxicity. The aim of this work was to find biological markers of internal contamination able to discriminate between chemotoxic and radiotoxic effects of U. The study was carried out in vitro on mouse C3H10T1/2 embryo fibroblasts contaminated either with 0.3% depleted uranium in isotope 235U (DU) or with 12% enriched uranium in isotope 235U (EU). In our experimental conditions, EU has a specific activity 20 times higher than DU. Fibroblasts were grown in culture medium containing various concentrations of DU or EU (0µM, 5µM, 50µM, 500µM and 1000µM). Genotoxic effects of both DU and EU were assessed with the cytokinesis-block micronucleus assay in combination with the fluorescent in situ hybridization of centromeric DNA probes. Binucleated cells with one micronucleus (BN-1MN), binucleated cells with centromere-negative micronucleus (BN-MNC-), mononucleated cells with one MN (Mono-1MN) and nucleoplasmic bridges (NPBs) were scored. Moreover ?-H2AX immunostaining was achieved to detect DNA double-strand breaks (DSB). The percentage of BN-1MN increased with both DU and EU concentration. The percentage of BN-MNC- was significantly higher when cells were contaminated with EU compared to DU for all concentrations (for example, 1,2% and 0,4% for a 50µM EU and DU concentration, respectively), this result confirms clastogen effect of EU. The frequency of NPBs increased with the U concentration. However EU induces more NPBs than DU (for example, 1,35% and 0,25% for a 50µM EU or DU concentration, respectively). In addition, the percentage of Mono-1MN is higher after a contamination with EU compared to DU (for example, 5,5% and 4,5% for a 50µM EU and DU concentration, respectively). The percentage of cells with DSB increased with U concentration. As a conclusion, our experiments show that BN-1MN and DSB seem to be a marker of U genotoxicity (chemical + radiological). The BN-MNC-, NPBs, and to a lesser extent Mono-1MN seem to be a marker of a radiotoxic effect. A microdosimetric calculation is in process and will consolidate these results

Identifying contagion

Identifying contagion effects during periods of financial crisis is known to be complicatedby the changing volatility of asset returns during periods of stress. Tountangle this we propose a GARCH (generalized autoregressive conditional heteroskedasticity)common features approach, where systemic risk emerges from acommon factor source (or indeed multiple factor sources) with contagion evidentthrough possible changes in the factor loadings relating to the common factor(s).Within a portfolio mimicking factor framework this can be identified using momentconditions. We use this framework to identify contagion in three illustrations involvingboth single and multiple factor specifications: to the Asian currency marketsin 1997–1998, to US sectoral equity indices in 2007–2009 and to the CDS (creditdefault swap) market during the European sovereign debt crisis of 2010–2013. Theresults reveal the extent to which contagion effects may be masked by not accountingfor the sources of changed volatility apparent in simple measures such as correlation

Different genotoxic profiles between depleted and enriched uranium

Uranium is an alpha-particle-emitting heavy metal. Its genotoxicity results from both its chemical and its radiological properties that vary with its isotopic composition (12% enriched uranium in 235U (EU) has a specific activity 20 times higher than 0.3% depleted uranium in 235U (DU)). The influence of the isotopic composition of uranium on its genotoxic profile (clastogenic/aneugenic) has never been described. The present study evaluated genotoxic profile of uranium with the cytokinesis-block micronucleus centromere assay. C3H10T1/2 mouse embryo fibroblasts were contaminated with either DU or EU at different concentrations (5 μM, 50 μM and 500 μM). Cells received low doses ranging from 0.3 μGy to 760.5 μGy. The frequency of binucleated cells with one micronucleus increased with increasing concentrations of both DU and EU in the same way. EU induced more centromere-negative micronuclei and nucleoplasmic bridges than DU. A correlation between these two clastogenic markers and ionizing radiation doses was observed. Finally, this study showed that the genotoxic profile of uranium depends on its isotopic composition. DU and EU are low and high clastogens, respectively. However, DU aneugenic effects remain high. Thus, there is a need to study the potential role of aneugenic effects of DU in carcinogenic risk assessment linked to uranium internal exposure. © 2009 Elsevier Ireland Ltd. All rights reserved