The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vienna Stock Exchange¹

The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES

The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval.The main conclusion is that the number of trades during short intervals is predictable in the sense that the prediction, even based on relatively simple models, is with respect to statistical properties better than the prediction based on the random walk, which is used as a benchmark model

Modeling of Returns and Trading Volume by Regime Switching Copulas

The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected companies listed in ATX. A copula in the first regime was chosen as an asymmetric copula with positive lower and upper tail dependencies. Conversely, Gaussian copula in the second regime is a symmetric copula and variables linked with it are tail independent. For all analyzed stocks the probability of being at the first regime appeared to be vitally greater than being at the second regime. This result suggest that there is considerable dependence between realized volatility and daily volume in extreme values. The results suggest that interdependencies between realized volatility and trading volume do not probably depend on the size but rather on the branch of a company

Next-generation sequencing as a tool to detect vaginal microbiota disturbances during pregnancy

The physiological microbiota of the vagina is responsible for providing a protective barrier, but Some factors can disturb the balance in its composition. At that time, the amounts of the genus Lactobacillus decrease, which may lead to the development of infection and severe complications during pregnancy. The aim of the study was the analysis of the bacterial composition of the vagina in 32 Caucasian women at each trimester of pregnancy using the next-generation sequencing method and primers targeting V3-V4 regions. In the studied group, the dominant species were Lactobacillus iners, Lactobacillus gasseri, and Lactobacillusplantarum. Statistically significant differences in the quantitative composition between trimesters were observed in relation to Lactobacillus jensenii,Streptococcus agalactiae, Lactobacillus iners, Gardnerella spp. Out of the 32 patients, 20 demonstrated fluctuations within the genus Lactobacillus, and 9 of them, at different stages of pregnancy, exhibited the presence of potentially pathogenic microbiota, among others: Streptococcus agalactiae, Gardnerella spp., Atopobium vaginae, and Enterococcus faecalis. The composition of the vaginal microbiota during pregnancy was subject to partial changes over trimesters. Although in one-third of the studied patients, both the qualitative and quantitative composition of microbiota was relatively constant, in the remaining patients, physiological and potentially pathogenic fluctuations were distinguished

Optimal Portfolio Under VaR and ES

An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime switching copula based model including asymmetric and fat-tailed copulas. All the indices are left-skewed and fat-tailed. Large indices are more skewed and less fail-tailed. The findings suggest that size of a market has an influence on its properties. A particular behaviour of the Turkish market suggests the importance of geographical factors. It is also suggested that the maturity of a market is insignificant in the analysis. Another important conclusion drawn from our empirical investigation is that VaR is a less exact risk measure than ES. However, the dynamics of the temporal and statistical properties of both measures are similar. (original abstract

Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw

This paper analyzes short-run relationships between German, Austrian and Polish stock market indices using the Markov Switching VAR (MSVAR) model. The impulse response function is used as the main tool and reveals two market phases. The results are useful for investors; reactions to disturbances are complex and depend on the market phase and the considered pair of variables. There is also a theoretical analysis of the MSVAR model. The theoretical unconditional characteristics of the process driven by the msvar model are presented along with calculation techniques which can be applied to other models