Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.financial UHF data, intraday seasonality, diurnal pattern, cubic splines, kernel estimation.

Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

The aim of this paper is to outline the typical characteristics of the ultra-highfrequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange

Reliability Of A Novel Intracardiac Electrogram Method For AV And VV Delay Optimization And Comparability To Echocardiography Procedure For Determining Optimal Conduction Delays In CRT Patients

Background: Echocardiography is widely used to optimize CRT programming. A novel intracardiac electrogram method (IEGM) was recently developed as an automated programmer-based method, designed to calculate optimal atrioventricular (AV) and interventricular (VV) delays and provide optimized delay values as an alternative to standard echocardiographic assessment.Objective: This study was aimed at determining the reliability of this new method. Furthermore the comparability of IEGM to existing echocardiographic parameters for determining optimal conduction delays was verified.Methods: Eleven patients (age 62.9± 8.7; 81% male; 73% ischemic), previously implanted with a cardiac resynchronisation therapy defibrillator (CRT-D) underwent both echocardiographic and IEGM-based delay optimization.Results: Applying the IEGM method, concordance of three consecutively performed measurements was found in 3 (27%) patients for AV delay and in 5 (45%) patients for VV delay. Intra-individual variation between three measurements as assessed by the IEGM technique was up to 20 ms (AV: n=6; VV: n=4). E-wave, diastolic filling time and septal-to-lateral wall motion delay emerged as significantly different between the echo and IEGM optimization techniques (p < 0.05). The final AV delay setting was significantly different between both methods (echo: 126.4 ± 29.4 ms, IEGM: 183.6 ± 16.3 ms; p < 0.001; correlation: R = 0.573, p = 0.066). VV delay showed significant differences for optimized delays (echo: 46.4 ± 23.8 ms, IEGM: 10.9 ± 7.0 ms; p <0.01; correlation: R = -0.278, p = 0.407).Conclusion: The automated programmer-based IEGM-based method provides a simple and safe method to perform CRT optimization. However, the reliability of this method appears to be limited. Thus, it remains difficult for the examiner to determine the optimal hemodynamic settings. Additionally, as there was no correlation between the optimal AV- and VV-delays calculated by the IEGM method and the echo optimization, the use of the IEGM method and the comparability to the echo has not been definitely clarified

Inhibition of lipolysis in Type 2 diabetes normalizes glucose disposal without change in muscle glycogen synthesis rates

Suppression of lipolysis by acipimox is known to improve insulin-stimulated glucose disposal, and this is an important phenomenon. The mechanism has been assumed to be an enhancement of glucose storage as glycogen, but no direct measurement has tested this concept or its possible relationship to the reported impairment in insulin-stimulated muscle ATP production. Isoglycaemic–hyperinsulinaemic clamps with [13C]glucose infusion were performed on Type 2 diabetic subjects and matched controls with measurement of glycogen synthesis by 13C MRS (magnetic resonance spectroscopy) of muscle. 31P saturation transfer MRS was used to quantify muscle ATP turnover rates. Glucose disposal rates were restored to near normal in diabetic subjects after acipimox (6.2±0.8 compared with 4.8±0.6 mg·kgffm−1·min−1; P<0.01; control 6.6±0.5 mg·kgffm−1·min−1; where ffm, is fat-free mass). The increment in muscle glycogen concentration was 2-fold higher in controls compared with the diabetic group, and acipimox administration to the diabetic group did not increase this (2.0±0.8 compared with 1.9±1.1 mmol/l; P<0.05; control, 4.0±0.8 mmol/l). ATP turnover rates did not increase during insulin stimulation in any group, but a modest decrease in the diabetes group was prevented by lowering plasma NEFAs (non-esterified fatty acids; 8.4±0.7 compared with 7.1±0.5 μmol·g−1·min−1; P<0.05; controls 8.6±0.8 μmol·g−1·min−1). Suppression of lipolysis increases whole-body glucose uptake with no increase in the rate of glucose storage as glycogen but with increase in whole-body glucose oxidation rate. ATP turnover rate in muscle exhibits no relationship to the acute metabolic effect of insulin

Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market

In recent years, autoregressive conditional duration models (ACD models) introduced by Engle and Russell in 1998 have become very popular in modelling of the durations between selected events of the transaction process (trade durations or price durations) and modelling of financial market microstructure effects. The aim of the paper is to develop Bayesian inference for the ACD models. Different specifications of ACD models will be considered and compared with particular emphasis on the linear ACD model, Box-Cox ACD model, augmented Box-Cox ACD model and augmented (Hentschel) ACD model. The analysis will consider models with the Burr distribution and the generalized Gamma distribution for the innovation term. Bayesian inference will be presented and practically used in estimation of and prediction within ACD models describing trade durations. The MCMC methods including MetropolisHastings algorithm are suitably adopted to obtain samples from the posterior densities of interest. The empirical part of the work includes modelling of trade durations of selected equities from the Polish stock market

The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach

In empirical research on financial market microstructure and in testing some predictions from the market microstructure literature, the behavior of some characteristics of trading process can be very important and useful. Among all characteristics associated with tick-by-tick data, the trading time and the price seem the most important. The very first joint model for prices and durations, the so-called UHF-GARCH, has been introduced by Engle (2000). The main aim of this paper is to propose a simple, novel extension of Engle’s specification based on trade-to-trade data and to develop and apply the Bayesian approach to estimation of this model. The intraday dynamics of the return volatility is modelled by an EGARCH-type specification adapted to irregularly time-spaced data. In the analysis of price durations, the Box-Cox ACD model with the generalized gamma distribution for the error term is considered. To the best of our knowledge, the UHF-GARCH model with such a combination of the EGARCH and the Box-Cox ACD structures has not been studied in the literature so far. To estimate the model, the Bayesian approach is adopted. Finally, the methodology developed in the paper is employed to analyze transaction data from the Polish Stock Market

Steady and unsteady simulation of flow structure of two surface-mounted square qbstacles

The paper presents the numerical results obtained with the use of the FLUENT commercial code for analysing the flow structure around a single cube and two rectangular inline surface-mounted bluff bodies immersed in a boundary layer. In the former case, clear effects of the inflow boundary layer thickness on the wall-shear stress within the wake of a single body are described. In the latter case, the grid resolution accuracy in predicting periodic vortex shedding from two tandem arrangement bodies is examined. Moreover, the aim of this study is to highlight the differences between steady and unsteady simulations

Anatomo-anthropological analysis of a series of skulls of a historical population from Łankiszki (Belarus)

Ocena płci i wieku biologicznego stosowana jest powszechnie m.in. w kryminalistyce, dla zidentyfikowania osób zaginionych, ale także dla oszacowania potencjalnych przyczyn zgonu i oceny poziomu jakości życia w populacjach historycznych. Opracowano szereg metod oceny płci, wieku oraz rozpoznawania urazów i markerów stresu na materiale kostnym. Publikowane w literaturze naukowej prace pokazują, że pozyskiwanie takiej wiedzy może znacząco przyczynić się do odwzorowywania wydarzeń i historii życiowej ludzkości na przestrzeni dziejów. Celem prezentowanej pracy było odtworzenie stanu demograficznego badanej populacji poprzez określenie płci i wieku w chwili zgonu, zbadanie zróżnicowania cech antropometrycznych i antroposkopijnych, analiza stanu zdrowia, urazów i markerów stresu fizjologicznego, a także określenie potencjalnych przyczyn zgonów.Dokonano analizy materiału osteologicznego pochodzącego z XIV - XVI wieku z cmentarzyska w miejscowości Łankiszki pod Naczą z terenu dzisiejszej Białorusi, pod względem płci, wieku, stanu zachowania oraz cech szczególnych. Dla każdej badanej czaszki zmierzono także wymiary i obliczono wskaźniki klasyfikujące je do konkretnych grup, dzięki czemu można było ustalić poziom dymorfizmu i zróżnicowanie wewnątrzpopulacyjne.Przeprowadzone pomiary i wyniki analizy statystycznej świadczą o niewielkiej zmienności pod względem cech dymorficznych czaszek. Ocena wieku i płci wykazała duży odsetek kobiet i dzieci w badanej grupie. Dodatkowo, większość czaszek nosiła ślady uszkodzeń, zarówno pośmiertnych, jak i takich, które mogły być przyczyną zgonu. Rzadkie występowanie markerów stresu świadczy o dobrej jakości życia i odżywieniu populacji. Wyniki analiz wskazują, że na cmentarzysku mogły być pochowane ofiary napaści. Świadczy o tym duża liczba pochowanych tam dzieci i młodych kobiet w stosunku do mężczyzn, a także liczne ślady urazów. W pełni jednak nie można potwierdzić tej hipotezy ze względu na brak kości długich oraz liczne uszkodzenia tafonomiczne czaszek, które utrudniają diagnostykę urazów przyżyciowych. Przeprowadzana analiza anatomo-antropologiczna pokazuje jednak, że nawet przy niekompletnym zachodzeniu materiału osteologicznego na jego podstawie można uzyskać wiele istotnych informacji na temat życia i śmierci danego osobnika oraz całych populacji.The assessment of sex and biological age is commonly used e.g., in forensic science, to identify missing persons, but also to estimate potential causes of death and assess the quality of life in historical populations. Several methods have been developed for the assessment of sex, age and the recognition of injuries and stress markers on bone material. The works published in the scientific literature show that the acquisition of such knowledge can significantly contribute to mapping the events and life history of humanity throughout history.The aim of the presented study is to reconstruct the demographic status of the studied population by determining the sex and age at the time of death, examining the diversity of anthropometric and anthroposcopic features, analyzing health status, injuries and markers of physiological stress, as well as determining potential causes of death.Osteological material from the 14th - 16th centuries from the cemetery in Łakiszki near Nacza, in today's Belarus, was analyzed in terms of sex, age, state of preservation and specific features. For each examined skull, dimensions were also measured, and indices were calculated to classify them into specific groups, thanks to which it was possible to determine the level of dimorphism and intra-population diversity.The measurements and the results of the statistical analysis show a small variability in terms of dimorphic features of the skulls. The assessment of age and gender showed a large percentage of women and children in the study group. In addition, most of the skulls bore signs of damage, both post-mortem and those that could have been the cause of death. Rare occurrence of stress markers proves good quality of life and nutrition of the population.The results of the analyzes indicate that the victims of the assault could have been buried in the cemetery. This is evidenced by the large number of children and young women buried there in relation to men, as well as numerous traces of injuries. However, this hypothesis cannot be fully confirmed due to the lack of long bones and numerous taphonomic lesions of the skulls, which make the diagnosis of vital injuries difficult. The conducted anatomical and anthropological analysis shows, however, that even in the case of incomplete overlapping of the osteological material on its basis, it is possible to obtain a lot of important information about the life and death of a given individual and entire populations

Modele ACD i wnioskowanie bayesowskie w analizie danych transakcyjnych z polskiego rynku akcji

Tyt. z ekranu tytułowego.Promotor: Jacek Osiewalski.Niepublikowana praca doktorska.Praca doktorska. Uniwersytet Ekonomiczny (Kraków). Wydział Zarządzania, 2013.Zawiera bibliogr.Praca dostępna także on-line