Empirical asset pricing in high-frequency markets

The first chapter provides a brief overview of the theoretical grounding of the so-called realized-measures and summarizes their statistical properties. Motivated by the superior statistical accuracy of high-frequency measures I test if they add economic value in a low-frequency investment context. I compare the profitability of the same investment strategy against two implementations of its trading signals: one that conventionally uses daily returns (LF) and the other that takes advantage of high-frequency (HF) returns. I use different lengths of the formation period to verify if the HF implementation can leverage the superior amount of observations. Although economic differences favour the HF implementation, the evidence is not statistically significant. Nonetheless, the HF implementation is more robust to the choice of parameters and provides, for the most illiquid stocks, strong economic benefits that are inversely increasing in the length of the formation period. The second chapter moves the focus onto the intraday level and seeks to establish the existence of an intraday momentum effect. Motivated by limited evidence of intraday pre- dictability both in the cross-section of US stock returns (see Heston, Korajczyk, and Sadka, 2010) and in the time-series of the aggregate stock market (see Gao et al., 2015), I reconsider the time-series dimension using all common US stocks from 1993 until 2010 and, building on this, I present the cross-sectional dimension with new and complimentary evidence. I find that statistical time-series predictability does not imply economic profitability, whereas cross-sectional sorts on past performance see stocks, which lost or won the most in the morning, earn (positive returns) above the rest of the cross-section in the afternoon, and especially during the last half-hour of trading. The effect is robust to stock characteristics, the day-of-week effect, variations in the formation and holding peri- ods, but exhibits some dependence on the sample period, suggesting that specific market mechanisms or frictions play a relevant role on intraday price formation. The third chapter looks at some claims about price acceleration constituting an informative trading signal. We build several empirical measures of acceleration and compare them to other traditional equity signals from the academic literature. We find that buying stocks whose returns are decelerating and shorting stocks whose returns are accelerating, produces a wide spread in returns. Moreover, while these profits are not explained by the state-of-the-art equity factor models, the cross-sectional variation of the average returns of portfolios sorted on the acceleration signals, are reconciled once we add our la5 factor – a simple reversal strategy with a lookback of one week. Taken together, our results cast doubt on acceleration being a separate phenomenon and suggest that the lookback period in trending strategies has been shrinking over time.Open Acces

Юридичний статус та повноваження суб’єктів митних правовідносин

Комаров О. В. Юридичний статус та повноваження суб’єктів митних правовідносин / О. В. Комаров // Lex Portus : юрид. наук. журн. / редкол. : С. В. Ківалов (голов. ред. ради), Б. А. Кормич (голов. ред.), І. В. Сафін (заст. голов. ред.), Т. В. Аверочкіна (наук. ред., відп. секр.) [та ін.] ; НУ "ОЮА", ГО "МА Святий Миколай". - Одеса : Видавничий дім «Гельветика», 2017. - № 6. – C. 75-84.Стаття присвячена проблемі невизначеності практики правозастосування законодавчих положень в частині, що регулюють юридичний статус, права та обов’язки декларанта та уповноважених ним осіб під час митного оформлення товарів, зокрема у зв’язку з проведенням митного огляду товарів. В основу дослідження покладено практичні кейси за результатами провадження зовнішньоекономічної діяльності та узагальнення практики правозастосування органами доходів і зборів відповідних положень законодавства під час митного контролю та митного оформлення товарів.The present article deals with the problem of solution of uncertainty in customs law enforcement practice and legislative provisions regulating the juridical status and powers of the declarant and his representative during the customs examination of goods, provided by them to customs clearance. The reasons of such uncertainty through the law enforcement, as well as the ways of its elimination have been researched in this article. The research is based on practical cases, related to international trade activity and practice of law application during the customs examination of goods.Статья посвящена проблеме неопределенности практики правоприменения законодательных положений, регулирующих юридический статус, права и обязанности декларанта и уполномоченных им лиц во время таможенного оформления, в частности при проведении таможенного осмотра товаров. В основе исследования лежат практические кейсы и результаты обобщения практики правоприменения соответствующих положений законодательства при проведении таможенного контроля и таможенного оформления товаров

Geovisualization of forest simulation modelling results: A case study of carbon sequestration and biodiversity

Sustainable forest management requires new tools to analyze spatial and temporal forest dynamics and to examine those forest parameters that are related to sustainability. We built a prototype system for data analysis and decision-making at forest enterprise level by integrating a forest ecosystem model EFIMOD-PRO (long-term prediction of forest growth and soil development) with an interactive visualization system CommonGIS for analysis of spatially and temporally related data. Using the prototype, a case study in Central European Russia simulated four silvicultural regimes over 200 years: natural development, selective forestry, legal forestry according to the Russian forestry legislation, and illegal forest practice. Exploratory analysis of the simulation results demonstrated that (1) natural stand development is the best alternative for carbon sequestration; (2) legal forest management is the best regime for timber production; (3) selective forestry combines the advantages of two previous strategies, and can be the best strategy for implementing sustainable forest management; and (4) illegal forest practices lead to a fast decrease in forest productivity and decreasing biodiversity. Interactive and dynamic visualizations with maps and statistical graphics played a crucial role in data cleaning, model validation, and analysis of simulation results. The case study demonstrated the potential of integrating forest ecosystem models with exploratory data visualization for the analysis and expert evaluation at the local level. The prototype can be used to present ecological and silvicultural consequences of various management practices to stakeholders and differing social groups, thus stimulating effective decision-making for sustainable forestry

Diarylethene-Based Photoswitchable Inhibitors of Serine Proteases

A bicyclic peptide scaffold was chemically adapted to generate diarylethene-based photoswitchable inhibitors of serine protease Bos taurus trypsin 1 (T1). Starting from a prototype molecule—sunflower trypsin inhibitor-1 (SFTI-1)—we obtained light-controllable inhibitors of T1 with Ki in the low nanomolar range, whose activity could be modulated over 20-fold by irradiation. The inhibitory potency as well as resistance to proteolytic degradation were systematically studied on a series of 17 SFTI-1 analogues. The hydrogen bond network that stabilizes the structure of inhibitors and possibly the enzyme–inhibitor binding dynamics were affected by isomerization of the photoswitch. The feasibility of manipulating enzyme activity in time and space was demonstrated by controlled digestion of gelatin-based hydrogel and an antimicrobial peptide BP100-RW. Finally, our design principles of diarylethene photoswitches are shown to apply also for the development of other serine protease inhibitor

Nature of Fast Relaxation Processes and Spectroscopy of a Membrane-Active Peptide Modified with Fluorescent Amino Acid Exhibiting Excited State Intramolecular Proton Transfer and Efficient Stimulated Emission

A fluorescently labeled peptide that exhibited fast excited state intramolecular proton transfer (ESIPT) was synthesized, and the nature of its electronic properties was comprehensively investigated, including linear photophysical and photochemical characterization, specific relaxation processes in the excited state, and its stimulated emission ability. The steady-state absorption, fluorescence, and excitation anisotropy spectra, along with fluorescence lifetimes and emission quantum yields, were obtained in liquid media and analyzed based on density functional theory quantum-chemical calculations. The nature of ESIPT processes of the peptide’s chromophore moiety was explored using a femtosecond transient absorption pump-probe technique, revealing relatively fast ESIPT velocity (∼10 ps) in protic MeOH at room temperature. Efficient superluminescence properties of the peptide were realized upon femtosecond excitation in the main long-wavelength absorption band with a corresponding threshold of the pump pulse energy of ∼1.5 μJ. Quantum-chemical analysis of the electronic structure of the peptide was performed using the density functional theory/time-dependent density functional theory level of theory, affording good agreement with experimental data

Highly Fluorinated Peptide Probes with Enhanced In Vivo Stability for 19^{19}F‐MRI

A labeling strategy for in vivo $^{19}$F-MRI (magnetic resonance imaging) based on highly fluorinated, short hydrophilic peptide probes, is developed. As dual-purpose probes, they are functionalized further by a fluorophore and an alkyne moiety for bioconjugation. High fluorination is achieved by three perfluoro-tert-butyl groups, introduced into asparagine analogues by chemically stable amide bond linkages. d-amino acids and β-alanine in the sequences endow the peptide probes with low cytotoxicity and high serum stability. This design also yielded unstructured peptides, rendering all 27 $^{19}$F substitutions chemically equivalent, giving rise to a single $^{19}$F-NMR resonance with <10 Hz linewidth. The resulting performance in $^{19}$F-MRI is demonstrated for six different peptide probes. Using fluorescence microscopy, these probes are found to exhibit high stability and long circulation times in living zebrafish embryos. Furthermore, the probes can be conjugated to bovine serum albumin with only amoderate increase in $^{19}$F-NMR linewidth to ≈30 Hz. Overall, these peptide probes are hence suitable for in vivo $^{19}$F-MRI applications