We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time. Analyzing one-minute cumulative trading volumes of five large NASDAQ stocks in 2008, we show that local win...

In this article, we propose a novel application for Support Vector Regression (SVR) for strategies of executing orders on stock exchanges. We use SVR for predicting volume participation function in execution strategies which try to achieve Volume Weighted Average Price (VWAP) measure of quality of the execution. Moreover, we use SVR with a priori knowledge about stock prices in order to further...

This paper empirically examines commercialization of university faculty inventions through startup firms from 1994 through 2008. Using data from the Association of University Technology Managers and the 2010 NRC doctoral rankings, our research reveals several findings. We find that university entrepreneurship is more common in bad economic times and that engineering department quality and biolo...

HOLON, ISRAEL, January 4, 2017 –– Compugen Ltd. (NASDAQ: CGEN), a leading predictive drug discovery company, disclosed today new animal model results demonstrating restoration of immune tolerance by CGEN-15001, the Company’s lead candidate for treatment of autoimmune diseases. Importantly, the immune tolerance established by CGEN-15001 was shown to be antigen-specific, indicating that treatment...

We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Drăgulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982–1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other ...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of m...

Enea is a global vendor of Linux and Real-time operating system solutions including middleware, tools, protocols and services. The company is a world leader in developing software platforms for communication-driven products in multiple verticals, with extreme demands on high-availability and performance. Enea’s expertise in operating systems and high availability middleware shortens development...

In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading vo...

In 1997 the Dutch legislature passed a new Act on university governance. The basic principles of universities' internal authority structure were substantially changed with the objective to increase the quality of teaching and research, the decisiveness of university management and institutional autonomy. This new Act is usually referred to as the 'MUB': Modernization University Governance Organ...

To improve the efficiency of closing price, many equity exchanges apply volatility extensions to their call auctions (CCAs). If an imminent auction execution implies a large price change, order submission period is extended let traders reconsider orders. This paper uses introduction at NASDAQ Nordic provide first analysis effects such mechanisms. We find that reduce transitory and deter manipul...