نتایج جستجو برای: ftse
تعداد نتایج: 361 فیلتر نتایج به سال:
This paper models the arrival rate of voluntary news announcements of the FTSE AllShare firms. We test to see if the earnings environment affects the volume of news announcements that firms release to the stock market. We also examine whether the other factors such as the size of a firm and the external coverage a firm receives affects the pattern of news disclosures. Our results show that firm...
Efficient management of large multidimensional datasets has attracted much attention in the database research community. Such large multidimensional datasets are common and efficient algorithms are needed for analyzing these data sets for a variety of applications. In this thesis, we focus our study on two very common classes of analysis: similarity and skyline summarization. We first focus on ...
A 6-year follow-up of the effect of graft site on strength, stability, range of motion function and joint degeneration after anterior cruciate ligament reconstruction. Patellar tendon versus semitendinosus and gracillis tendon graft. Susan L Keays (PT, PhD), Joanne E Bullock-Saxton (PT, PhD), Anthony C Keays (MD), Peter A Newcombe (PhD), Margaret I Bullock (PT, PhD, AM FTSE) The American Journa...
The objective in this paper is to develop and implement FGP-2 (Financial Genetic Programming) on intra daily tick data for stock index options and futures arbitrage in a manner that is suitable for online trading when windows of profitable arbitrage opportunities exist for short periods from one to ten minutes. Our benchmark for FGP-2 is the textbook rule for detecting arbitrage profits. This r...
The volatility surface implied by option prices presents a structure that changes over time. The aim of this study is to present a framework to model the implied volatility of the FTSE options in real time, and to present a prototype application that implements this framework. We adapt the parametric models presented in Dumas et al (1998) to estimate the surfaces across moneyness instead of acr...
In this paper we propose an approach to modelling non-linear conditionally heteroscedastic time series characterised by asymmetries in both the conditional mean and variance. This is achieved by combining a TAR model for the conditional mean with a Changing Parameters Volatility (CPV) model for the conditional variance. Empirical results are given for the daily returns of the S&P 500, NASDAQ co...
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