TRADE DURATION AND MARKET IMPACT Kociński, Marek Andrzej
Metody ilosciowe w badaniach ekonomicznych,
2015, Letnik:
XVI, Številka:
1
Journal Article
Odprti dostop
In this article the problem of the algorithm of the transaction execution as the factor in market impact modelling is studied. The current state of research in this area is presented and discussed. ...The paper adds new arguments to the discussion on this topic. Moreover, the solution to the problem of the trade execution’s duration in practical application of Almgren et al. 2005 market impact model is proposed.
In the article two popular low-frequency methods od bid-ask spread estimation are presented and applied to the stocks quoted on the Warsaw Stock Exchange (WSE): the Roll method Roll 1984 and ...CorwinSchultz method Corwin and Schultz 2012. The widely available data on average spreads published by WSE are used as benchmark and proxy of information, usually received from difficult to access and limited high frequency financial data.
A number of recent papers on the management of the stock portfolio describes the advantages of the naïve diversification. The naïve strategy performs similarly to the ones which use sophisticated ...mathematical models. In this paper the strategy is presented which statistically significantly overperforms the naïve strategy.
Most of the so far proposed Bonus–Malus Systems (BMSs) establish a premium only according to the number of accidents, without paying attention to the vehicle damage severity. Frangos and Vrontos 2001 ...proposed the optimal BMS design based not only on the number of accidents of a policyholder, but also on the size of loss of each accident. In our work, we apply the approach presented by Frangos and Vrontos to construct the Bayesian confidence intervals for both the number of accidents and the amount of damage caused by these accidents. We also conduct some simulations in order to create tables of estimates for both the numbers and the sizes of losses and to compute the realizations of the corresponding Bayesian confidence intervals. We compare the results obtained by using our simulation studies with the appropriate results derived through an application of an asymmetric loss function and its certain modification.
Accurate modeling of the human vascular tree from 3D computed tomography (CTA) or magnetic resonance (MRA) angiograms is required for visualization, diagnosis of vascular diseases, and computational ...fluid dynamic (CFD) blood flow simulations. This work describes an automated algorithm for constructing the polygonal mesh of blood vessels from such images. Each vascular segment is modeled as a tubular object, and a thin plate spline transform is used to generate the corresponding surface from its centerline-radius representation. A novel approach for generating the polygonal mesh of bifurcating vessels based on conformal mapping is presented. A mathematical description of the methodology is also provided. The model is improved by computing local intensity features with subvoxel accuracy, to slightly deform the mesh of the vascular tree for fine-tuning. The proposed algorithm was successfully tested on a 3D synthetic image containing randomly generated vascular branches. Experiment results, confirmed by real-world Time of Flight MRA, demonstrate that our methodology is consistent and capable of generating high quality triangulated meshes of vascular trees, suitable for further CFD simulations. Compared to common techniques, conformal mapping proved to be a simple and effective mathematical approach for polygonal mesh modeling of bifurcating vessels.
In our paper, a stochastic model of forecasting of the numer of firms of a given type, acting on the market in a given year, is proposed. The model uses the probabilistic tools of the theory of ...branching processes. Our approach is an alternative method to the forecasting methods proposed so far, including those based on time series. The theoretical results presented in the paper may be applied in the forecasting of the market position of the firms of a given sector.
Accurate quantitative information about blood vasculature depicted in 3D MR images has a great importance in diagnosis of many vascular diseases. In this work, the accuracy of vessel lumen walls ...reconstruction is studied. A 3D printed model of two MRI time-of-flight arterial branches is manufactured. Next, it is submerged in water and T2-weighted MR images are acquired in coronal, transversal and sagittal thick slice orientation. Then, MR anisotropic and fused (resampled and averaged) images are segmented with the use of Level-Set (LS) and centerline-radius (CR) algorithms. Surfaces of 3D branch models are constructed, and errors of their estimated radii are evaluated. We have demonstrated that LS approach may not be capable of segmenting thin vascular branches in anisotropic-voxel images. After image resampling, the LS segmentation restores the object surface, but with significant staircase distortion. Thanks to the knowledge about the assumed vessel shape, incorporated with the CR method, it produces accurate estimates of the branch radius and smooth model surface, even in the case of anisotropic voxel images.
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