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This paper presents empirical tests of a model of intraday transaction price walks haveior events both the existence of price reversal's in transaction price sequence with random, New York daily. and longer different intervlas. In genral, we find that trasaction of independ events both with respect to their time execution and the siem and (bid or ask) or whick thaye are executed. Over very short intervals times, however, transapction tend to cluster in time and on a particular side of the market. We conjecture that this latter phenomenon is a consequence of market procedures on the New York Stock Exchange. 相似文献
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C.-E. Quensel 《Scandinavian actuarial journal》2013,2013(3-4):199-217
Abstract A unit is characterized by two variables x and y, which need not be quantitatively defined but which make possible a grouping of the units into classes by increasing values. According to the value of the first property, the population can be divided into k classes with dividing points x 1, x 2, ... x κ?1, and according to the value of the second property the population can be divided into l classes with dividing points Y 1, Y 2, ... Y l?1. (Furthermore, we introduce the class limits x 0 = Y 0 = ? ∞, xκ = Yl = + ∞.) 相似文献
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This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns. Based on these approximations, I express the expected trading costs as a function of asset and portfolio characteristics. All else equal, the expected trading costs increase with: i) the deviations of the expected asset returns from the expected portfolio return, ii) the assets' volatility and iii) the portfolio volatility. At the same time, they decrease with the covariance between the assets and the portfolio. Furthermore, I propose novel estimators of the expected turnover and trading costs and show that they offer small bias and low variance, even when the sample size is small. Finally, I incorporate my results into a portfolio selection framework to produce portfolios with low levels of risk and trading costs. Several experiments with real and simulated data confirm the practical value of the results. 相似文献
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Ivar Hesselberg 《Scandinavian actuarial journal》2013,2013(2):100-112
Abstract Extract Owing to the low premium rates used by Norwegian Life Insurance Companies, the solution of the question relating to the covering of the war-risk offers, in their case, peculiar difficulties. In their proposal for a new basis of calculations the Norwegian actuaries pointed to the desirability of the Companies trying, to a greater extent than heretofore, to arrive at the full payment, in case of a war, of claims arising from deaths among insured persons participating in the war. Most of the Norwegian Companies introduced the new calculations from Jan. 1st 1925, the proposal of the minority as to loading having been adopted. Only one of the companies, the Idun, granted to its policyholders the right to full indemnity in case of death in war, and this right was given on the basis of a special regulation for the allotment of profits. 相似文献
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Abstract In the present paper we develop recursive algorithms for evaluation of the Delaporte distribution, the compound Delaporte distribution, and convolutions of compound Delaporte distributions. Some asymptotic results are given. We discuss how the approach can sometimes be generalized to other classes of compound mixed Poisson distributions when the mixing distribution is a shifted infinitely divisible distribution. 相似文献
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Nelson De Pril 《Scandinavian actuarial journal》2013,2013(1-3):61-68
Abstract In an earlier paper the author derived a recursion formula which permits the exact computation of the aggregrate claims distribution in the individual life model. This exact procedure requires of course more computing time than approximative methods such as Kornya's algorithm, which seemed to be the best compromise between accuracy and computational effort. In the present paper it is shown that, to save time, the exact formula can be used in an approximative way and that the corresponding error bound is smaller than the one of the Kornya-type approximations. 相似文献
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Martin Bugeja 《The British Accounting Review》2011,43(4):278-293
This study investigates if there is a positive association between takeover premiums and the bidder’s perception of target firm auditor reputation and independence. Using auditor size as a proxy for auditor reputation, the results indicate that in hostile takeovers target shareholders receive a higher takeover premium when a Big 4 auditor audits the target firm prior to the takeover. This result is only significant, however, in the period prior to the highly publicised audit failures. The impact of perceived auditor independence on takeover premiums is studied using the levels and size of non-audit service (NAS) fees provided by the target firm auditor. Using three proxies for auditor independence, the results show no association between perceived auditor independence and takeover premiums. This finding is robust to partitioning the sample by auditor size, takeover hostility and splitting the sample into takeovers pre- and post- the corporate scandals that occurred in 2002. 相似文献
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在企业IT管理任务日益繁重的今天,对软件补丁更新进行集中管理,把补丁管理纳入企业的安全体系已经成为IT应用部门尤其是拥有大型计算机网络的银行的迫切要求。建立一套软件补丁分发体系可以大大提高银行网络管理的自动化程度,确保系统的安全和用户支持的自动化,提高管理效率。自动化管理流程还可以避免人工操作带来的风险,使银行IT资产得到更好的保护,形成硬性有效的内部控制。 相似文献
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《Journal of Multinational Financial Management》2000,10(3-4):367-395
This paper studies the distribution and conditional heteroscedasticity in stock returns on the Taiwan stock market. Apart from the normal distribution, in order to explain the leptokurtosis and skewness observed in the stock return distribution, we also examine the Student-t, the Poisson–normal, and the mixed-normal distributions, which are essentially a mixture of normal distributions, as conditional distributions in the stock return process. We also use the ARMA (1,1) model to adjust the serial correlation, and adopt the GJR–generalized autoregressive conditional heteroscedasticity (GARCH (1,1)) model to account for the conditional heterscedasticity in the return process. The empirical results show that the mixed–normal–GARCH model is the most probable specification for Taiwan stock returns. The results also show that skewness seems to be diversifiable through portfolio. Thus the normal–GARCH or the Student-t–GARCH model which involves symmetric conditional distribution may be a reasonable model to describe the stock portfolio return process1. 相似文献
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M. C. Jones 《Scandinavian actuarial journal》2013,2013(1-2):104-109
Abstract Two comments are made on the relationship between the Poisson-exponential model of insurance claims and the non-central chi-squared distribution. The first relates the Poisson-exponential to the recently introduced noncentral chi-squared on zero degrees-of-freedom; the second expands on the link between that distribution and the non-central chi-squared distribution on four degrees-of-freedom, noted by Boyle (1978). 相似文献
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审计独立性 会计信息质量与市场反应 总被引:1,自引:0,他引:1
会计盈余信息有用性的研究都是以无差别的审计服务和盈余作为现金流的替代指标为前提的。本文放宽了这些假设,通过模型建立、实证研究,经验地研究了审计独立性与市场反应的关系。研究结果发现,除非预期盈余具有信息含量外,审计意见具有增量的信息含量,尤其是非标审计意见的影响。 相似文献
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Ole Hesselager 《Scandinavian actuarial journal》2013,2013(1-3):69-76
Abstract In the ELB (Empirical Linear Bayes)-approach to credibility, the unknown structural parameters are substituted by a set of parameter estimates. The weighted least squares estimators are known to be asymptotically normally distributed when the design variables are independent and identically distributed random variables. It is demonstrated that, with probability one, the conditional asymptotic distribution, given the design, is the same as the unconditional distribution. Estimation of the asymptotic covariance matrix will also be considered. 相似文献
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D. G. Kabe 《Scandinavian actuarial journal》2013,2013(2):179-181
Abstract The evaluation of multiple integrals which occur in order statistics distribution theory is involved due to the fact that the integration is to be carried on over an ordered range of variables of integration. This difficulty is sometimes completely obviated by transforming the ordered variates to the unordered ones. Several such transformations are available in the Theory of Multiple Integrals. In previous papers [2, 3] the author used one such transformation, and gave alternative simplified proofs of several known results in the distribution theory of order statistics from the exponential and the power function distributions. In this paper we use such a known transformation to derive moments (and distributions if necessary) of order statistics from the Pareto distribution. Malik [4] has derived moments of order statistics from this distribution without the transformation of the ordered variates to the unordered ones. The process of direct integration used by Malik becomes complicated for dealing with the moments of more than two ordered variates. Further, the method which we use here is unformly applicable to derive the moments or the distributions of one or more ordered variables, and gives the distributions and moments without any complicated steps in integration. The transformation used by us considerably simplifies the manipulations necessary for the derivation of moments or the Mellin transforms, and thus we hope that our paper would at least be of Pedagogical interest. 相似文献
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B. L. S. Prakasa Rao 《Scandinavian actuarial journal》2013,2013(3):139-140
Abstract Recently Lyle Cook (1978) has obtained a characterization of the exponential distribution. We obtain an analogue of this result for geometric distribution. 相似文献