scholarly journals Intraday imbalance optimization: incentives and impact of strategic intraday bidding behavior

2021 ◽  
Author(s):  
Christopher Koch
Keyword(s):  
Portfolio Management ◽  
Supply And Demand ◽  
Trading Strategies ◽  
System Stability ◽  
Short Term ◽  
Percentage Points ◽  
Pricing Rules ◽  
Different Types ◽  
High System ◽  
Intraday Market

AbstractIntraday markets are crucial to balance supply and demand in the very short-term, up to delivery. They are often designed as continuous auctions with a pay-as-bid pricing mechanism. While several studies assess trading strategies to balance different types of portfolios, they normally do not consider the incentives of the imbalance prices for portfolio management. This paper analyzes a strategy of taking positions in the German intraday market based on expected imbalance prices and examines its impact on system stability. Using a logistic regression model, it is possible to accurately predict the direction of the overall system balance and to apply a profitable trading strategy. For a period from 01/07/2017 to 30/06/2019, the strategy outperforms a simple approach by EUR 47 000 per MW. However, this behavior would predominantly not have been system supportive due to biased imbalance price incentives. These are asymmetric price spreads and insufficiently low imbalance prices compared to intraday prices. An efficient intraday price constraint would partly solve the problem. The overall share of system supportive imbalance positions would raise by ten percentage points. In situations with high system wide imbalances, up to three-quarters of the positions would stabilize the system. These findings are important for regulation in Germany and other countries with a single imbalance pricing as they provide an indication for crucial points of the imbalance pricing rules to incite appropriate market behavior.

Abnormal trading around common factor pricing models

2019 ◽  
Vol 12 (4) ◽  
pp. 317-334
Author(s):  
Jiexin Wang ◽  
Xue Han ◽  
Emily J. Huang ◽  
Christopher Yost-Bremm
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Price ◽  
Common Factor ◽  
Trading Strategies ◽  
Short Term ◽  
Content Type ◽  
Portfolio Strategies ◽  
Fama And French ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of factor-based trading strategies on pricing and volume. Design/methodology/approach The authors employ a regression discontinuity approach to identify abnormalities in volume or pricing around expected portfolio changes. In addition, the authors characterize more granular effects on pricing and volume as a result of portfolio re-classification through Fama and Macbeth (1973) regressions. Findings The authors find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if the firm is predicted to move into a long component of a factor-mimicking portfolio, and temporarily low if moving into a short component. Similar results are apparent when examining movement in and out of the 25 size and book-to-market sorted test asset portfolios. Practical implications The use of portfolio strategies formulated on the basis of sorting procedures, while once upon a time a niche market in the portfolio management industry, is now ubiquitous. The results of this study raise interesting methodological questions about the pricing implications arising from these common methodologies. Originality/value This study makes a number of contributions. First, it contributes to the idea that the publication or dissemination of trading strategies or – more generally – common portfolio sorting methods, leads to effects on pricing and volume through commonly motivated trading pressure. In other words, recipe-like discoveries of advantageous trading strategies lead to a synthetic creation of demand. Second, by noting that a lot of factor-focused trading activity begins around July and August of each year, the study relates to existing literature which documents seasonal variation in stock returns and volume. The findings raise questions about what guides institutional investors’ portfolio allocation decisions and whether these are optimal in aggregate.

Comprehensive Effects of Short-Term Rental Platforms Across Hotel Types in U.S. and International Destinations

2021 ◽  
pp. 193896552110335
Author(s):  
John W. O’Neill ◽  
Jihwan Yeon
Keyword(s):  
Service Providers ◽  
Comprehensive Analysis ◽  
Competitive Market ◽  
Substitution Effects ◽  
Short Term ◽  
Hotel Performance ◽  
The World ◽  
Different Types ◽  
Location Type ◽  
The Impact

In recent years, short-term rental platforms in the lodging sector, including Airbnb, VRBO, and HomeAway, have received extensive attention and emerged as potentially alternative suppliers of services traditionally provided by established commercial accommodation providers, that is, hotels. Short-term rentals have dramatically increased the available supply of rooms for visitors to multiple international destinations, potentially siphoning demand away from hotels to short-term rental businesses. In a competitive market, an increase in supply with constant demand would negatively influence incumbent service providers. In this article, we examine the substitution effects of short-term rental supply on hotel performance in different cities around the world. Specifically, we comprehensively investigate the substitution effects of short-term rental supply on hotel performance based on hotel class, location type, and region. Furthermore, we segment the short-term rental supply based on its types of accommodations, that is, shared rooms, private rooms, and entire homes, and both examine and quantify the differential effects of these types of short-term rentals on different types of hotels. This study offers a comprehensive analysis regarding the impact of multiple short-term rental platforms on hotel performance and offers both conceptual and practical insights regarding the nature and extent of the effects that were identified.

Analyzing the impact of grazing and short-term irrigation management on soil mechanical strength of a volcanic ash soil under different types of pastures

2021 ◽  
Vol 213 ◽  
pp. 105130
Author(s):  
Dorota Dec ◽  
Sebastián Bravo ◽  
Rainer Horn ◽  
Daniel Uteau ◽  
Stephan Peth ◽  
...  
Keyword(s):  
Mechanical Strength ◽  
Volcanic Ash ◽  
Irrigation Management ◽  
Short Term ◽  
Volcanic Ash Soil ◽  
Different Types ◽  
The Impact

scholarly journals Duration of Short-term Effects of PNF According to Different Types of Joint Movement

2012 ◽  
Vol 27 (5) ◽  
pp. 589-592
Author(s):  
Katsuyuki KATOU ◽  
Hitoshi MARUYAMA
Keyword(s):  
Joint Movement ◽  
Short Term ◽  
Different Types ◽  
Short Term Effects

Morbidity of in-hospital purulent-septic infections of adults patients after different types of endovascular cardiosurgical operations

2020 ◽  
pp. 13-19
Author(s):  
Viktor Ivanovich Sergevnin ◽  
Larisa Gennadievna Kudryavtseva ◽  
Anna Igorevna Zolotukhina
Keyword(s):  
Medical Records ◽  
Heart Surgery ◽  
Surgical Intervention ◽  
Heart Rhythm ◽  
Community Acquired Pneumonia ◽  
Short Term ◽  
Intervention Community ◽  
Duration Of Surgery ◽  
Different Types ◽  
Low Incidence

An estimate of the incidence of nosocomial purulent-septic infections (GSI) of adult patients after various types of closed heart surgery according to the results of a study of medical records of 3275 patients is presented. It was established that the incidence rate of typical GSI after endovascular cardiac surgery was 3.1, with prenosological forms — 3.9 per 1000 operations. The main clinical options for postoperative GSI were infections in the field of surgical intervention, community-acquired pneumonia, urinary tract infection and bloodstream infection. There were no statistically significant differences between the incidence of GSI after stenting of the coronary arteries, operations for heart rhythm disturbances, stenosis of the carotid artery and other operations. The low incidence of GSI after closed heart surgery is due to the short duration of surgery, as well as the absence or short-term resuscitation of patients.

scholarly journals Short-Term Forecasting of Electricity Supply and Demand by Using the Wavelet-PSO-NNs-SO Technique for Searching in Big Data of Iran’s Electricity Market

Data ◽  
2018 ◽  
Vol 3 (4) ◽  
pp. 43 ◽  
Author(s):  
Mesbaholdin Salami ◽  
Farzad Movahedi Sobhani ◽  
Mohammad Ghazizadeh
Keyword(s):  
Neural Networks ◽  
Electricity Market ◽  
Simulation Optimization ◽  
Supply And Demand ◽  
Electricity Supply ◽  
Wavelet Neural Networks ◽  
Short Term ◽  
Swarm Optimization ◽  
Forecasting Accuracy ◽  
Short Term Forecasting

The databases of Iran’s electricity market have been storing large sizes of data. Retail buyers and retailers will operate in Iran’s electricity market in the foreseeable future when smart grids are implemented thoroughly across Iran. As a result, there will be very much larger data of the electricity market in the future than ever before. If certain methods are devised to perform quick search in such large sizes of stored data, it will be possible to improve the forecasting accuracy of important variables in Iran’s electricity market. In this paper, available methods were employed to develop a new technique of Wavelet-Neural Networks-Particle Swarm Optimization-Simulation-Optimization (WT-NNPSO-SO) with the purpose of searching in Big Data stored in the electricity market and improving the accuracy of short-term forecasting of electricity supply and demand. The electricity market data exploration approach was based on the simulation-optimization algorithms. It was combined with the Wavelet-Neural Networks-Particle Swarm Optimization (Wavelet-NNPSO) method to improve the forecasting accuracy with the assumption Length of Training Data (LOTD) increased. In comparison with previous techniques, the runtime of the proposed technique was improved in larger sizes of data due to the use of metaheuristic algorithms. The findings were dealt with in the Results section.

scholarly journals Integration of different-quality data in short-term mining planning

2015 ◽  
Vol 68 (2) ◽  
pp. 221-227 ◽  
Author(s):  
Cristina Paixão Araújo ◽  
João Felipe Coimbra Leite Costa
Keyword(s):  
Mineral Exploration ◽  
Quality Data ◽  
Imprecise Data ◽  
Short Term ◽  
Mining Operations ◽  
Different Types ◽  
Block Models ◽  
The Impact ◽  
Block Distribution ◽  
Ordinary Cokriging

AbstractDecisions, from mineral exploration to mining operations, are based on grade block models obtained from samples. This study evaluates the impact of using imprecise data in short-term planning. The exhaustive Walker Lake dataset is used and is considered as the source for obtaining the true grades. Initially, samples are obtained from the exhaustive dataset at regularly spaced grids of 20 × 20 m and 5 × 5 m. A relative error (imprecision) of ±25% and a 10% bias are added to the data spaced at 5 × 5 m (short-term geological data) in different scenarios. To combine these different types of data, two methodologies are investigated: cokriging and ordinary kriging. Both types of data are used to estimate blocks with the two methodologies. The grade tonnage curves and swath plots are used to compare the results against the true block grade distribution. In addition, the block misclassification is evaluated. The results show that standardized ordinary cokriging is a better methodology for imprecise and biased data and produces estimates closer to the true grade block distribution, reducing block misclassification.

scholarly journals A bilingual advantage in memory capacity: Assessing the roles of proficiency, number of languages acquired and age of acquisition

2020 ◽  
Author(s):  
Ezequiel Martin Durand López
Keyword(s):  
Short Term Memory ◽  
Age Of Acquisition ◽  
Memory Capacity ◽  
Span Task ◽  
Visuospatial Memory ◽  
Short Term ◽  
Term Memory ◽  
Bilingual Advantage ◽  
Different Types ◽  
L2 Learners

This study examines whether different types of bilingualism modulate memory capacity differently. More specifically, the study assesses the effects of age of acquisition, number of languages acquired and proficiency in the L2 on phonological short-term memory, visuospatial memory and semantic memory.DesignMemory capacity was measured by means of three tasks: digit span task (phonological short-term memory), Corsi block task (visuospatial memory) and word span task (semantic memory). Participants were divided into five groups based on the number of languages acquired, age of acquisition and proficiency: monolinguals, intermediate L2 learners, advanced L2 learners, simultaneous bilinguals and multilinguals.Data and analysisAnalyses of variance were used to analyze participants’ scores for each of the memory tasks.Findings and conclusionsFor the word span task, no significant differences were found among the groups, which supports the notion that semantic memory is language independent. Furthermore, intermediate and advanced L2 learners and multilinguals presented significantly higher phonological short-term memory spans compared to simultaneous bilinguals. Finally, intermediate L2 learners and multilinguals significantly outperformed monolinguals on visuospatial memory spans. Results suggest that L2 acquisition might strengthen both visuospatial and phonological short-term memory, which in turn tend to improve as L2 proficiency increases.OriginalityWhile previous studies have provided evidence of a bilingual advantage in memory capacity, these studies have generally grouped different types of bilinguals together (e.g., L2 leaners and heritage speakers). This study takes a step forward by examining differences on memory capacity across different types of bilinguals and in comparison to their monolingual peers in order to better understand the cognitive effects of bilingualism.Significance and implicationsWhen considering age of acquisition, number of languages acquired and proficiency as grouping factors, different effects of bilingualism on memory capacity can be observed. Future studies on this matter should include bilingual participants that are comparable with regard to the aforementioned variables.

Perineal Wound Closure Using Biological Mesh Following Extralevator Abdominoperineal Excision

2018 ◽  
Vol 36 (4) ◽  
pp. 281-288 ◽  
Author(s):  
Naseer Baloch ◽  
Per J. Nilsson ◽  
Caroline Nordenvall ◽  
Mirna Abraham-Nordling
Keyword(s):  
Wound Closure ◽  
Perineal Wound ◽  
Abdominoperineal Excision ◽  
Biological Mesh ◽  
Single Centre ◽  
Short Term ◽  
Perineal Reconstruction ◽  
Primary Rectal Cancer ◽  
Different Types ◽  
Electronic Hospital

Aims: This study aimed to describe the short-term perineal healing rates in patients with perineal reconstruction using a biological mesh following extralevator abdominoperineal excision (elAPE). Methods: In a retrospective, descriptive single-centre cohort study, 88 consecutive patients treated with elAPE and perineal closure using a biological mesh between January 2011 and December 2015 were reviewed. All available data from electronic hospital records was collected. Patients were followed for 1 year following surgery and perineal wound status assessed at 3 months and at 1 year. Results: In total, 63 patients were male and all but 8 patients were treated for primary rectal cancer. All patients but 3 had received radiotherapy prior to surgery. Multivisceral excisions were performed in 19 patients. Omentoplasty was performed in 55 patients and 3 different types of meshes were used during the study period. At 3 months, 58 patients (66%) had a healed perineum. No association was detected between patient, tumour or perioperative characteristics and perineal wound status at 3 months. At 1 year, 4 patients were deceased and among the remaining 84, the perineal wound was healed in 77 patients (92%). Conclusion: The use of biological meshes in perineal reconstruction following elAPE is feasible and safe, and the perineal wound is healed in the majority of the patients within 3 months.

Combined effects of short-term noise exposure and hygrothermal conditions on indoor environmental perceptions

2017 ◽  
Vol 27 (8) ◽  
pp. 1119-1133 ◽  
Author(s):  
Wonyoung Yang ◽  
Hyeun Jun Moon ◽  
Myung-Jun Kim
Keyword(s):  
Gender Differences ◽  
Noise Exposure ◽  
Thermal Conditions ◽  
Combined Effects ◽  
Environmental Perceptions ◽  
Noise Levels ◽  
Short Term ◽  
Fan Noise ◽  
Subjective Assessments ◽  
Different Types

Realistic thermal conditions with various humidity levels have been considered to examine the combined effects of noise and thermal conditions on indoor environmental perceptions. Subjective assessments of temperature, humidity and psychoacoustics were conducted with 26 subjects under combined environments of seven thermal conditions (18℃: RH 30, 60%, 24℃: RH 27, 43, 65%, 30℃: RH 30, 60%), two noise types (fan and babble noises) and five noise levels (45, 50, 55, 60 and 65 dBA). Three-minute moderate noise exposure did not affect temperature or humidity sensations. However, the temperature and humidity levels affected loudness, annoyance and acoustic preferences when noise was presented as babble. Fan noise perceptions were found to be independent of thermal conditions. Gender differences were clearly found in terms of thermal and psychoacoustic perceptions. Men were more sensitive to hot sensations than women, and women were more sensitive to arid sensations than men. Women were more sensitive to noise levels than men. Gender differences were also found in terms of different types of noise. Men were found to be significantly less sensitive to fan noise than women. Even though psychoacoustic parameters were affected by indoor thermal conditions, thermal parameters were not affected by short-term moderate noise. The combined effect of various types of noise and temperature is still unclear, and this will be considered in a future larger cohort study.

Sign in / Sign up

Export Citation Format

Share Document