Academic literature on the topic 'Intraday database'
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Journal articles on the topic "Intraday database"
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Victor, Fernanda Gomes, Marcelo Scherer Perlin, and Mauro Mastella. "Comunalidades na Liquidez – Evidências e Comportamento Intradiário para o Mercado Brasileiro." Brazilian Review of Finance 11, no. 3 (2013): 375. http://dx.doi.org/10.12660/rbfin.v11n3.2013.7434.
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The objective of this work is to study the intraday dynamics of liquidity in the Brazilian stock exchange from the perspective of co-movements (or commonalities). In the study we argue that this common factor in the liquidity of the stocks is affected by the intraday patterns related to microstructure effects in the market. Using a high frequency database, such a hypothesis is investigated for the Brazilian data and we report large evidence that the commonality effect in the liquidity changes significantly along different times of the day. During the first and last hours of trading this effect is more intense. We justify this result as an effect of the arrival of new information to the market and the existence of the overnight risk.
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Krzyścin, Janusz W., Bonawentura Rajewska-Więch, and Janusz Jarosławski. "Total column ozone measurements by the Dobson spectrophotometer at Belsk (Poland) for the period 1963–2019: homogenization and adjustment to the Brewer spectrophotometer." Earth System Science Data 13, no. 9 (2021): 4425–36. http://dx.doi.org/10.5194/essd-13-4425-2021.
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Abstract. The total column ozone (TCO3) measurements by the Dobson spectrophotometer (serial no. 84) have been carried out at Belsk station (51∘50′ N, 20∘47′ E), Poland, since 23 March 1963. In total, ∼115 000 intraday manual observations were made by 31 December 2019. These observations were performed for different combinations of double wavelength pairs in the ultraviolet range and observation types, i.e., direct sun (DS), zenith blue (ZB), and zenith cloudy (ZC) depending on weather conditions. The long-term stability of the instrument was supported by frequent (almost every 4 years) intercomparisons with the world standard spectrophotometer. Trend analyses, based on the monthly and yearly averaged TCO3, can be carried out without any additional corrections to the intraday values. To adjust these data to the Brewer spectrophotometer observations, which were also performed at Belsk, a procedure is proposed to account for less accurate Dobson observations under low solar elevation, presence of clouds, and the temperature dependence of ozone absorption. The adjusted time series shows that the Brewer–Dobson monthly averaged differences are in the range of about ±0.5 %. The intraday TCO3 database, divided into three periods (1963–1979, 1980–1999, and 2000–2019), is freely available at https://doi.org/10.1594/PANGAEA.919378 (Rajewska-Więch et al., 2020).
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Bacry, Emmanuel, Adrian Iuga, Matthieu Lasnier, and Charles-Albert Lehalle. "Market Impacts and the Life Cycle of Investors Orders." Market Microstructure and Liquidity 01, no. 02 (2015): 1550009. http://dx.doi.org/10.1142/s2382626615500094.
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This study is the first to decipher market impact at all time scales on the same database, from a trade-by-trade scale to a daily one. Moreover, the very concentrated nature of the database (400,000 metaorders issued by investors, electronically traded, during one year—2010—, on European market all regulated by the same directive—MiFID—) ensures investors did not change their habits during the study. At the intraday scale, we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in [Formula: see text] with [Formula: see text]. Including this factor in the fits reinforces the square root shape of impact. We observe a power-law for the transient impact with an exponent between [Formula: see text] (for long metaorders) and [Formula: see text] (for shorter ones). Moreover, we show that the market does not anticipate the size of the metaorders. The intraday decay seems to exhibit two regimes (though hard to identify precisely): a “slow” regime right after the execution of the metaorder followed by a faster one. At the daily time scale, we show price moves after a metaorder can be split between realizations of expected returns that have triggered the investing decision and an idiosynchratic impact that slowly decays to zero. Moreover, we propose a class of toy models based on Hawkes processes (the Hawkes Impact Model, HIM) to illustrate our reasoning. We show how the Impulsive-HIM model, despite its simplicity, embeds appealing features like transience and decay of impact. The latter is parametrized by a parameter C having a macroscopic interpretation: the ratio of contrarian reaction (i.e., impact decay) and of the “herding” reaction (i.e., impact amplification).
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Miranda, Margarida, Catarina Cardoso, and Carla Vitorino. "Fast Screening Methods for the Analysis of Topical Drug Products." Processes 8, no. 4 (2020): 397. http://dx.doi.org/10.3390/pr8040397.
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Considering the recent regulatory requirements, the overall importance of in vitro release testing (IVRT) methods regarding topical product development is undeniable, especially when addressing particulate systems. For each IVRT study, several hundreds of samples are generated. Therefore, developing rapid reversed-phase high-performance liquid chromatography (RP-HPLC) methods, able to provide a real-time drug analysis of IVRT samples, is a priority. In this study, eight topical complex drug products exhibiting distinct physicochemical profiles were considered. RP-HPLC methods were developed and fully validated. Chromatographic separations were achieved on a XBridgeTM C18 (5 µm particle size, 150 mm × 2.1 mm), or alternatively on a LiChrospher® 100 RP-18 (5 µm particle size, 125 mm × 4.6 mm) at 30 °C, under isocratic conditions using UV detection at specific wavelengths. According to the physicochemical characteristics of each drug, different mobile phases were selected. Irrespective of the drug (hydrocortisone, etofenamate, bifonazole, clotrimazole, acyclovir, tioconazole, clobetasol, and diclofenac) and formulation, retention time values did not exceed 6.5 min. All methods were linear, specific, precise, and accurate at the intraday and interday levels, robust, and stable. These were successfully applied to establish product-specific IVRT profiles, thus providing a key database useful for topical pharmaceutical manufacturers.
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Tauber, James P., Cansu Ö. Tozkar, Ryan S. Schwarz, et al. "Colony-Level Effects of Amygdalin on Honeybees and Their Microbes." Insects 11, no. 11 (2020): 783. http://dx.doi.org/10.3390/insects11110783.
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Amygdalin, a cyanogenic glycoside, is found in the nectar and pollen of almond trees, as well as in a variety of other crops, such as cherries, nectarines, apples and others. It is inevitable that western honeybees (Apis mellifera) consistently consume amygdalin during almond pollination season because almond crops are almost exclusively pollinated by honeybees. This study tests the effects of a field-relevant concentration of amygdalin on honeybee microbes and the activities of key honeybee genes. We executed a two-month field trial providing sucrose solutions with or without amygdalin ad libitum to free-flying honeybee colonies. We collected adult worker bees at four time points and used RNA sequencing technology and our HoloBee database to assess global changes in microbes and honeybee transcripts. Our hypothesis was that amygdalin will negatively affect bee microbes and possibly immune gene regulation. Using a log2 fold-change cutoff at two and intraday comparisons, we show no large change of bacterial counts, fungal counts or key bee immune gene transcripts, due to amygdalin treatment in relation to the control. However, relatively large titer decreases in the amygdalin treatment relative to the control were found for several viruses. Chronic bee paralysis virus levels had a sharp decrease (−14.4) with titers then remaining less than the control, Black queen cell virus titers were lower at three time points (<−2) and Deformed wing virus titers were lower at two time points (<−6) in amygdalin-fed compared to sucrose-fed colonies. Titers of Lotmaria passim were lower in the treatment group at three of the four dates (<−4). In contrast, Sacbrood virus had two dates with relative increases in its titers (>2). Overall, viral titers appeared to fluctuate more so than bacteria, as observed by highly inconstant patterns between treatment and control and throughout the season. Our results suggest that amygdalin consumption may reduce several honeybee viruses without affecting other microbes or colony-level expression of immune genes.
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Gilani, Sapideh, and Neil Bhattacharyya. "Revisit Rates for Pediatric Tonsillectomy: An Analysis of Admit and Discharge Times." Annals of Otology, Rhinology & Laryngology 129, no. 2 (2019): 110–14. http://dx.doi.org/10.1177/0003489419875758.
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Objective: To determine the association between intraday timing of outpatient pediatric tonsillectomy and revisit outcomes and complications. Study Design: Cross-sectional analysis of New York databases. Setting: Ambulatory surgery, emergency department and inpatient hospital settings. Subjects and Methods: The State Ambulatory Surgery, State Emergency Department and State Inpatient Databases for 2010-2011 were analyzed for revisits. Outcomes assessed were revisits for any reason, bleeding, acute pain or fever, nausea, vomiting and dehydration. The relationships between the hour of admission for surgery, the hour of discharge and the revisit outcomes were analyzed. Results: The study included 33,611 children (mean age, 6.62 years; 45.7% female) and 62.0% were admitted in the early morning. Discharges were most common in the early afternoon (28.3%). Revisit rates were significantly higher for the early evening discharges (6.0%) versus late morning discharges (3.1%) ( P < .001). Revisits for bleeding were 1.8% for discharge in the early evening versus 0.6% in the late morning ( P < .001). Revisits for fever, nausea, vomiting or dehydration were 1.8% for discharge in the early evening versus 0.9% in the late morning ( P = .002). Late afternoon admission was significantly associated with higher revisit rates (10.9%, P < .001). Bleeding revisits were highest for late afternoon admit hour (1.5%, P = .001). Revisits for acute pain were also highest for late afternoon admit hour (2.3%, P = .005). Conclusion: Revisit are significantly higher when the patient is discharged late. Late afternoon surgery is also significantly associated with higher revisit rates. Surgeons may wish to consider these findings when a late tonsillectomy or late discharge is anticipated post-tonsillectomy.
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Tripathi, Abhinava, Alok Dixit, and Vipul Vipul. "Liquidity of financial markets: a review." Studies in Economics and Finance 37, no. 2 (2019): 201–27. http://dx.doi.org/10.1108/sef-10-2018-0319.
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Purpose The purpose of this study is to systematically review and analyze the literature in the area of liquidity of financial markets. The study summarizes the key findings and approaches and highlights the research gaps in the extant literature. Design/methodology/approach A variety of reputed databases are utilized to select 100 research papers, from a large pool of nearly 3,000 research papers spanning between 1972 and 2018 using systematic literature review methodology. The selected research papers are organized to provide an in-depth analysis and an account of the ongoing research in the area of liquidity. The study uses bibliometric network visualization and word-cloud analyses to compile and analyze the literature. Findings The study summarizes the recent approaches in the liquidity research on aspects such as methodologies followed, variables applied, sub-areas covered, and the types of economies and markets covered. The article shows that the literature on liquidity in the emerging markets (e.g. China and India) is deficient. Overall, the following research areas related to liquidity need further exploration in the context of emerging markets: liquidity beyond the best bid-ask quotes, intraday return predictability using microstructure variables (e.g. order imbalances), impact of algorithmic-trading and volatility of liquidity. Originality/value To the best of authors’ knowledge, in the recent past, a detailed account of the literature on liquidity has not been published. It provides a comprehensive collection and classification of the literature on the liquidity of financial markets. This would be helpful to the future researchers, academics and practitioners in the area of financial markets.
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Stanga, C., H. Hasníková, M. Previtali, R. Brumana, A. Grimoldi, and F. Banfi. "THE ASSESSMENT OF THE BAROQUE VAULT CONSTRUCTION TECHNIQUE BY SCAN-TO-BIM PROCESS: ST. BERNARD’S CHAPEL IN THE PLASY MONASTERY." ISPRS - International Archives of the Photogrammetry, Remote Sensing and Spatial Information Sciences XLII-2/W15 (August 26, 2019): 1127–34. http://dx.doi.org/10.5194/isprs-archives-xlii-2-w15-1127-2019.
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<p><strong>Abstract.</strong> The article focuses on the analysis of the construction technique of the star vault designed by the famous Bohemian architect from the Baroque period, Jan Blažej Santini-Aichel. The vault covers St. Bernard’s Chapel in the Plasy Monastery and represents a masterpiece in Santini’s late career. The authors try to understand its construction technology with the help of modern surveying methods. The shape of the vault structure is complex, therefore a detailed geometrical survey of both intrados and extrados was performed. The data collected in situ, photogrammetric blocks, were used as a basis for the modeling of the vault shape. An accurate 3D model and HBIM of the structure were generated, using a novel Scan-to-BIM process based on the integrated use of a different Grade of Generation and primitive extraction to support the modeling. This survey is part of a program to implement a vault database addressed to detect permanencies and mutations in the construction techniques across Europe, that gives back unexpected, and mostly unknown, richness of vault construction patterns.</p>
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Tripathi, Abhinava, Vipul Vipul, and Alok Dixit. "Limit order books: a systematic review of literature." Qualitative Research in Financial Markets 12, no. 4 (2020): 505–41. http://dx.doi.org/10.1108/qrfm-07-2019-0080.
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Purpose This study aims to provide a systematic literature review of the research study in the area of limit order book (LOB) mechanism of trading and its implications for market efficiency. The study attempts to document the recent theoretical developments and empirical findings from the literature exhaustively and identifies the research gaps for future research. Design/methodology/approach The study uses seven reputable databases to select 2,514 research studies spanning over 1981-2018 (finally compressed to a pool of 103 articles, based on relevance and impact). The study uses bibliometric network visualization and text analytics to categorize and examine the literature. The chosen articles are compiled and analyzed to provide a comprehensive account of the current research on LOBs. Findings The recent LOB literature is summarized on various criteria as follows: sub-areas, the types of economies and markets, methodologies and the LOB measures. The review identifies a dearth of studies on the LOBs in emerging markets. It suggests the potential research areas as intraday studies in emerging LOB markets; application of market indicators based on deeper levels of LOB, beyond the best prices; market fragmentation, order routing decision and its impact on order execution quality; optimal display of LOB levels; liquidity dynamics in quote-driven markets vis-à-vis LOB markets; effect of high-frequency trading on market microstructure; application of advanced techniques (e.g. machine learning models, zero-intelligent models); relationship between the trading speed, order aggressiveness, shape and resilience of the order book and informed trading; and information content of the auxiliary order submission strategies, including cancellation, amendments and hidden orders. Originality/value For the past 15 years, to the best of the knowledge, a comprehensive review of the literature on LOBs has not been published. The financial markets have transformed significantly over this period, driven by the adoption of LOBs, low latency trading and technological advancements in information dissemination. This article provides an extensive collection and classification of the literature on LOBs. This would be useful for the practitioners, future researchers and academics in the area of financial markets.
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Pyrkov, Timothy V., Konstantin Avchaciov, Andrei E. Tarkhov, Leonid I. Menshikov, Andrei V. Gudkov, and Peter O. Fedichev. "Longitudinal analysis of blood markers reveals progressive loss of resilience and predicts human lifespan limit." Nature Communications 12, no. 1 (2021). http://dx.doi.org/10.1038/s41467-021-23014-1.
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AbstractWe investigated the dynamic properties of the organism state fluctuations along individual aging trajectories in a large longitudinal database of CBC measurements from a consumer diagnostics laboratory. To simplify the analysis, we used a log-linear mortality estimate from the CBC variables as a single quantitative measure of the aging process, henceforth referred to as dynamic organism state indicator (DOSI). We observed, that the age-dependent population DOSI distribution broadening could be explained by a progressive loss of physiological resilience measured by the DOSI auto-correlation time. Extrapolation of this trend suggested that DOSI recovery time and variance would simultaneously diverge at a critical point of 120 − 150 years of age corresponding to a complete loss of resilience. The observation was immediately confirmed by the independent analysis of correlation properties of intraday physical activity levels fluctuations collected by wearable devices. We conclude that the criticality resulting in the end of life is an intrinsic biological property of an organism that is independent of stress factors and signifies a fundamental or absolute limit of human lifespan.
Dissertations / Theses on the topic "Intraday database"
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Costa, Fabiola Medina. "O uso da volatilidade realizada na simulação histórica ajustada para cálculo do VaR." reponame:Repositório Institucional do FGV, 2010. http://hdl.handle.net/10438/6967.
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Submitted by Fabiola Costa (famedina06@hotmail.com) on 2010-08-24T14:18:56Z
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Previous issue date: 2010-05-28<br>This paper proposes the historical simulation model to calculate the VaR, considering return ajusted by the realized volatility measured from intraday returns. The database consists of five most liquid share among the different segments of Bovespa Index. For the proposed methodology we used two of the empirical theories of the empirical literature - adjusted historical simulation and realized volatility. The Kupiec tes and Christoffersen test are used to analized and veryfy the proposed methodology performance.<br>O presente trabalho propõe para o cálculo VaR o modelo de simulação histórica, com os retornos atualizados pela volatilidade realizada calculada a partir de dados intradiários. A base de dados consiste de cinco ações entre as mais líquidas do Ibovespa de distintos segmentos. Para a metodologia proposta utilizamos duas teorias da literatura empírica – simulação histórica ajustada e volatilidade realizada. Para análise e verificação do desempenho da metodologia proposta utilizamos o Teste de Kupiec e o Teste de Christoffersen.
Conference papers on the topic "Intraday database"
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Scharff, Richard, and Mikael Amelin. "Distributed Balancing of Wind Power Forecast Deviations by Intraday Trading and Internal Ex-ante Self-Balancing -- A Modelling Approach." In 2013 24th International Workshop on Database and Expert Systems Applications (DEXA). IEEE, 2013. http://dx.doi.org/10.1109/dexa.2013.47.
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