Posts Tagged ‘data


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Paper: Teoria de matrices aleatorias y correlación

The fine structure of spectral properties for random correlation matrices: an application to financial markets


We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of the supposedly large amount of noise contained in financial data. We challenge this common knowledge by acting on the empirical correlation matrices of two data sets with a filtering procedure which highlights some of the cluster structure they contain, and we analyze the consequences of such filtering on eigenvalue spectra. We show that empirically observed eigenvalue bulks emerge as superpositions of smaller structures, which in turn emerge as a consequence of cross-correlations between stocks. We interpret and corroborate these findings in terms of factor models, and and we compare empirical spectra to those predicted by Random Matrix Theory for such models.

Link al Paper


Humor du Jour: Opinologos

(Fuente:, via Cosas que Pasan)


Tabla du Jour: Perdedores y Perdidos

(Fuente: MSCI, via Market Watch)


Paper: Twitter y los bid-ask spreads

Can Firms Now Act as Their Own Information Intermediaries? The Role of Direct-Access Information Technology in Disseminating Firm News


Recent research indicates that press-based dissemination of firm-initiated information plays a critical role in the effectiveness of the disclosure (Bushee et al., 2010; Soltes, 2010). However, traditional information intermediaries, such as the press, face constraints on the amount of news they can disseminate to investors. This paper examines whether firms can complement traditional dissemination channels by using new information technology that provides firms direct access to a broad set of investors on a real-time basis. Using a sample of technology firms with active Twitter accounts, we find that postings (tweets) increase around firm-initiated news events. This increase is primarily driven by tweets containing hyperlinks, which is consistent with firms using this innovative technology to disseminate firm news. We also find that greater tweeting during news event windows is associated with lower bid-ask spreads and greater depths. These relations are stronger for tweets with hyperlinks. We also find our results are more pronounced for firms with lower visibility—that is, firms that are smaller, have lower analyst coverage and have fewer shareholders. These findings suggest that managers use this new direct-access information technology to reduce information asymmetry, particularly for those firms that are arguably most in need.

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Paper: Europa y el costo de los datos

The cost of access to real time pre & post trade order book data in Europe

This report has been deliberately written as a primarily observational piece of work, as opposed to a commentary with a strong point of view. The emphasis is very heavily on facts and figures wherever they could be found. What these facts and figures mean is obviously very important – this report is designed to prompt further discussion, argument and clarification. The facts and figures we have outlined represent a snapshot in time and given the recent crisis we have all lived through in the last two plus years (i.e. the Credit Crunch Crisis) and the changing regulatory environment prompted by MiFID and RegNMS back in 2007 it would be interesting to see how that has affected market data pricing and market data in general. On the subject of pricing trends, currency fluctuation between key currencies such as The Euro, The US Dollar and the British Pound have also had significant mathematical impact in recent years. The ever changing nature of how markets do business, with the significant increase of more black box activities, might suggest some kind of statistical correlation analysis – a bit like ‘Freakonomics’ – to ascertain what is the cause and what is the effect? Market Data is often quoted as being a typical Bank’s second largest expenditure item after Headcount/Payroll – this prompts ever greater need to study and understand the whys and wherefores of market data in all its manifestations – pricing being only one dimension, but an often overlooked and misunderstood one.
Link al Paper

Gráfico du Jour: Trend vs. Expectativas (USA)

(Fuente: Vix and More)

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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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