College of Management and Economics

About: College of Management and Economics is a based out in . It is known for research contribution in the topics: Supply chain & Stock market. The organization has 2184 authors who have published 2193 publications receiving 28830 citations.

Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations

Abstract: Understanding the statistical properties of recurrence intervals (also termed return intervals in econophysics literature) of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been extensively investigated. However, the impacts of microscopic rules of a complex system on the macroscopic properties of its recurrence intervals are less studied. In this letter, we adopt an order-driven stock model to address this issue for stock returns. We find that the distributions of the scaled recurrence intervals of simulated returns have a power-law scaling with stretched exponential cutoff and the intervals possess multifractal nature, which are consistent with empirical results. We further investigate the effects of long memory in the directions (or signs) and relative prices of the order flow on the characteristic quantities of these properties. It is found that the long memory in the order directions (Hurst index Hs) has a negligible effect on the interval distributions and the multifractal nature. In contrast, the power-law exponent of the interval distribution increases linearly with respect to the Hurst index Hx of the relative prices, and the singularity width of the multifractal nature fluctuates around a constant value when Hx<0.7 and then increases with Hx. No evident effects of Hs and Hx are found on the long memory of the recurrence intervals. Our results indicate that the nontrivial properties of the recurrence intervals of returns are mainly caused by traders' behaviors of persistently placing new orders around the best bid and ask prices.

Adaptive market hypothesis: evidence from the REIT market

Abstract: We tests two important implications for Real Estate Investment Trust (REIT) market efficiency from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none condition but is a characteristic that varies continuously over time; second, market efficiency is dependent upon market conditions. By using the automatic variance ratio test of Choi (1999), and the automatic portmanteau test of Escanciano and Lobato (2009), we confirm both implications for the US REIT market. The degree of REIT return predictability is found to be time varying. More specifically, it appears to be declining over time, which implies that the REIT market has become more efficient. Furthermore, we show that the return predictability is indeed influenced by market conditions. The level of market development appears to be the primary driver for REIT market efficiency. Other factors like inflation and the overall equity market volatility also have impacts. Finally, we demonstrate that the REIT regulatory ch...