{"title":"Liquidity and volatility commonality in the Canadian stock market.","authors":"Nathan Gold, Qiming Wang, Melanie Cao, Huaxiong Huang","doi":"10.1186/s40929-017-0016-9","DOIUrl":"https://doi.org/10.1186/s40929-017-0016-9","url":null,"abstract":"<p><p>This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume, and volatility, liquidity commonality remains. In addition to demonstrating liquidity commonality, we also investigated the causal relationship between liquidity and volatility. Our evidence indicates that depth, proportional effective spread, and liquidity changes predict volatility changes for bid-ask spread, depth, and proportional effective spread.</p>","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"8 1","pages":"7"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40929-017-0016-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"37601708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tuoi T. Vo, M. Mcguinness, A. Hegarty, Stephen B. G. O’Brien, Kevin O’Sullivan, Sandra Healy
{"title":"Detecting heart rate while jogging: blind source separation of gait and heartbeat","authors":"Tuoi T. Vo, M. Mcguinness, A. Hegarty, Stephen B. G. O’Brien, Kevin O’Sullivan, Sandra Healy","doi":"10.1186/S40929-016-0004-5","DOIUrl":"https://doi.org/10.1186/S40929-016-0004-5","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-12"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0004-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"NHL expansion and fan allegiance: a mathematical modelling study","authors":"Jennifer Light, A. Chernin, J. Heffernan","doi":"10.1186/S40929-016-0009-0","DOIUrl":"https://doi.org/10.1186/S40929-016-0009-0","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-20"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0009-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Catarina Avelino, D. Bourne, Fátima Ferreira, D. Rasteiro, Jorge M. A. Santos
{"title":"Scheduling the repair of aircraft components - a case study","authors":"Catarina Avelino, D. Bourne, Fátima Ferreira, D. Rasteiro, Jorge M. A. Santos","doi":"10.1186/S40929-016-0007-2","DOIUrl":"https://doi.org/10.1186/S40929-016-0007-2","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-18"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0007-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Electric ion dispersion as a new type of mass spectrometer","authors":"Michael R. Lindstrom, I. Moyles, Kevin Ryczko","doi":"10.1186/S40929-016-0005-4","DOIUrl":"https://doi.org/10.1186/S40929-016-0005-4","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-13"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0005-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A theoretical model for capacitance measurement of liquid films in an annular flow","authors":"C. Atkinson, Ruoxi Huang","doi":"10.1186/S40929-016-0003-6","DOIUrl":"https://doi.org/10.1186/S40929-016-0003-6","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-22"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0003-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abdelhafid Benyounes, A. Hafaifa, A. Kouzou, M. Guemana
{"title":"Gas turbine modeling using adaptive fuzzy neural network approach based on measured data classification","authors":"Abdelhafid Benyounes, A. Hafaifa, A. Kouzou, M. Guemana","doi":"10.1186/S40929-016-0006-3","DOIUrl":"https://doi.org/10.1186/S40929-016-0006-3","url":null,"abstract":"","PeriodicalId":91926,"journal":{"name":"Mathematics-in-industry case studies","volume":"7 1","pages":"1-14"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/S40929-016-0006-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65769702","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}