Concept

Fonds indiciel

Publications associées (55)

An X-ray computed tomography-based index to characterize the quality of cataclastic carbonate rock samples

Aurèle Parriaux, Pascal Turberg, Reto Meuli, Vincent Labiouse, Pierre Guillaume Christe

X-ray computed tomography (XRCT) can reconstruct, in a nondestructive way and in three-dimension, the distribution of densities within opaque materials. Consequently, it provides an effective possibility to characterize the inner content of rock core sampl ...

2011

Affective content analysis of music video clip

Touradj Ebrahimi, Ashkan Yazdani, Krista Kappeler

Nowadays, the amount of multimedia contents is explosively increasing and it is often a challenging problem to find a con- tent that will be appealing or matches users’ current mood or affective state. In order to achieve this goal, an efficient indexing t ...

ACM2011

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

Mutual fund competition in the presence of dynamic flows

Julien Hugonnier

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel (2010). We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equili ...

2010

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

The stability of the h-index

Monika Henzinger, Ingmar Weber, Jacob Sunol Canadas

Over the last years the h-index has gained popularity as a measure for comparing the impact of scientists. We investigate if ranking according to the h-index is stable with respect to (i) different choices of citation databases, (ii) normalizing citation c ...

Springer Netherlands2010

Does information drive trading in option strategies?

Rüdiger Fahlenbrach

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

Query-driven indexing in large-scale distributed systems

Gleb Skobeltsyn

Efficient and effective search in large-scale data repositories requires complex indexing solutions deployed on a large number of servers. Web search engines such as Google and Yahoo! already rely upon complex systems to be able to return relevant query re ...

EPFL2009

An Extension of ETF Arbitrage to Sector Trading Using ANN

Utkarsh Upadhyay, Ramnik Arora

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009

How compliant are developing countries with their TRIPS obligations?

Intan Maizurah Hamdan Livramento

This paper constructs an intellectual property rights (IPR) index based on the World Trade Organization's Trade-Related Aspects of Intellectual Property Rights (TRIPS) agreement for 53 developing countries. TRIPS agreement attempts to standardize the minim ...

2009

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