Tag: markets

Mihai Patrulescu (ITFD ’10) on the rebalancing of Romanian markets

ITFD alum Mihai Patrulescu ’10 analyzes the Romanian market in an article for Emerging Europe.

“Over the past three years, the Romanian economy has recorded some of the fastest growth rates in the European Union, helped by a rapid expansion of consumer spending,” he writes. “During this period, retail sales have benefited from what can be considered as a perfect storm of growth catalysts.”

Read his full commentary on the Romanian economy on Emerging Europe

Mihai’s bio from Colliers International:

Mihai has joined Colliers International in October 2016 as Head of Strategic Analysis. Prior to this position, Mihai coordinated the economic research activities of UniCredit Romania, working for the bank between 2012 and 2016. During this period, he has focused on the Romanian economy as well as the CEE region, along with the banking system and financial markets. Prior to UniCredit, Mihai also worked as a research economist for Bancpost, the Romanian subsidiary of EFG Eurobank.

During 2015/2016, Mihai was seconded on assignment to the Milan Headquarters of UniCredit, working as a management consultant on the implementation of the bank’s strategic plan.

Mihai holds a Master’s in International Trade, Finance and Development from the Barcelona Graduate School of Economics. During his academic undertakings, he has focused on economic crises in emerging markets, and particularly their impact on financial systems. Mihai also holds a Bachelor degree from the Academy of Economic Studies in Bucharest.

Markets or organisations? UPF guest lecture by Robert Gibbons

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Image source: UPF

If an alien came to earth from outer space wearing glasses that show organizations in pink, and markets in green, what would it see? Would it see more green, and describe our activities on earth as a market economy, or more pink, pointing to an organizational economy? What systematic differences would it notice between underlying circumstances that give rise to green systems, and circumstances that give rise to pink, and would the quality of the outcomes differ for markets and organizations? Finally, would the alien be able to give any advice on how to improve outcomes where we try to solve problems by means of organizations?

Continue reading “Markets or organisations? UPF guest lecture by Robert Gibbons”

Realized Volatility Estimation – Barcelona GSE Master Projects 2014

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2014. The project is a required component of every master program.

Realized Volatility Estimation

Authors:

Miquel Masoliver, Guillem Roig, Shikhar Singla

Master Program:

Finance

Paper Abstract:

The main purpose of this study is to try to find the optimal volatility estimator in a non-parametric framework. In particular, this study focuses on the estimation of the daily integrated variance-covariance matrix of stock returns using simulated and high-frequency data in the presence of market microstructure noise, jumps, and non-synchronous trading. This work is structured in three building blocks: (i) price processes are simulated in the presence of jumps and market microstructure noise. This allows us to obtain some insight about the estimators’ performance. (ii) The aforementioned realized volatility estimators are applied to high-frequency data of the S&P 100 stocks of October 27th 2010 using 5-second, 10-second, 30-second, 1-minute and 2-minute time intervals. (iii) We use the estimated covariance matrices to construct the global minimum variance portfolio for each sampling frequency. These global minimum variance portfolios are used to build 30 day ex-post portfolio’s returns and we use the variance of these returns to compare between the performance of the estimators.

Read the full paper or view slides below:

[slideshare id=38815437&doc=volatility-slides-140908041738-phpapp01]