Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns

E-print/Working paper (2015)

This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar ... [more ▼]

This paper uncovers strong return reversals in the US value weighted stock market index around the last monthly settlement day, T-3, which guarantees liquidity for month-end cash distributions. Similar reversals in market returns around T-3 are documented internationally. The return reversals are stronger in countries where the mutual fund ownership is large, and in the US they have become stronger over time as the mutual fund ownership of stocks has increased. Using data that contains all trades of a subset of institutional investors, we show direct evidence that institutional trading contributes to the market reversals. Finally, we find that in the cross-section of stocks, return reversals around the turn of the month are stronger for stocks more commonly held by mutual funds and for liquid stocks. These market reversals help explain the previously documented abnormally high market returns around the turn of the month. [less ▲]

Dass mir de Wee nun och hu fonnt. Aspects sur l‘histoire de la musique au Luxembourg

Scientific Conference (2008, April)

Dat méisproochegt Gehir beim Kand

Conference given outside the academic context (2014)

Le cerveau multilingue Est-ce qu’une éducation multilingue est bénéfique pour l’enfant ? Quelles sont les conditions optimales pour qu’un enfant puisse devenir parfaitement multilingue ? Cette conférence ... [more ▼]

Le cerveau multilingue Est-ce qu’une éducation multilingue est bénéfique pour l’enfant ? Quelles sont les conditions optimales pour qu’un enfant puisse devenir parfaitement multilingue ? Cette conférence met en évidence le soi-disant « avantage cognitif » du multilinguisme et illustre les influences du multilinguisme sur l’organisation du cerveau. Des questions plus pratiques face à l’éducation multilingue seront également abordées. [less ▲]

Data Abundance and Asset Price Informativeness

Scientific Conference (2017, January 06)

Data Analytics and Consensus Mechanisms in Blockchains

Doctoral thesis (2020)

Blockchains, and especially Bitcoin have soared in popularity since their inceptions. This thesis furthers our knowledge of blockchains and their uses. First, we analyze transaction linkability in the ... [more ▼]

Blockchains, and especially Bitcoin have soared in popularity since their inceptions. This thesis furthers our knowledge of blockchains and their uses. First, we analyze transaction linkability in the privacy preserving cryptocurrency Zcash, based on the currency minting transactions (mining). Using predictable usage patterns and clustering heuristics on mining transactions, an attacker can link to publicly visible addresses in over 84% of the privacy preserving transactions. Then, we further analyze privacy issues for the privacy-oriented cryptocurrency Zcash. We study privacy preserving transactions and show ways to fingerprint user transactions, including active attacks. We introduce two new attacks, which we call the Danaan-gift attack and the Dust attack. Then, we investigate the generic landscape and hierarchy of miners as exemplified by Ethereum and Zcash. Both chains used application-specific integrated circuit (ASIC) resistant proofs-of-work which favor GPU mining in order to keep mining decentralized. This, however, has changed with the introduction of ASIC miners for these chains. This transition allows us to develop methods that might detect hidden ASIC mining in a chain (if it exists), and to study how the introduction of ASICs affects the decentralization of mining power. Finally, we describe how an attacker might use public blockchain information to invalidate miners' privacy, deducing the mining hardware of individual miners and their mining rewards. Then, we analyze the behavior of cryptocurrency exchanges on the Bitcoin blockchain, and compare the results to the exchange volumes reported by the same exchanges. We show, that in multiple cases these two values are close to each other, which confirms the integrity of their reported volumes. Finally, we present a heuristic to try to classify large clusters of addresses in the blockchain, and whether these clusters are controlled by an exchange. Finally, we describe how to couple reputation systems with distributed consensus protocols to provide a scalable permissionless consensus protocol with a low barrier of entry, while still providing strong resistance against Sybil attacks for large peer-to-peer networks of untrusted validators. We introduce the reputation module ReCon, which can be laid on top of various consensus protocols such as PBFT or HoneyBadger. The protocol takes external reputation ranking as input and then ranks nodes based on the outcomes of consensus rounds run by a small committee, and adaptively selects the committee based on the current reputation. [less ▲]

Data anonymity in the FOO voting scheme

in Electronic Notes in Theoretical Computer Science (2007), 168

Data Aware User Selection in Cognitive Downlink MISO Precoding Systems

in Proceedings on Signal Processing and Information Technology (2013)

Data collection

in van Vught, F. A.; Ziegele, F. (Eds.) Multidimensional ranking: the design and development of U-Multirank (2012)

This chapter describes the data collection instruments used in the development of U-Multirank. The first section is an overview of existing databases - mainly on bibliometrics and patents. The second ... [more ▼]

This chapter describes the data collection instruments used in the development of U-Multirank. The first section is an overview of existing databases - mainly on bibliometrics and patents. The second describes the questionnaires and survey tools used for collecting data from the institutions - at the institutional and department levels - and from students. [less ▲]

Data driven discovery of cyber physical systems

in Nature Communications (2019)

Cyber-physical systems embed software into the physical world. They appear in a wide range of applications such as smart grids, robotics, and intelligent manufacturing. Cyber-physical systems have proved ... [more ▼]

Cyber-physical systems embed software into the physical world. They appear in a wide range of applications such as smart grids, robotics, and intelligent manufacturing. Cyber-physical systems have proved resistant to modeling due to their intrinsic complexity arising from the combination of physical and cyber components and the interaction between them. This study proposes a general framework for discovering cyber-physical systems directly from data. The framework involves the identification of physical systems as well as the inference of transition logics. It has been applied successfully to a number of real-world examples. The novel framework seeks to understand the underlying mechanism of cyber-physical systems as well as make predictions concerning their state trajectories based on the discovered models. Such information has been proven essential for the assessment of the performance of cyber- physical systems; it can potentially help debug in the implementation procedure and guide the redesign to achieve the required performance. [less ▲]

Data Encryption Standard (DES)

in Henk C. A. van Tilborg, Sushil Jajodia (Ed.) Encyclopedia of Cryptography and Security (2011)