Professors of FACT Department awarded for Research
The Institute for Quantitative Capital Market Research at DeKa Bank awarded 1st and 3rd prize to Professors from the FACT Department in their bi-annual research competition. The awards recognize three best research papers in the field of quantitative finance over the last two years in the DACH region.
The following scientific papers were awarded:
“Something in the Air: Information Density, News Surprises and Price Jumps” by Roland Füss (University of St. Gallen), Markus Grabellus (EBS), Ferdinand Mager (EBS) and Michael Stein (University of Duisburg-Essen) - the researchers developed a method to provide a more comprehensive understanding of price reactions to news and to the sources of jumps in financial markets.
“The Rate of Market Efficiency” by Prof. Rasa Karapandza, PhD (EBS) and José M. Marin (University Carlos III, Madrid) introduces a measure of market efficiency and thus aims to change the standard view that dominates finance profession by which markets can be either efficient or inefficient. They also introduce a new measure of performance of asset pricing models and using a 10.000 processors supercomputer Marenostrum in the largest empirical study executed in finance to date they show that a single factor CAPM performs better than multi-factor models unlike previously thought.