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Are market makers uninformed and passive? Signing trades in the absence of quotes
van der Wel, Michel; Menkveld, Albert J.; Sarkar, Asani - 2009
We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of...
Persistent link: https://www.econbiz.de/10010287125
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Jumps in high-frequency data : spurious detections, dynamics, and news
Bajgrowicz, Pierre; Scaillet, Olivier - 2011
jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …
Persistent link: https://www.econbiz.de/10009313027
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The virtue of complexity in machine learning portfolios
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2021
Contrary to conventional wisdom in nance, return prediction R2 and optimal portfolio Sharpe ratio generally increase with model parameterization, even when minimal regularization is used. We theoretically characterize the behavior of return prediction models in the high complexity regime, i.e....
Persistent link: https://www.econbiz.de/10012800453
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Principal portfolios
Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020
We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...
Persistent link: https://www.econbiz.de/10012271188
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …
Persistent link: https://www.econbiz.de/10011762219
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
takers. During bursts, market makers no longer passively impound information from order flow into quotes-a departure from the …
Persistent link: https://www.econbiz.de/10011516027
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10011340958
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The equity risk premium: A review of models
Duarte, Fernando; Rosa, Carlo - 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached …
Persistent link: https://www.econbiz.de/10011340995