This paper examines herding among hedge fund styles and uncovers new intuitions about the industry. By examining hedge fund style index returns using four techniques, we show that perceptions of herding may differ based on the choice of analytical method. Our analysis with independent component...

In this paper, we study unconstrained strategies through a re-specification of classic meanvariance utility and, as a reference implementation, a long-only strategy based on Canadian and U.S. bond markets. First, we capture the underlying economic forces that drive benchmark indices in the two...

In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a...

All of finance is automated. This paper examines the ethical implications of this evolution. As automation is an interdisciplinary endeavor, we argue that the interfaces between the respective professions can lead to conflicting ethical perspectives. Such conflicts provide insufficient...

Automated trading now dominates the financial markets. Yet, no philosophy of academic research into the topic exists. As the growth in automated trading suggests their greater returns and predictability, this paper examines stability and statistical control of trading process outputs as method...

In this article, we present a multi-factor stochastic volatility framework for pricing European options based on independent component analysis. We fit this model to empirical data on exchange-traded options in order to create a consistent pricing and hedging mechanism for multi-asset...

This paper investigates the factors that drove the U.S. equity market returns from 2007 through early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To...