Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade execution is concerned with the actual mechanics of buying or selling the...

Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as possible. A trade execution strategy is designed for this task to minimize...

A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing Theory it does not suggest the identity, or even the number, of risk...

In applied econometric literature, the causal inferences are often made based on temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling of stationary...

This paper examines the effects of the nondiscretionary trading demands of VIX exchangetradedproducts (ETPs) issuers on the prices and volumes in the VIX futures. We find thatthe ETPs’ information-less, mechanical rebalancing of futures positions to maintain theconstant maturity of the index...

We examine the issues and methods involved in evaluating the size that a fund might attain before it becomes unable to create additional value for investors. We discuss how capacity is defined; identify ten drivers; and outline methods for conducting capacity analysis. Models that predict capacity...

We apply a range of methods for estimating capacity in a fund management context, and discuss the implications of the results. In addition to demonstrating how capacity analysis may be undertaken, we highlight the key determinants of estimated capacity. The central issue is the ability of a fund...

We apply a range of methods for estimating capacity in a fund management context, and discuss the implications of the results. In addition to demonstrating how capacity analysis may be undertaken, we highlight the key determinants of estimated capacity. The central issue is the ability of a fund...

The management of capacity is considered from the perspective of institutional asset owners. How capacity differs across asset classes is outlined. Investment strategies that offer greater capacity are identified. A discussion of capacity management for multi-asset portfolios highlights how...

We model the relation between excess returns, fund size and industry size for active equity funds within four markets – global equities, emerging markets, Australia core and Australia small caps – and use the results to investigate the extent to which funds deviate from estimated capacity....