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Financial signal processing : a self calibrating model

Elliott, Robert J.; Hunter, William Curt; Jamieson, … - 2001

Persistent link: https://www.econbiz.de/10001577670

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

A stochastic control approach to bid-ask price modelling

Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30

Persistent link: https://www.econbiz.de/10013371064

Institutional ownership and liquidity commonality : evidence from Australia

Bradrania, Reza; Elliott, Robert J.; Wu, Winston - 2022

We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross-section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross-section of stocks, and the spread...

Persistent link: https://www.econbiz.de/10013294651