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Testing stylized facts of Bitcoin limit order books

Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30

The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the...

Persistent link: https://www.econbiz.de/10012022344

Geometric no-arbitrage analysis in the dynamic financial market with transaction costs

Tang, Wanxiao; Zhao, Jun; Zhao, Peibiao - In: Journal of risk and financial management : JRFM 12 (2019) 1/26, pp. 1-17

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero....

Persistent link: https://www.econbiz.de/10012022342

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012022291

Global hedging through post-decision state variables

Breton, Michèle; Godin, Frédéric - In: Journal of risk and financial management : JRFM 10 (2017) 3, pp. 1-6

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...

Persistent link: https://www.econbiz.de/10011712512

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5

Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...

Persistent link: https://www.econbiz.de/10013273487

Realized measures to explain volatility changes over time

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...

Persistent link: https://www.econbiz.de/10012309061

Soybean futures crush spread arbitrage : trading strategies and market efficiency

Mitchell, John B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 63-96

This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with...

Persistent link: https://www.econbiz.de/10011556002

A communication theoretic interpretation of modern portfolio theory including short sales, leverage and transaction costs

Arici, Giorgio; Dalai, Marco; Leonardi, Riccardo; … - In: Journal of risk and financial management : JRFM 12 (2019) 1/4, pp. 1-11

Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations …. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features … shows connections with the matched filter theory in communications, to evaluate the best portfolio allocation with the …

Persistent link: https://www.econbiz.de/10011961707

An empirical examination of asymmetry on exchange rate spread using the quantile autoregressive distributed lag (QARDL) model

Sahin, Goktug; Şahin, Afşin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-25

In economics, some transactions are conducted by the bid rate, and some are conducted by the ask rate. The spread between these two rates creates an essential cost and inefficiency for the economy. Taking these problems into account, the purpose of this study was to analyze the effects of...

Persistent link: https://www.econbiz.de/10014289768

Stock split rule changes and stock liquidity : evidence from Bursa Malaysia

Tabibian, S. Amir; Zhang, Zhaoyong; Ah Mand, Abdollah - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004-2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004-2006), second (2007-2009), and...

Persistent link: https://www.econbiz.de/10012628112