The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will construct optimal trading curves for different types of portfolios. These curves correspond to the algorithmic trading strategies that minimize the expected transaction costs, i.e. the joint effect...

Almgren and Chriss ("Optimal execution of portfolio transactions", Journal of Risk, Vol. 3, No. 2, 2010, pp. 5-39) and Lehalle ("Rigorous strategic trading: balanced portfolio and mean reversion", Journal of Trading, Summer 2009, pp. 40-46.) developed optimal trading algorithms for assets and...

Automated Market Makers (AMMs) are the main liquidity providers in the Decentralised Finance (DeFi) space. They are programmes that follow some coded rules to determine and adjust prices and volumes. Amongst those rules, the most common one is the constant-product formula, which is followed by...

We study an optimal high frequency trading problem within a market micro-structure model aiming at a good compromise between accuracy and tractability. The stock price is modeled by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated...

We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a...

PurposeUsing a classification of benefits and costs of promotional offers (Raghubir et al., 2004) along three routes - economic, informational and affective - this paper aims at evaluating, from the consumer's point of view, the relative perceptual disadvantages of separate-item bundles compared...

Previous research on corporate social responsibility generally acknowledges that consumers develop more favourable perceptions of responsible firms. Yet few empirical works have focused on the effects of the firm's societal communication and of its characteristics on brand equity. In this paper...

Previous research works on corporate social responsibility (CSR) generally acknowledge that consumers develop more favourable perceptions of responsible firms. Yet next to nothing has been written on the effects of the firm's societal communication and its characteristics on brand equity. In...

This paper analyzes the role of the brand concept (luxury vs. non-luxury) in the impact of step-down line extension on consumer-brand relationships. A before-and-after pseudo-experimental study conducted on the Internet among BMW and Peugeot buyers shows that step-down line extension negatively...