Deposition of silicon dioxide (SiO2) is a critical step of integrated circuit manufacturing; hence it is monitored during the manufacturing process at a grid of points defined on the wafer area. Since collecting thickness measurements is expensive, it is a compelling issue to investigate how a...

This paper presents an efficient method to compute portfolio risk and return. Two methodologies are exposed in evaluating portfolio performance by aggregation of securities returns: the first one is based on local approximations of the compounding capitalization formula; in the alternative...

Purpose – The paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation. Design/methodology/approach - The approach enables to take into...

Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part,...

This study develops and empirically tests a simple market microstructure model to capture the main determinants of option bid‐ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid‐ask spread...

This paper investigates the intraday effects on market quality of a unique trading suspension mechanism in place at the Italian stock market (Borsa Italiana) in case of price limit hit. Specifically, when prices hit the limit, Borsa Italiana halts trading for 5 minutes ('freeze phase') and...

MiFID regulation aims at protecting investors and promoting competition across securities markets in the European Union. The measurement of trade execution quality is crucial to achieve such goals. Traders will direct order flow towards more efficient venues only if compare trade execution...

"In this paper we perform regression-based tests for mean-variance spanning in order to detect the effect of investing in euro area small capitalisation stocks on the minimum variance frontier, and apply different measures to assess the extent of diversification gains. Empirical analysis shows...

Purpose – The purpose of this paper is to evaluate how markets in financial instruments directive (MiFID) and regulation national market system (Reg NMS) affect the competition for order flow among trading venues in, respectively, Europe and the USA. Design/methodology/approach – The paper...