One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel...

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

In worldwide financial markets, increased trading is a more common observable factor that not goes in favor of the standard of classical economic theory based on rational agents and efficient markets. Previous research suggests that market performance operate the level of overconfidence and...

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is tested under 3 market regimes. The results don't show...

These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It...

This study investigates the dynamic transmission mechanism between COVID-19 news sentiment (Google Trends Index), and S&P100, crude oil and gold volatility indices using the recently developed time-varying parameter vector autoregressive (TVP-VAR) based extended joint connectedness approach...

This paper extends models of learning about profitability to the case of voluntary disclosure. Using short-window regressions, I first find that the whole company-specific news flow, not just earnings announcements, has the property of providing useful information about other stocks....