High Frequency Trading is pervasive across all electronic financial markets. As algorithms replace an increasing number of tasks previously performed by humans, cascading effects similar to the Flash Crash of May 6th 2010 become more likely. In this study, we bring together a number of different...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

The aim of this paper is to use an econometric model for the period (3/1/2000- 31/12/2016) in order to examine if a (Μ&Α) affects the share prices of eight big US acquiring banks. GARCH analysis will be thus used on daily data. Some advantages of GARCH models will be explained

This paper proposes an ex post volatility estimator, called mixed interval realized variance (MIRV), that uses high-frequency data to provide measurements robust to the idiosyncratic noise of stock markets caused by market microstructures. The theoretical properties of the new volatility...

This paper develops the necessary methodology for high frequency ANOVA, which includes the estimations of idiosyncratic volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of idiosyncratic volatility is notoriously difficult...