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Deliberate premarket underpricing : new evidence on IPO pricing using machine learning

Pirayesh Neghab, Davood; Bradrania, Reza; Elliott, Robert J. - In: International review of economics & finance : IREF 88 (2023), pp. 902-927

Persistent link: https://www.econbiz.de/10014475077

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522

Asset prices with regime-switching variance gamma dynamics

Royal, Andrew J.; Elliott, Robert J. - 2009

Persistent link: https://www.econbiz.de/10003827090

Compound hawkes processes in limit order books

Sviščuk, Anatolij; Remillard, Bruno; Elliott, Robert J.; … - In: Financial mathematics, volatility and covariance modelling, (pp. 191-214). 2019

Persistent link: https://www.econbiz.de/10012249127

Information or noise : what does algorithmic trading incorporate into the stock prices?

Zhou, Hao; Elliott, Robert J.; Kalev, Petko S. - In: International review of financial analysis 63 (2019), pp. 27-39

Persistent link: https://www.econbiz.de/10012207365

Optimal execution with regime-switching market resilience

Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, … - In: Journal of economic dynamics & control 101 (2019), pp. 17-40

Persistent link: https://www.econbiz.de/10012131017

Option pricing for pure jump processes with Markov switching compensators

Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275

Persistent link: https://www.econbiz.de/10003334921

The beta anomaly and the quality effect in international stock markets

Bradrania, Reza; Veron, Jose Francisco; Wu, Winston - In: Journal of behavioral and experimental finance 38 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014456700

The Beta Anomaly in the Australian Stock Market and the Lottery Demand

Bradrania, Reza; Veron, Jose Francisco - 2022

Frazzini and Pedersen (2014) [Betting against beta. Journal of Financial Economics, 111(1), 1-25] report an insignificant performance for the betting against beta (BAB) strategy in the Australian equity market, suggesting that the beta anomaly does not exist in this market. We extend their...

Persistent link: https://www.econbiz.de/10014237022

The beta anomaly in the Australian stock market and the lottery demand

Bradrania, Reza; Veron, Jose Francisco - In: Pacific-Basin finance journal 77 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014463612