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of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of …-referential mispricing, enabling us to disentangle the risk-return relationship from its instantaneous connection. By describing drawdowns …
Persistent link: https://www.econbiz.de/10012800780
A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....
Persistent link: https://www.econbiz.de/10013092291
Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as redundant relative to the replicating portfolio. In practice, while dynamic replication proves highly effective in drastically reducing the risk in derivative investments, the...
Persistent link: https://www.econbiz.de/10013244989
Trading stops are often used by traders to risk manage their positions. In this note, we show how to derive optimal trading stops for generic algorithmic trading strategies when the P&L of the position is modelled by a Markov modulated diffusion. Optimal stop levels are derived by maximising the...
Persistent link: https://www.econbiz.de/10013060557
equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …
Persistent link: https://www.econbiz.de/10011389297
Behavioral finance tries to make sense of financial data using models that are based on psychologically accurate assumptions about people's beliefs, preferences, and cognitive limits. I review behavioral finance approaches to understanding asset prices and trading volume, with particular...
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"Technical Analysis Tools gives readers an arsenal of technical analysis tools. From a brief discussion of fundamental analysis to an in-depth discussion of technical analysis and the author's own cycles method, readers will find time-tested approaches to technical analysis. They'll learn how to...
Persistent link: https://www.econbiz.de/10003565034