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Incomplete financial markets and jumps in asset prices
Crès, Hervé; Markeprand, Tobias; Tvede, Mich - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 201-219
Persistent link: https://www.econbiz.de/10011554148
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Intraday momentum and reversal in Chinese stock market
Chu, Xiaojun; Gu, Zherong; Zhou, Haigang - In: Finance research letters 30 (2019), pp. 83-88
Persistent link: https://www.econbiz.de/10012420230
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Three essays in finance
Peng, Liang - 2002
Persistent link: https://www.econbiz.de/10003780467
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The performance of imbalance-based trading strategy on tender offer announcement day
Huang, Han-Ching; Su, Yong-chern; Liu, Yi-chun - In: Investment management and financial innovations 11 (2014) 2, pp. 38-46
Persistent link: https://www.econbiz.de/10010392838
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Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies
Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401
Persistent link: https://www.econbiz.de/10012130976
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Isolating momentum crashes
Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
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High-frequency equity pairs trading : transaction costs, speed of execution, and patterns in returns
Bowen, David; Hutchinson, Mark C.; O'Sullivan, Niall - In: The journal of trading 5 (2010) 3, pp. 31-38
Persistent link: https://www.econbiz.de/10003992724
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Liquidity and expected returns : evidence from 1926 - 2008
Baradarannia, M. Reza; Peat, Maurice - In: International review of financial analysis 29 (2013), pp. 10-23
Persistent link: https://www.econbiz.de/10010244145
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High Frequency Equity Pairs Trading : Transaction Costs, Speed of Execution and Patterns in Returns
Bowen, David - 2019
In this paper we examine the characteristics of high frequency pairs trading using a sample of FTSE100 constituent stocks for the period January to December 2007. We show that the excess returns of the strategy are extremely sensitive both to transaction costs and speed of execution. When we...
Persistent link: https://www.econbiz.de/10012906082
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Incomplete financial markets and jumps in asset prices
Crès, Hervé; Markeprand, Tobias; Tvede, Mich - 2009
Persistent link: https://www.econbiz.de/10003859940