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A comparison of the forecasting ability of immediate price impact models

Manh Cuong Pham; Huu Nhan Duong; Lajbcygier, Paul - In: Journal of forecasting 36 (2017) 8, pp. 898-918

Persistent link: https://www.econbiz.de/10011860921

The effects of trade size and market depth on immediate price impact in a limit order book market

Manh Cuong Pham; Anderson, Heather Margot; Huu Nhan Duong; … - In: Journal of economic dynamics & control 120 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012503902

Measuring Immediate Price Impact Using Nonparametric Models

Pham, Manh Cuong - 2015

As a consequence of recent technological advances and the proliferation of high-frequency trading and other forms of algorithmic trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; this is known as price impact....

Persistent link: https://www.econbiz.de/10013029638

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

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The Dow Theory : William Peter Hamilton's track record re-considered

Brown, Stephen J.; Goetzmann, William N.; Kumar, Alok - 1998

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The Dow Theory : William Peter Hamilton's track record reconsidered

Brown, Stephen J. - In: The journal of finance : the journal of the American … 53 (1998) 4, pp. 1311-1333

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Estimation risk and optimal portfolio choice

Bawa, Vijay S.; Brown, Stephen J.; Klein, Roger W. - 1979

Persistent link: https://www.econbiz.de/10012874006

A lottery-demand-based explanation of the beta anomaly

Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397

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Is economic uncertainty priced in the cross-section of stock returns?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: Journal of financial economics 126 (2017) 3, pp. 471-489

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Disagreement in economic forecasts and equity returns : risk or mispricing?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341

Persistent link: https://www.econbiz.de/10014362710