The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...

The paper proposes a novel direction to rationalize and quantify investors' flipping behavior and its effect on underpricing in IPOs through the use of a structural approach mode. The outcome is a proxy value that replicates investors' flipping behavior. When tested empirically, the model...

In this paper, the author uses geometrical and topological aspects of Exploratory Data Analysis (EDA) to examine Standard and Poor's (S&P), MSCI's and Thomson Reuters' (TRI) ways of determining which stocks are growth and which are value. The results of the analysis are that two of the firms -...

Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a model with two ("bad" and "good") variances. In the model, conditional equity premium depends positively on bad variance and negatively on good variance....

Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market...

This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios fromthe Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

We frame IPO pricing as an efficiency problem for prospective issuers and explore the effect of connections formed via lobbying and PAC (Political Action Committee) contributions as proxies for corporate political connections. Rather than imposing a regression-based framework, we allow...

This research examines the structural properties of the macroscopic model introduced in [AlShelahi and Saigal, 2018]. We present a theoretical analysis of the behavior of the macroscopic variables. In particular, we show that the model exhibits shock-like solutions, providing a new narrative for...

• Demonstration of outstanding investment performance due to noise filtering of covariance matrices in optimum portfolio selection exercises. This demonstration is based on the out-of-sample simulation of rebalancing trading done daily, weekly, biweekly and monthly.• Exhibits of investment...

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C. present, in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...