Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

A kinetic model of stock price returns is presented for the description of the stock price dynamics through an impact of the information signals on investor behaviours. The model incorporates behavioural processes of the influence of the private or public information on the exchange of cash and...

Duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is becoming more relevant in the recent period, due...