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A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Shen, Jackie - 2020

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...

Persistent link: https://www.econbiz.de/10012837206

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Biodiversity Confusion : The Impact of ESG Biodiversity Ratings on Asset Prices

Xin, Wei; Grant, Lewis; Groom, Ben; Zhang, Chendi - 2023

The biodiversity components of ESG ratings are analysed to understand whether and how this disclosure mechanism can … affect investment decisions, improve outcomes for biodiversity and nature or lead to better management of nature based risks …. We analyse the relationship between stock returns and firms’ biodiversity ratings and how biodiversity ratings are …

Persistent link: https://www.econbiz.de/10014348603

Optimal dividend policy and stock prices

Li, Weiping - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012284594

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

On international compensations for environmental stocks

Stähler, Frank - 1993

Persistent link: https://www.econbiz.de/10013261224

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Avellaneda, Marco - 2012

Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al (2003)), we consider a diffusion model for the evolution of the best bid/ask queues. We...

Persistent link: https://www.econbiz.de/10013115602

Old Lessons Relearned : The Asset Price Dynamics of High-Yield Bonds

Thomas, Jason - 2009

This study investigates the asset price dynamics of high-yield bonds. High-yield bonds are debt instruments issued by corporate borrowers with a credit rating below investment grade. The noninvestment grade rating is typically the result of greater reliance on debt in the firm's capital...

Persistent link: https://www.econbiz.de/10013153259

Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix

Bommarito, Michael James - 2018

We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that produces a more stationary distribution of eigenvalues. First, we compare the normalized maximum eigenvalue time series of the market-adjusted return correlation matrix to that of...

Persistent link: https://www.econbiz.de/10012940589

The Boasting Effect : How Interpersonal Utility Affects Stock Prices

Hammerich, Ulrich - 2015

finance nor to traditional economical theories? Inspired by rational choice theory, this paper tries to explore this largely …

Persistent link: https://www.econbiz.de/10013021105

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