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Estimating the cost of capital with basis assets

Brown, Stephen J.; Lajbcygier, Paul; Wong, Woon Weng - In: Journal of banking & finance 36 (2012) 11, pp. 3071-3079

Persistent link: https://www.econbiz.de/10009672985

Technical presentation of the models

Serageldin, Ismail; Li, Bob - 1983

Persistent link: https://www.econbiz.de/10001530044

Is Fundamental Indexation able to time the market? : evidence from the Dow Jones Industrial Average and the Russell 1000

Chen, Doris; Dempsey, Michael; Lajbcygier, Paul - In: Journal of international financial markets, … 37 (2015), pp. 162-177

Persistent link: https://www.econbiz.de/10011475058

The viability of alternative indexation when including all costs

Lajbcygier, Paul; Sojka, Jeremy - In: International review of financial analysis 38 (2015), pp. 109-141

Persistent link: https://www.econbiz.de/10011337624

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

Optimizing technical trading strategies with split search genetic algorithms

Tsang, Raymond; Lajbcygier, Paul - In: Evolutionary computation in economics and finance : …, (pp. 333-358). 2002

Persistent link: https://www.econbiz.de/10001677456

Hybrid option pricing with an optimal weighted implied standard deviation

Lajbcygier, Paul; Flitman, Andrew; Palaniswami, Marimuthu - In: Commerce, complexity, and evolution : topics in …, (pp. 191-211). 2000

Persistent link: https://www.econbiz.de/10001556443

Examination items in financial mathematics : a Bayesian analysis of differential item functioning (DIF) using item-response theory (IRT)

Sanford, Andrew; Lajbcygier, Paul - In: Advances in financial education : journal of the … 7 (2009) 1/2, pp. 158-182

Persistent link: https://www.econbiz.de/10003894035

The Effect of Anonymity on Price Efficiency : Evidence from the Removal of Broker Identities

Duong, Huu Nhan - 2018

We show that broker identities are important for price formation. We use the removal of broker identities by the ASX on November 28th 2005 as a natural experiment and compare the information signal of broker identities before and after its removal. We find that broker identities have significant...

Persistent link: https://www.econbiz.de/10012916669

The Information Content of Special Orders

Duong, Huu Nhan - 2016

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...

Persistent link: https://www.econbiz.de/10012990831