High Frequency Trading is pervasive across all electronic financial markets. As algorithms replace an increasing number of tasks previously performed by humans, cascading effects similar to the Flash Crash of May 6th 2010 become more likely. In this study, we bring together a number of different...

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the...

Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options, American options, path-dependent options, multi-asset options) -- Fundamentals: stochastic analysis and applications, interest rate dynamics, and basic principles of pricing...

High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of...

With the success of variable annuities, insurance companies are piling up large risks in terms of both equity and fixed income assets. These risks should be properly modeled as the resulting dynamic hedging strategy is very sensitive to the modeling assumptions. The current literature has been...

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

We assess investment value of sell-side analyst recommendations from the standpoint of portfolio risk. We match I/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns up to one year following recommendation issue....