We derive closed-form strategies for a broker who provides liquidity to an informed trader and to a noise trader over a finite-time and infinite-time trading horizon. The flow of the noise trader is uninformative and the broker trades with the noise trader at a profit, on average. On the other...

Price movement prediction has always been one of the traders’ concerns in financial market trading. In order to increase their profit, they can analyze the historical data and predict the price movement. The large size of the data and complex relations between them lead us to use algorithmic...

Corporate governance has over time moved from being a peripheral to a central issue for capital markets regulation. In this chapter we focus on the evolution of the relationship between corporate governance and listing rules in the UK. We approach the relationship between listing rules and...

At any point in time, most firms are not in financial distress. This implies that they must suffer value losses unrelated to their leverage before becoming financially distressed. We first show that if estimates of ex-ante distress costs are not filtered of such non-debt related value declines,...

Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley framework, is given by the partial derivatives of a risk measure applied to the portfolio profit and loss in direction...

This study examines the determinants of the cross-sectional variation in stock prices by decomposing individual stock price-ratios over a set of 21 variables split between seven categories. I test a firm-specific version of the Campbell and Shiller (1988) model and show that expected returns and...

Privacy by design suggests seven principles to embed privacy into systems, but AI and data practice shows a “privacy paradox” in the behaviour of users. The ever-evolving AI capabilities outpace privacy policies and people require more insight into the possible use of their data to make...

We examine whether and how CEOs’ conscientiousness affects managerial learning from stock prices. We use a deep learning-based natural language processing model to detect personality from textual records of an individual’s spoken language. Following personality psychologists’ description...

Price limit is a prevalent policy that intends to control significant volatility in financial markets. In the financial markets with price limit, the trades will be prevented from occurring outside the specified price bands. This paper analyses and compares the effectiveness of three price limit...