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The Performance of the 130/30 Strategy in the Australian Equities Market

Frino, Alex - 2009

This paper empirically tests two 130/30 strategies using the top 50 stocks listed on the Australian Stock Exchange: a momentum returns driven 130/30 strategy, and a fundamental value based 130/30 strategy. The performance of these enhanced active strategies is evaluated, against traditional buy...

Persistent link: https://www.econbiz.de/10012720460

An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange

Frino, Alex; Jarnecic, Elvis - In: Pacific-Basin Finance Journal 8 (2000) 3-4, pp. 443-456

Persistent link: https://www.econbiz.de/10005351959

Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

Bortoli, Luke; Frino, Alex; Jarnecic, Elvis; Johnstone, … - In: The journal of futures markets 26 (2006) 12, pp. 1147-1168

Persistent link: https://www.econbiz.de/10007305376

Activity in futures: does underlying market size relate to futures trading volume?

Frino, Alex; Jarnecic, Elvis; Zheng, Hui - In: Review of Quantitative Finance and Accounting 34 (2010) 3, pp. 313-325

Persistent link: https://www.econbiz.de/10010867639

Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note

Aitken, Michael; Frino, Alex; Jarnecic, Elvis - In: Abacus : a journal of accounting, finance and business … 33 (1997) 2, pp. 228

Persistent link: https://www.econbiz.de/10006060123

An Empirical Analysis of Price and Time Priority and Pro Rata Trade Execution Algorithms in Screen-Traded Markets

Frino, Alex; Hill, Amelia; Jarnecic, Elvis - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 41-48

Persistent link: https://www.econbiz.de/10005958402

Guide for Authors

Frino, Alex; Jarnecic, Elvis; Zheng, Hui - In: Journal of Asian economics 21 (2010) 2, pp. CO3

Persistent link: https://www.econbiz.de/10008389684

The option value of the limit order book

Frino, Alex; Jarnecic, Elvis; McInish, Thomas H. - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 57-71

Persistent link: https://www.econbiz.de/10009924736

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-88

Persistent link: https://www.econbiz.de/10007027965

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

Bortoli, Luke; Frino, Alex; Jarnecic, Elvis - In: Journal of Financial Services Research 26 (2004) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10005715973

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