The advances in computer and communication technologies have created new opportunities for improving, extending the application of or even developing new trading strategies. Transformations have been observed both at the level of investment decisions, as well as at the order execution layer....

The advances in computer and communication technologies have created new opportunities for improving, extending the application of or even developing new trading strategies. Transformations have been observed both at the level of investment decisions, as well as at the order execution layer....

This paper proposes a new method for determining the upper bound of any investment strategy's maximum profit, applied in a given time window [0, T]. This upper bound is defined once all the prices are known at time T and therefore represents the ex-post maximum efficiency of any investment...

This research discusses the process used to develop model equity and fixed income portfolios that could, if adopted by an organization, align 100% of the assets in its endowment fund with a mission to reduce poverty in the San Francisco Bay Area. Given that endowments funds must follow fiduciary...

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely...

In this paper we examine various types of financial crises and conjecture its underlying mechanisms using a deterministic heterogeneous agent model (HAM). In a market-maker framework, forward-looking investors update their price expectation according to psychological trading windows and cluster...

We consider a casino gambling model with an indefinite end date and gamblers endowed with cumulative prospect theory preferences. We study the optimal strategies of a pre-committed gambler, who commits her future selves to the strategy she sets up today, and of a naive gambler, who is unaware of...

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

We analyze the problem of pricing counter-party risk for over-the-counter derivatives when there is no liquidly traded credit derivative for the counter-party. We address the market incompleteness by computing good deal bounds. We show that the lower good deal bound is a coherent risk measure...

This study evaluated efficiency of private and government banks using Data Envelopment Analysis with Assumption of a constant and variable return to scale. The statistical study included nine government and six private banks taken from the period of 2006-2010. Total expenditures and deposits as...