We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross-section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross-section of stocks, and the spread...

OU processes with long term drifts that are Tempered Fractional Lévy Processes reduce to a d+1 dimensional Markovian system when the parameter d is an integer. Markovian optimization problems are formulated for the proportion of a dollar to be invested in a risky stock following the specified...