We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...

In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...

Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

We develop a model predicting two channels through which creditor protection enhances the performance of stock prices: (1) The probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of creditors; (1) The stock prices under the...

This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional correlation (SCC) methodology to identify the...

Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of thousands of tax evaders were sold to several...