Volatility-based filtering is proposed to pre-process historical daily return data of stock indexes before applying to price-based technical analysis trading rules. Any “nearly flat” days which have daily gains or losses less than a threshold about 20% of a daily volatility measure, is...

In this letter, I exploit the high fraction of retail investors in the early years of the Bitcoin and the introduction of margin trading and short selling by the Bitcoin Exchange Kraken to apply a difference-in-differences approach with four other comparable Bitcoin exchanges to infer causality....

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...