As you already know, the reason for mergers to occur is with the aim of increasing economies of scale. By doing so, companies can reduce operational costs, such as reducing overall labor costs while maintaining a stronger and more effective workforce

Operational risk is a substantial source of risk for US banks. Improving the performance of operational risk models allows banks’ management to make more informed risk decisions by better matching economic capital and risk appetite, and allows regulators to enhance their understanding of...

This article examines the time-series predictive ability of monthly option-implied idiosyncratic skewness (Skew, hereafter) for stock market excess returns. Skew is a strong negative predictor of returns with particular strong power at long horizons. Specifically, the out-of-sample R^2...

Historical investment performance is most commonly displayed as a charted time series of what are referred to simply as “growth” returns. Unfortunately, charts of such returns have a number of shortcomings that can severely limit their value as a means of providing investors with a...

Numerous studies investigate the relationships between fund manager characteristics and fund performance. However, most evaluate fund performance by using traditional factor alphas, such as the Fama–French–Carhart four- and six-factor alphas. In the present study, we analyze data from...

This paper explains a new breed of stablecoin specifically designed for decentralized finance (DeFi) ecosystem expansion. It differs from earlier versions by specifically addressing the needs of DeFi participants, who constantly face frictions related to volatility, slippage, and forced...

Using Steam Community Market data for eight of the most popular games from 2012 to 2021, this paper investigates the existence of a sale effect, a market anomaly according to which in-game item returns tend to be lower on days at the beginning and higher on days in the aftermath of Steam store...

We propose an actor-critic reinforcement learning (RL) algorithm for the optimal execution problem. We consider the celebrated Almgren-Chriss model in continuous time and formulate a relaxed stochastic control problem for execution under an entropy regularized mean-quadratic variation objective....

Hidden orders are widely used in major exchanges. This paper studies how hidden orders affect markets by introducing these orders to the limit order market model in Foucault et al. (2005). We investigate the equilibrium outcomes in an infinite-time horizon model with multiple price levels and...

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...