Purpose: The purpose of this paper is to explore relationships among three primary variables: sports spectatorship of intercollegiate football, university brand equity and student satisfaction. The primary purpose is to understand the extent to which athletic programs influence campus culture,...

High frequency trading (HFT) is the latest revolutionary force in financial markets, but good empirical data is notoriously difficult to obtain and analyze. To provide some basic insights into the effects of HFT on stock markets, this paper employs an agent-based simulation to examine the...

It has been demonstrated that European option premia computed with a binomial lattice, as first described by Cox, Ross, and Rubinstein (CRR, 1979), do not have a closed-form solution (Georgiadis, 2011). This stems from a lack of hypergeometricity, an artifact of Gosper's algorithm, and naturally...

It is well-known that the market prices of options produce implied volatilities that inexplicably vary by exercise price in a pattern often referred to as the volatility smile. This paper shows that not only do market prices produce volatility smiles, but so do model prices. This result occurs...

One application of cointegration tests is screening candidate stocks for the investment strategy known as statistical arbitrage. This paper develops two robust tests for cointegration by using rank-based and least absolute deviation regression to modify the seminal Engle-Granger test. Critical...

Statistical arbitrage is a popular trading strategy employed by hedge funds and proprietary trading desks, built on the statistical notion of cointegration to identify profitable trading opportunities. Given the revolutionary shift in markets represented by high frequency trading (HFT), it is...

Low levels of financial literacy have been linked to costly errors in investing behavior. This paper examines the relationship between financial literacy and the two financial tasks of asset allocation and security selection in an online survey of college students. Results suggest that financial...

Purpose An agent-based market simulation is utilized to examine the impact of high frequency trading (HFT) on various aspects of the stock market. This study aims to provide a baseline understanding of the effect of HFT on markets by using a paradigm of zero-intelligence traders and examining...