Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time … mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility … forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active …

-neutral informed trading,noise trading,marketmaking, and endogenous production of information. Invariance relationships for bet sizes … assumption that private information has the same signal-to-noise ratio across markets. Equilibrium prices follow a martingale … with endogenously derived stochastic volatility …

endogenously derived stochastic volatility. Returns volatility, pricing accuracy, liquidity, and market resiliency are connected by …-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two … state variables: stock price and hard-to-observe pricing accuracy (or liquidity). Invariance makes predictions operational …

-space model of bid and ask quotes to infer the dynamics of volatility and transaction costs. The estimation uses new techniques … based on particle filtering and the Monte Carlo EM algorithm. Empirical results indicate that the volatility of the …

Volatility trading is in vogue. Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market … Volatility Index (VIX) have enamored no small number of traders judging by the billions of dollars invested in these new products …

This paper examines the impact of trade costs on real exchange rate volatility. We incorporate a multi … exchange rate volatility depends on relative technological differences and trade costs. These differences highlight a new … volatility. We then test the importance of this channel using a large panel of cross-country data over 1970-97, and find strong …