This article develops and implements a new methodology for identifying intra-day information regimes in limit order books. Based on Lehmann (2008), in an information regime all the information is trade related and arrives via order flow and, the fundamental value that underlines the prices does...

This paper adds to the literature on the financial markets' reaction to government interventions during the 2007-2009 financial crisis by analyzing the response of US firms' credit default swap spreads to key government actions. We find that the government measures taken to stabilize both the...

Part III narrates instructions on harnessing the power of multicore virtual machine parallel computing environments, suitable for large dataset and heavy computational needs. Also, presents guidance to use the storage cloud (S3) along with computing cloud based on Amazon Elastic Compute Cloud (EC2)

This chapter focuses on the attitude of investors toward financial gains and losses and their decisions on wealth allocation, and how these changes are subject to behavioral factors. The focal point is the integration of behavioral elements into the classic portfolio optimization. Individual...

Several central banks in emerging economies are concerned with excessive volatility in foreign exchange markets and would like to control the direction and speed with which the value of their currency changes. Historically, currency market interventions have consisted of using foreign exchange...

This paper develops a more accurate and robust baseline sales (sales in the absence of price promotion) using Dynamic Linear Models and a Multiple Structural Change Model (DLM/MSCM). We first discuss the value of utilizing aggregated (chain-level) vs. disaggregated (store-level) point-of-sale...