This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Titelei -- Inhalt -- PORTRÄT VZ VERMÖGENSZENTRUM -- PORTRÄT DUFOUR CAPITAL -- VORWORT -- ÜBER DIESES BUCH -- ENTSCHEIDUNGSPROZESSE FÜR DIE GELDANLAGE -- EINFÜHRUNG IN DIE REGELBASIERTE GELDANLAGE -- AUFBAU EINES REGELWERKS FÜR DIE GELDANLAGE -- ANLAGELÖSUNG FÜR PRIVATANLEGER --...

Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading framework with a set of pre-conditions for pair eligibility...

We find that Robinhood ownership changes are unrelated with future returns, suggesting that zero-commission investors behave as noise traders. We exploit Robinhood platform outages to identify the causal effects of commission-free traders on financial markets. Exogenous negative shocks to...

Market fragmentation : monitoring and history -- Smart order routing -- Tick size; -- Information seeking and price discovery -- Dark pools and broker crossing networks -- Liquidity : the viewpoint of trading venues -- The agenda of high frequency traders -- The link between fragmentation and...

Key Features:Interdisciplinary comments on market microstructure (covering economy, quantitative finance, and econophysics)Covers a very large spectrum of phenomenon: high frequency trading, liquidity monitoring, the Flash Crash, systemic risk, fragmentation, Smart Order Routing, trade...