We study the impact of fractional trading on the price levels and order book dynamics observed in the market. Fractional trading has been a recent introduction in equities markets on multiple trading platforms, allowing individuals to buy a fraction of a share of stocks or ETFs (exchange-traded...

We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the...

We propose a new procedure to perform Reduced Rank Regression (RRR) in non-Gaussian contexts, based on Multivariate Dispersion Models. Reduced-Rank Multivariate Dispersion Models (RR-MDM) generalise RRR to a very large class of distributions, which include continuous distributions like the...

This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal withissues of discreteness, overdispersion (variance greater thant then mean) and both auto- and crosscorrelation. We model counts...

This paper presents the Theory of Retailer Price Promotions (TRPP) for consumer packed goods (CPGs). Specifically, the theory states that incremental retail sales generated by promotional price discounts are entirely incremental to the promoting manufacturer, the promoting retailer and the...

This paper develops more accurate and robust baseline sales estimates (sales in the absence of price promotion) using a dynamic linear model (DLM) enhanced with a multiple structural change model (MSCM). We first discuss the value of utilizing aggregated (chain-level) vs. disaggregated...

We study the impact of fractional trading (FT) on the price levels and order book dynamics observed in stock markets. Using Nasdaq data feed at a minute frequency, we show that there has been a significant increase in the slope of the price-volume structure and average tick size. In some cases,...

We study the impact of fractional trading (FT) on the price levels and order book dynamics observed in stock markets. Using Nasdaq data feed at a minute frequency, we show that there has been a significant increase in the slope of the price-volume structure and average tick size. In some cases,...

Despite the financial sector liberalization and openness that started in the earlier 90’s and significant macroeconomic development as well as increasing inflow of capital toward the region, there is not any evidence of the reduction of interest rates as well as banks’ profits in Latin...