Industry classification groups firms into finer partitions to help investments and empirical analysis. To overcome the well-documented limitations of existing industry definitions, like their stale nature and coarse categories for firms with multiple operations, we employ a clustering approach...

We model the decision to exhaust depth by high speed traders, which either flips the best bid or ask quote to the opposite side or widens the spread. Such events are common and often revert to the previous best quote levels. Consistent with the model, such quote flipping results in large trade...

Asset returns exhibit grouped heterogeneity, and a “one-size-fits-all” model has been elusive empirically. This paper proposes a Bayesian Clustering Model (BCM) combining Bayesian factor selection and panel tree for asset clustering. The Bayesian model marginal likelihood guides the tree...

We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well documented asymmetry in price response to...

This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of two locally stable attractors proposed by Gaunersdorfer, Hommes and Wagener (2008). By considering a simple asset pricing model with two types of boundedly rational traders,...

We study the incentives to acquire information from exclusive news sources versus information from popular sources in a CARA-normal asset market. Each trader is able to observe one of a finite number of news sources. Clustering on the most precise source can happen for two reasons. One is...

In Canada, financial advisors and dealers are required by provincial securities commissions and self-regulatory organizations-charged with direct regulation over investment dealers and mutual fund dealers-to respectively collect and maintain know your client (KYC) information, such as their age...

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the...

This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous Lévy processes as risk...