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A machine learning based asset pricing factor model comparison on anomaly portfolios
Fang, Ming; Taylor, Stephen - In: Economics letters 204 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012607835
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Unbiased weighted variance and skewness estimators for overlapping returns
Taylor, Stephen; Fang, Ming - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 2-8
This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies...
Persistent link: https://www.econbiz.de/10011962867
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On equity market inefficiency during the COVID-19 pandemic
Navratil, Robert; Taylor, Stephen; Večeř, Jan - In: International review of financial analysis 77 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805948
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The premium reduction of European, American, and perpetual log return options
Taylor, Stephen; Večeř, Jan - In: The journal of derivatives : JOD 28 (2021) 4, pp. 7-23
Persistent link: https://www.econbiz.de/10012612917
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A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu; Kirkby, Justin; Nguyen, Duy; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 4, pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
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Graph theoretical representations of equity indices and their centrality measures
Di Cerbo, Luca F.; Taylor, Stephen - In: Quantitative finance 21 (2021) 4, pp. 523-537
Persistent link: https://www.econbiz.de/10012483837
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Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 3, pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
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Arbitrage detection using max plus product iteration on foreign exchange rate graphs
Cui, Zhenyu; Taylor, Stephen - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438327
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Detecting and identifying arbitrage in the spot foreign exchange market
Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132
Persistent link: https://www.econbiz.de/10012194858
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On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
Navratil, Robert; Taylor, Stephen; Večeř, Jan - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1215-1229
Persistent link: https://www.econbiz.de/10013363847