Pre-Election Drift in the Stock Market
There are many calendar / seasonal anomalies by which we can enhance our strategies to gain more return. One of the least frequent but still very interesting anomalies is for sure the Pre-Election...
View ArticleThe Financialization of Chinese Commodity Markets
Publication date: Available online 22 January 2020Source: Finance Research LettersAuthor(s): Baochen Yang, Yingjian Pu, Yunpeng Su
View ArticleIs the cash flow sensitivity of cash asymmetric? African evidence
Publication date: Available online 23 January 2020Source: Finance Research LettersAuthor(s): Michael Machokoto, Geofry ArenekeAbstractWe examine whether the cash flow sensitivity of cash is asymmetric...
View ArticleOpening Statement: Inaugural Meeting of the Asset Management Advisory Committee
Dalia Blass Opening Statement: Inaugural Meeting of the Asset Management Advisory Committee
View ArticleOver $63 Million to Be Returned to Investors in Alleged Real Estate...
The Securities and Exchange Commission today announced that it has obtained a court order authorizing the distribution of over $63 million to investors in connection with a previously filed action.Â...
View ArticleShorting in Speculative Markets
ABSTRACT In models of trading with heterogeneous beliefs following HarrisonâKreps, shortâselling is prohibited and agents face constant marginal costsâofâcarry. The resale option guarantees...
View ArticleCan Unemployment Insurance Spur Entrepreneurial Activity? Evidence From France
ABSTRACT We evaluate the effect of downside insurance on selfâemployment. We exploit a large scale reform of French unemployment benefits which insured unemployed workers starting businesses. The...
View ArticleHigh�Frequency Trading and Market Performance
ABSTRACT We study the consequences of, and potential policy responses to, highâfrequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT,...
View ArticleInsider Investment Horizon
ABSTRACT We examine the relation between insidersâ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment...
View ArticleFalse Positives and Machine Learning
There is a high rate of failure among quant funds. These include smart beta, factor investing, statistical arbitrage, and CTAs. Such false positive strategies are a widespread industry problem. Since...
View ArticleCAIA Alternative Viewpoint: Risk Parity
Mean variance optimization (MVO) is a simple, yet well-regarded asset allocation technique designed to create a portfolio that maximizes itâs expected level of return for a given level of standard...
View ArticleStatistical mechanics of time series. (arXiv:1907.04925v2 [q-fin.ST] UPDATED)
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series....
View ArticleDeepLOB: Deep Convolutional Neural Networks for Limit Order Books....
We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial...
View ArticleKnowledge Graphs for Innovation Ecosystems. (arXiv:2001.08615v1 [cs.IR])
Innovation ecosystems can be naturally described as a collection of networked entities, such as experts, institutions, projects, technologies and products. Representing in a machine-readable form these...
View ArticleMarked point processes and intensity ratios for limit order book modeling....
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative...
View Article