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Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the ninetee...
We empirically study the market impact of trading orders. We are speci cally interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed ba...
We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibits size-de...
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of s...
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with di erent memory lengths using the strategies' past performance...
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...
Rising urban and environmental demandfor water has created growing pressure to re- allocate water from traditional agricultural uses. The evolution of water markets has been more complicated t...
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...

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