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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Michael Schwarz
In the conversion problem, wealth has to be distributed between two assets with the objective to maximize the wealth at the end of the investment horizon. The bi-directional preemptive conversion problem with a constant price interval is the only problem...
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Xueting Zeng, Yongping Li, Guohe Huang and Liyang Yu
In this study, a two-stage inexact credibility-constrained programming (TICP) method is developed for identifying the efficiency of water trading under multiple uncertainties. TICP can tackle uncertainties expressed as probabilistic distributions, discre...
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Andreas Mikkelsen,Frode Kjærland
Pág. 78 - 88
We study the performance of a high-frequency pairs trading strategy on the 100 most liq- uid stocks, in 15-minute intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016...
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Bingtuan Gao, Xiaofeng Liu, Wenhu Zhang and Yi Tang
Taking advantage of two-way communication infrastructure and bidirectional energy trading between utility companies and customers in the future smart grid (SG), autonomous energy management programs become crucial to the demand-side management (DSM). Mos...
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Jiqiang Wang, Fu Gu, Yingpeng Liu, Ying Fan and Jianfeng Guo
This paper pioneers to investigate the endowment effect in the European Union mission Trading Scheme (EU ETS) as well as the impacts of trading experience and compliance pressure on the endowment effect. This study is based on the complete transaction re...
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Zixiu Yang and Dean Fantazzini
This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscil...
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Mohammad M. Khabbazan
The EU has established the world?s first cross-border emission-trading systems (ETS) for greenhouse gas (GHG) emissions, currently covering aviation, emission-intensive sectors, and electricity (EITE). The EU Commission has offered to apply emissions tra...
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Yujie Fang, Juan Chen and Zhengxuan Xue
This paper takes 50 ETF options in the options market with high transaction complexity as the research goal. The Random Forest (RF) model, the Long Short-Term Memory network (LSTM) model, and the Support Vector Regression (SVR) model are used to predict ...
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Xianrong Zheng, Elizabeth Gildea, Sheng Chai, Tongxiao Zhang and Shuxi Wang
Data science has become increasingly popular due to emerging technologies, including generative AI, big data, deep learning, etc. It can provide insights from data that are hard to determine from a human perspective. Data science in finance helps to prov...
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Minh Tran, Duc Pham-Hi and Marc Bui
In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes the development of a learning environment, state representation, reward fun...
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Haici Zhang
Lehman Brothers? failure in 2008 demonstrated the importance of understanding interconnectedness in interbank networks. The interbank market plays a significant role in facilitating market liquidity and providing short-term funding for each other to smoo...
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Jean-Pierre Gueyie, Mouhamadou Saliou Diallo and Mamadou Fadel Diallo
The objective of this paper is to study the contemporaneous relationship and the dynamic relationship between the stock index return and the trading volume on the Bourse Régionale des Valeurs Mobilières using daily data from 5 January 2015 to 31 October ...
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Vladislav Zhdanov and Artem Simonov
Purpose: This article analyzes the influence of familiarity bias on respondents? decision-making process, using results from online experiments. Design/methodology/approach: A total of 255 research participants from post-Soviet countries completed 510 on...
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Alex Garivaltis
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of ?universal portfolios?. I generalize Cover?s benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight b...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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Ioannis Antoniadis,Christos Gkasis,Xanthi Partalidou
Pág. 241 - 250
In this paper, we investigate the insider trading patterns of the Greek Stock Exchange Market before and after the outburst of the Greek Financial Crisis. Using the event study methodology, we examine and compare the relationship between insider trading ...
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Tim Leung, Jiao Li and Xin Li
This paper studies an optimal trading problem that incorporates the trader?s market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by an exponentia...
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Afiruddin Tapa,Maziah Hussin
Pág. 271 - 278
The relationship between stock return and trading volume in Malaysian ACE market has been analysed in this study. There are two objectives of conducting the analysis; (1) to investigate the relationship between stock return and trading volume in Malaysia...
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