Concept

Trading strategy

Related publications (36)

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This paper deals with an application of the robust equilibrium concept in game theory to the assessment of the possible international agreement on climate that could be achieved in the conference of the parties negotiations organized by the UNFCCC. It is s ...

Springer Verlag2013

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Demystifying Rational Financial Decision-Making

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outsi ...

2011

Experimental evidence has consistently confirmed the ability of uninformed traders, even novices, to infer information from the trading process. After contrasting brain activation in subjects watching markets with and without insiders, we hypothesize that ...

2010

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This paper presents, for the first time, experimental evidence on resonant-body Fin-FETs (RB-FinFET) with two independent lateral gates, operated from weak to strong inversion, which enables unique trade-off between power consumption and gain. Resonance fr ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2010

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

Does information drive trading in option strategies?

Rüdiger Fahlenbrach

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

An Extension of ETF Arbitrage to Sector Trading Using ANN

Utkarsh Upadhyay, Ramnik Arora

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009

How to evaluate the robustness of airlines schedules

Niklaus Eggenberg

Airlines schedules are built such as to maximize expected profit. Such schedules turn out to be more sensitive to delays and are hence unstable. The trend has thus evolved towards robust schedules, trading off between sensitivity with respect to disruption ...

2009