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Agile Views in a Dynamic Data Management System

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Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

DBToaster: higher-order delta processing for dynamic, frequently fresh views

Christoph Koch, Amir Shaikhha, Milos Nikolic, Daniel Lupei, Yanif Ahmad

Applications ranging from algorithmic trading to scientific data analysis require real-time analytics based on views over databases receiving thousands of updates each second. Such views have to be kept fresh at millisecond latencies. At the same time, the ...

Springer Verlag2014

An Algorithm for Testing the Efficient Market Hypothesis

Ioana Andreea Boboc

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

DBToaster: Higher-order Delta Processing for Dynamic, Frequently Fresh Views

Christoph Koch, Amir Shaikhha, Milos Nikolic, Daniel Lupei, Andres Nötzli, Yanif Ahmad

Applications ranging from algorithmic trading to scientific data analysis require realtime analytics based on views over databases receiving thousands of updates each second. Such views have to be kept fresh at millisecond latencies. At the same time, thes ...

2013

Content Management in Mobile Wireless Networks

Francisco De Meneses Neves Ramos Dos Santos

Approximately one billion users have access to mobile broadband, through which they intend to obtain the same data they can reach using a wired connection. Because of the cost of transmitting data over a mobile-broadband connection and given that 3G networ ...

2012

DBToaster: Higher-order Delta Processing for Dynamic, Frequently Fresh Views

Christoph Koch, Milos Nikolic, Yanif Ahmad

Applications ranging from algorithmic trading to scientific data analysis require realtime analytics based on views over databases that change at very high rates. Such views have to be kept fresh at low maintenance cost and latencies. At the same time, the ...

2012

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

Exploring the Nature of "Trader Intuition"

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