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This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...
Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
This paper calls for a new breed of lightweight systems - dynamic data management systems (DDMS). In a nutshell, a DDMS manages large dynamic data structures with agile, frequently fresh views, and provides a facility for monitoring these views and trigger ...