We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with...

It is known that the Black-Scholes model can be well approximated by lattice models such as the Cox-Ross-Rubinstein (CRR) model in Cox, Ross, and Rubinstein (1979). The orders of convergence of several lattice models have been shown in Leisen and Reimer (1996). In this study, we consider a...

Previous studies have focused on which stocks are winners or losers but have paid little attention to the formation process of past returns. This paper develops a model showing that past returns and the formation process of past returns have a joint effect on future expected returns. The...

We combine and extend two existing lines of research in game theoretic studies of fisheries. The first line of research is the inclusion of the aspect of predation and the consideration of multi-species fisheries within classical game theoretic models of fisheries and goes back to Quirk and...

We consider the classical investment timing problem in a framework where the instantaneous volatility of the project value is itself given by a stochastic process, hence lifting the old question about the investment-uncertainty relationship to a new level. Motivated by the classical cases of...

It has become increasingly common that the politically and economically weak citizens use protest as a channel through which they express their dissatisfaction with the policies engendered by the elites. This paper aims to provide a better understanding on this issue by using differential games...

In this paper we study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full...