Search Results - subject:"Dynamic Trading"

An examination of linear factor models in U.K. stock returns in the presence of dynamic trading

Fletcher, Jonathan - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 1121-1147

Persistent link: https://www.econbiz.de/10015178476

Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading

Takayama, Shino - 2020

Persistent link: https://www.econbiz.de/10012317719

Returns to Active Management: The Case of Hedge Funds

Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

Persistent link: https://www.econbiz.de/10010892321

Returns to active management : the case of hedge funds

Kazemi, Maziar; Islamaj, Ergys - 2014

Persistent link: https://www.econbiz.de/10010404131

US equity mean-reversion examined

Liew, Jim; Roberts, Ryan - In: Risks 1 (2013) 3, pp. 162-175

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across … uncombined AL strategy over the period from January 2, 2001 to May 27, 2010. These new indices, built to capture dynamic trading …

Persistent link: https://www.econbiz.de/10010421267

U.S. Equity Mean-Reversion Examined

Liew, Jim; Roberts, Ryan - In: Risks 1 (2013) 3, pp. 162-175

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across … from January 2, 2001 to May 27, 2010. These new indices, built to capture dynamic trading strategies, will definitely be an …

Persistent link: https://www.econbiz.de/10011030548

Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare

Christensen, Peter O.; Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012

facilitates improved dynamic trading opportunities based on heterogeneously updated posterior beliefs in order to take advantage …

Persistent link: https://www.econbiz.de/10010851221

Heterogeneous Beliefs, Public Information, and Option Markets

Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012

interest rate. The public infor- mation system facilitates improved dynamic trading opportunities in option markets based on …

Persistent link: https://www.econbiz.de/10010851283

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008

We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...

Persistent link: https://www.econbiz.de/10005623263

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10005835745