Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

We study the firm's incentives and disclosure practice of going public via Special Purpose Acquisition Company (SPAC). We argue that going public via deSPAC merger is regulatory arbitrage, through which firms circumvent the SEC review process in conventional IPO registration and provide less...

The currency options markets, both the dollar denominated options markets and the cross-currency options markets, carry important economic information about the evolution of exchange rates and the pricing of risk. However, it is challenging to integrate all this information together. This paper...

Motivated by the cross-sectional and temporal fluctuations in their trading activity, digital assets provide a fruitful environment to investigate the impact of trading activity on expected returns. Portfolio-level analyses and cryptocurrency-level cross- sectional regressions demonstrate a...

We present a novel methodology to calculate the jump-induced tail risk premium for individual stocks and examine its effect on the following-month’s returns. The existence of a premium for bearing negative jump-induced tail risk is significantly associated with negative one-month future...

Fail-to-deliver (FTD) short sales occur when shares sold on trade day t are not delivered on settlement day t+3. FTDs can occur for a variety of reasons but generally indicate that short seller demand for shares exceeds the supply of shares available for loan. This study investigates whether the...

A Stochastic Arbitrage Opportunity is defined as a zero-cost investment portfolio that enhances every feasible benchmark portfolio for all admissible utility functions. The present study provides a formal theory of consistent estimation of the set of arbitrage opportunities and an Empirical...

The study investigates the impact of arbitrage opportunities on feedback trading using intraday 5-minute Bitcoin futures and spot prices. The study uses quantile regressions to capture different market conditions and the conditional distribution of returns and finds episodic cases of positive...

The Ethereum blockchain is a decentralized computing platform providing peer-to-peer financial services. Decentralized exchanges, which run on the blockchain, enable matching of buyers and sellers without any central third party, and are distinct from the centralized “off-chain”...