Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we compare the performance of three popular Stochastic Volatility (SV) models (Heston, 1993; Bates, 1996; Heston and Nandi, 2000), in addition to the traditional Black-Scholes model and a proprietary trading desk model....

We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news....

This paper sheds new light on the liquidity dynamics of the credit default swaps (CDS) market in Europe around the Subprime crisis. Based on an original dataset of 94 European companies from 2005 to 2009, we use a panel regression analysis to study the relationship between CDS premiums and...

<title>Abstract</title> We develop market timing strategies and trading systems to test the intra-day predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Around a third of the candlestick rules outperform the buy-and-hold strategy at the conservative...