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Trading strategies and the frequency of time-series

Isaenko, Sergei - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 267-283

Persistent link: https://www.econbiz.de/10014432056

Equilibrium theory of stock market crashes

Isaenko, Sergei - In: Journal of economic dynamics & control 60 (2015), pp. 73-94

Persistent link: https://www.econbiz.de/10011575075

Slow-moving capital and stock returns

Isaenko, Sergei - In: Quantitative finance 20 (2020) 6, pp. 969-984

Persistent link: https://www.econbiz.de/10012262653

Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations

Isaenko, Sergei - In: Quantitative finance 18 (2018) 12, pp. 2051-2065

Persistent link: https://www.econbiz.de/10012262965

Transaction costs, frequent trading, and stock prices

Isaenko, Sergei - In: Journal of financial markets 64 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014466075

Liquidity premium in the presence of stock market crises and background risk

Isaenko, Sergey; Zhong, Rui - In: Quantitative Finance 15 (2015) 1, pp. 79-90

We analyse a portfolio optimization problem for a long-term investor in the presence of stock market crises. A crisis includes a crash of the stock market price, a sharp increase of its volatility and dramatic deterioration of liquidity. We model the stock market illiquidity by means of convex...

Persistent link: https://www.econbiz.de/10011104814