Applying a technical analysis trading system based on the moving average crossover rule for companies listed on the Bucharest Stock Exchange does not produce significant profits, but leads to consistent excess returns and lower risk versus the benchmark buy and hold strategy for a potential...

Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news,...

This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium, the bid and ask prices depend only on the numbers of buy and...

When liquidity is measured by the bid-ask spread or price impact, markets with more trading activity are typically more liquid than markets with less trading activity. But showing a causal connection from trading activity to spreads is difficult because these variables are endogenous. In the...

How does informed trading affect liquidity in limit order markets, where traders can choose between market orders (demanding liquidity) and limit orders (providing liquidity)? In a dynamic model, informed trading overall helps liquidity: A higher share of informed traders (i) improves liquidity...

Methods of proving the Black-Scholes formula for the price of an European call option fall into two categories: the bond replication method (the original one by Black and Scholes), and the call replication method (originated by Merton). These two methods are not equivalent. While the call...

This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium the bid and ask prices depend only on the numbers of buy and...

We discuss the application of a new test for nonlinearity for economic time series. We apply the test for several monthly unemployment series from the developed economies. We find nonlinearities in the unemployment for most of the European economies, but not for US, UK or Japan.

The multifractal spectrum of a time series can be ascertained with a number of techniques, some based on wavelets, others based on the much newer (multifractal) detrended fluctuation analysis (MF-DFA). We test for the presence of multifractality in daily data on selected exchange rates from...