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Uncapacitated lot-sizing with stock upper bounds, stock fixed costs, stock overloads and backlogging : a tight formulation

Wolsey, Laurence A. - 2015

Persistent link: https://www.econbiz.de/10011580705

IPO underpricing : What about the shipping sector?

Klova, Valeriia - In: Journal of multinational financial management 42/43 (2017), pp. 95-115

Persistent link: https://www.econbiz.de/10011927906

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model … shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate …, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments …

Persistent link: https://www.econbiz.de/10012520916

Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?

Swan, Peter L. - 2016

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

Persistent link: https://www.econbiz.de/10012998134

Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416

Optimal Placement in a Limit Order Book

Guo, Xin - 2016

This paper proposes and studies an optimal placement problem in a limit order book. To gain some analytical insights, a simple correlated random walk model with mean-reversion is proposed for the best ask price. Optimal placement strategies for both single-period and multi-period cases are...

Persistent link: https://www.econbiz.de/10013007240

The Dynamics of Belief Formation and Price Momentum

Sarath, Bharat - 2017

In classical perfect and complete markets prices form a Martingale and stock returns (or equivalently, successive price changes) are serially uncorrelated. However, there is evidence that stock returns are serially correlated in both the short and the long-term; this has been construed as a...

Persistent link: https://www.econbiz.de/10012963991

The Dynamics of Belief Formation and Price Momentum

Dontoh, Alex - 2017

In classical perfect and complete markets, prices form a Martingale and stock returns (or equivalently, successive price changes) are serially uncorrelated. However, there is considerable evidence in the finance literature showing that stock returns are serially correlated both in the short and...

Persistent link: https://www.econbiz.de/10012963995

Trading Strategies for Stock Pairs Regarding to the Cross-Impact Cost

Wang, Shanshan - 2017

We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the ratio of their trading periods. By minimizing the...

Persistent link: https://www.econbiz.de/10012965690

Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks

Jacquier, Antoine (Jack) - 2017

-Markov decision process, and compute the semi-Markov kernel using Laplace method in the language of queueing theory. The optimal …

Persistent link: https://www.econbiz.de/10012965973