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Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1999

Persistent link: https://www.econbiz.de/10001408440

Performance functions and reinforcement learning for trading systems and portfolios

Moody, John (contributor) - In: Journal of forecasting 17 (1998) 5/6, pp. 441-470

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Profitability of short-term contrarian strategies : implications for market efficiency

Conrad, Jennifer S. - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 379-386

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Forward discount bias : is it near-rationality in the foreign exchange market?

Gruen, David W. R. - In: The economic record : er 71 (1995) 213, pp. 157-166

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The disposition effect: who and when?

Cueva, Carlos; Iturbe-Ormaetxe, Iñigo; Ponti, Giovanni; … - 2016 - Version: January 2016

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Price and earnings momentum, transaction costs, and an innovative practitioner technique

Tajaddini, Reza; Crack, Timothy Falcon; Roberts, Helen - In: International review of finance 15 (2015) 4, pp. 555-597

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The impact of transaction costs in portfolio optimization : a comparative analysis between the cost of trading in Peru and the United States

Chavalle, Luc; Chávez-Bedoya, Luis - In: Journal of economics, finance & administrative science 24 (2019) 48, pp. 288-311

Purpose This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach The paper opted for...

Persistent link: https://www.econbiz.de/10012128936

Invisible costs and profitability

Lou, Xiaoxia; Sadka, Ronnie - In: Portfolio construction, measurement, and efficiency : …, (pp. 135-143). 2017

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Optimal option portfolio strategies : deepening the puzzle of index option mispricing

Faias, José Afonso; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 1, pp. 277-303

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Can traders beat the market? : evidence from insider trades

Lei, Qin; Rajan, Murli; Wang, Xuewu - In: China finance review international 4 (2014) 3, pp. 243-270

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