This paper investigates the performance of carry trade strategies for currencies with non-deliverable forward (NDF) contracts. We find that carry trades for currencies with NDF contracts are associated with higher Sharpe ratios compared to carry trades for currencies with deliverable forward...

While existing studies find mixed results on the effect of hidden liquidity, this study exploits the Tick Size Pilot (“the Pilot”) as a quasi-natural experiment and uses instrumental-variable regression analyses to examine how hidden liquidity, both on and off-exchange, affect the...

We introduce a novel quantitative methodology to detect real estate bubbles and forecast their critical end time, which we apply to the housing markets of China's major cities. Building on the Log-Periodic Power Law Singular (LPPLS) model of self-reinforcing feedback loops, we use the quantile...