Price adjustment delays occur between in-the-money convertible preferred stock prices and common stock prices. Convertible preferred prices systematically deviate from the prices predicted from their conversion relations with common stocks. The price predictability stems from price changes in...

The accuracy of the U.S. Bureau of Economic Analysis (BEA) monthly estimates of the nation’s quarterly nominal and real gross domestic product (GDP) growth rates are examined using a novel analytical framework based on the flexible two-piece generalized distribution. An analysis of the...

This paper uses multivariate Hawkes processes to model the transactions behavior of the U.S. stock market as proxied by the 30 Dow Jones Industrial Average stocks before, during and after the May 6, 2010 flash crash, which lasted 36 minutes. The basis for our analysis is the excitation matrix,...