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Non-linear dynamics in futures prices : evidence from the coffee, sugar and cocoa exchange

Adrangi, Bahram; Chatrath, Arjun - In: Applied financial economics 13 (2003) 4, pp. 245-256

Persistent link: https://www.econbiz.de/10001748447

Chatrath, Arjun; Adrangi, Bahram; Dhanda, Kanwalroop Kathy - In: Agricultural economics : the journal of the … 27 (2002) 2, pp. 123-137

Persistent link: https://www.econbiz.de/10001688339

Nonlinear dependence in palladium and platinum futures : some tests for chaos

Adrangi, Bahram; Chatrath, Arjun - In: Finance India : the quarterly journal of Indian … 15 (2001) 3, pp. 865-883

Persistent link: https://www.econbiz.de/10001656339

Price discovery in strategically-linked markets : the case of the gold-silver spread

Adrangi, Bahram; Chatrath, Arjun; Christie-David, Rohan - In: Applied financial economics 10 (2000) 3, pp. 227-234

Persistent link: https://www.econbiz.de/10001526274

Risk minimization for a filtering micromovement model of asset price

Lee, Kiseop; Zeng, Yong - In: Applied mathematical finance 17 (2010) 1/2, pp. 177-199

Persistent link: https://www.econbiz.de/10003975381

Discrete time hedging with liquidity risk

Ku, Hyejin; Lee, Kiseop; Zhu, Huaiping - In: Finance research letters 9 (2012) 3, pp. 135-143

Persistent link: https://www.econbiz.de/10009628115

Intervention analysis based on exponential smoothing methods : applications to 9/11 and COVID-19 effects

Seong, Byeongchan; Lee, Kiseop - In: Economic modelling 98 (2021), pp. 290-301

Persistent link: https://www.econbiz.de/10012793898

Optimal execution with liquidity risk in a diffusive order book market

Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10014444510

A diversification framework for multiple pairs trading strategies

Lee, Kiseop; Leung, Tim; Ning, Boming - In: Risks : open access journal 11 (2023) 5, pp. 1-18

We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the...

Persistent link: https://www.econbiz.de/10014333526

On total price uncertainty and the behaviour of a competitive firm

Adrangi, Bahram; Raffiee, Kambiz - In: The American economist : journal of Omnicron Delta … 43 (1999) 2, pp. 59-65

Persistent link: https://www.econbiz.de/10001459472