We use a novel machine learning approach to tackle the problem of limit order management. Applying our framework to data, we show that the most important variable for a trader to consider is the price level of their order, followed by the queue sizes of the order book, volatility and finally...

We document a form of marking the close committed without transacting. Instead, manipulators utilize periods of order-book illiquidity to inflate the benchmark price. We find instances of closing price manipulation are associated with increases in end of day returns and, contrary to findings in...

Front Cover -- The Analytics of Risk Model Validation -- Copyright Page -- Table of Contents -- About the editors -- About the contributors -- Preface -- Chapter 1 Determinants of small business default -- Abstract -- 1. Introduction -- 2. Data, methodology and summary statistics -- 3. Empirical...

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk...