Purpose: This paper investigates the strategic behavior of algorithmic trading firms from an innovation economics perspective. We seek to uncover the sources of competitive advantage these firms develop to make markets inefficient for them and enable their survival.Methodology: First, we review...

This article develops a methodology to incorporate the return to derivative positions into the recently developed absolute return attribution framework of Cooper and Li. This innovation greatly broadens the scope of use for this attribution model. The positions are integrated into the...

This article develops an intuitive absolute return based attribution framework for the volatility and information ratio of a trading strategy. The results are valid for strategies at all trading frequencies given the appropriate selection of measurement and decision frequencies. The paper also...

This paper brings together Black-Litterman optimization, exotic betas, and varying starting portfolios into one complete, symbiotic framework. The approach is unique because these techniques are often viewed as alternatives, and not as complements to each other. The paper is comprised of two...

Housing prices in Hong Kong have been rising for more than a decade and recent hikes are mainly driven by Mainland developers in the primary market. Local developers and residents seem to be relatively conservative as the prospects for the Hong Kong housing market have been dim due to low...