Relative intra-day cumulative volume is intra-day cumulative volume divided by final total volume. If intra-day cumulative volume is modeled as a Cox (doubly stochastic Poisson) point process, then using initial enlargement of filtration with the filtration of the Cox process enlarged by...

This paper introduces a Generalised Additive Model (GAM) to link high frequency intraday (5-minute) aggregate electricity demand in Australia to the time of the day and intra-day temperature. We show a superior model fit when using Daylight Saving Time (DST), or clock time, instead of the...

VWAP is the Volume Weighted Average Price of traded stock over a defined period. It is a metric of trade execution quality used by institutional traders to minimize the execution cost of large trades. A riskless VWAP trading strategy is not possible without knowledge of final market volume. We...

True spreads are not directly observable and represent the continuous demand and supply schedule for stock liquidity by heterogeneously informed market participants on limit order markets. Observed spreads are true spreads quantized by minimum market tick size. A maximum likelihood regression...

The price of a financial claim at a fixed time can represented by a random variable H.In an incomplete market H can be approximated by a trading strategy known as minimum variance hedging. Minimum variance hedging can be extended to a mean-variance optimal strategy where a riskier trading...

Ané and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a ‘stylized...

Ane and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a 'stylized...

This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk-adjusted excess stock returns and excess profits on sales (monopoly rents)....

If intra-day volume is modelled as a Cox point process, then relative intra-day cumulative volume (intra-day cumulative volume divided by final total volume) is shown to be a novel generalization of a binomial point process; the doubly stochastic binomial point process. Re-scaling the intra-day...