On November 14th, 2014, SUERF – The European Money and Finance Forum – and CNMV, Comisión Nacional del Mercado de Valores – the Spanish Authority for supervision of securities markets – jointly organized a conference in Madrid: Challenges in Securities Markets Regulation: Investor...

In this paper, the author considers sovereign debt in the form of one-period government bonds with default risk, which can be purchased by and traded among domestic and foreign investors. She shows that the "good equilibrium" is the only stable equilibrium under some quite general assumptions,...

We analyze securities trading by banks and the associated spillovers to the supply of credit.Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

Introduction: the ethnography of noise in electronic finance -- Noise in financial markets -- How does one become a trader? -- Taking on the market: competitions and spectacle in trading -- Rituals and illusions of the trading screen -- Talk in trading, talk for trading, talk of trading: group...

Machine generated contents note: Preface ix CHAPTER 1 The Basics of Algorithmic Trading 1 CHAPTER 2 Factor Models 27 CHAPTER 3 Time-Series Analysis 59 CHAPTER 4 Artificial Intelligence Techniques 83 CHAPTER 5 Options Strategies 119 CHAPTER 6 Intraday Trading and Market Microstructure 159 CHAPTER...

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...