Table of contents
Understanding the Flash Crash – state of the art
Gianluca Piero Maria VirgilioThe purpose of this paper is to provide the current state of knowledge about the Flash Crash. It has been one of the remarkable events of the decade and its causes are still a…
Asset management with TEV and VaR constraints: the constrained efficient frontiers
Giulio Palomba, Luca RiccettiThis paper aims to perform an analytical analysis on portfolio allocation when a tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio…
The monitoring role of institutional investors: Geographical proximity and investment horizon
Xiaoqiong Wang, Siqi WeiThis paper aims to examine the monitoring role of institutional investors in corporate decision-making by classifying financial institutions based on geographical proximity and…
High-frequency trading and the weekly natural gas storage report
Matt Brigida, William R. PrattThis paper aims to investigate the quickness, and test the accuracy, of liquidity taking high-frequency traders (HFT). This gives us important insights into a class of market…
NFL betting market efficiency, divisional rivals, and profitable strategies
Corey A. ShankThis paper aims to examine market inefficiencies in the National Football League (NFL) betting market from the 2003 season to the 2016 season.
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
Tim Leung, Hung NguyenThis paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading…
A nonparametric Bayesian approach to term structure fitting
Victor LapshinThis paper aims to illustrate how a Bayesian approach to yield fitting can be implemented in a non-parametric framework with automatic smoothing inferred from the data. It also…
European emission allowance and equity markets: evidence from further trading phases
Murad Harasheh, Andrea AmaduzziThis paper aims to investigate the value relevance of the European Emission Allowance (EUA) return and volatility on the equity value of the top listed European Power Generation…
The evolution of herd behavior: Will herding disappear over time?
Kalugala Vidanalage Aruna ShanthaThe purpose of this paper is to examine the evolutionary nature of herding phenomenon in the context of a frontier stock market, the Colombo Stock Exchange of Sri Lanka.
Mutual fund alpha and daily market-timing ability
Qiang BuThis study aims to examine whether mutual funds can earn daily alpha and time daily market return.
Can energy commodities affect energy blockchain-based cryptos?
Ikhlaas GurribThe purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict…
ISSN:
1086-7376Online date, start – end:
1977Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Prof Niklas Wagner