This paper shows that the widely documented buy–sell asymmetry in implicit institutional
trading cost is mainly driven by mechanical characteristics of a specific class of measures …

Purpose The mandatory adoption/convergence of IFRS has increased the information
quality of reported earnings in equity markets across the globe. The purpose of the study is …

This thesis explores predictability in the market and then designs a decision support
framework that can be used by traders to provide suggested indications of future stock price …

We build a model under the framework of discrete optimization to explain how high
frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We …

Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we
compare the performance of three popular Stochastic Volatility (SV) models (Heston,; Bates,; …

This study examines the effects of large trades executed by outside customer on the prices
of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average …

This paper employs a unique data set to investigate the total price, liquidity and information
effects of large institutional trades versus individual trades on three futures contracts traded …

We introduce a new conceptually superior realised volatility estimator, volume weighted
volatility (VWV), which effectively measures demand-based volatility, rather than only …

The ability to accurately estimate systematic risk (or beta) when referenceday risk is
considered, is an ineluctable requirement for all applications of the capital asset pricing …

Purpose–The purpose of this paper is to examine the changes in the price impact of trades
in the major Korean stock market following the introduction of disclosure to all traders of the …