Related papers: Performance v. Turnover: A Story by 4,000 Alphas
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice…
In this paper we perform a statistical analysis over the returns and relative prices of the CAC $40$ and the S\&P $500$ with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do…
The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of F\"ollmer's pathwise It\^o calculus. We establish the existence of the universal…
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…
Let $\mathcal X=\{\mathcal X_t:\, t\geq0,\, \mathcal X_0=0\}$ be a mean zero $\beta$-stable random walk on $\mathbb{Z}$ with inhomogeneous jump rates $\{\tau_i^{-1}: i\in\mathbb{Z}\}$, with $\beta\in(1,2]$ and $\{\tau_i: i\in\mathbb{Z}\}$ a…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…