منابع مشابه
Anonymous Markets and Monetary Trading∗
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The objective of this paper is describe a new paradigm for the trading of equities. In our formulation, the control corresponds to a feedback law which modulates the amount invested I(t) in stock over time. The controller also includes a saturation limit Imax corresponding to a limit on the value at risk. The admissible stock price evolution p(t) over time is modelled as a family P of uncertain...
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In this paper, we examine how to the performance of high-frequency pairs trading strategies are impacted by the allocation within the pair, opening and closing thresholds, restriction to daily trading, and transaction costs. We generate portfolios by applying high-frequency pairs trading strategies to the pair consisting of Exxon Mobil Corporation (XOM) and Chevron Corporation (CVX) during the ...
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The effective cost of trading is usually estimated from transaction-level data. This study proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the daily Gibbs estimate achieves a correlation of 0.965 with the transactionlevel estimate. When the Gibbs estimates are incorporated into asset pricing specifications over a long historical sample (1926 to 2006), th...
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This study examines various measures of trading costs estimated from highfrequency data, the extent to which these measures can be estimated from daily data, and finally the relation between the daily-based proxies and stock returns (where trading cost is viewed as a characteristic). The high-frequency estimates of trading cost achieve partial agreement. Posted spreads and effective costs are h...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2656161