In this paper I hypothesize that the well documented positive mean excess stock return earned by parent firms when they announce they are carving out stock in a subsidiary is due to noise traders who optimistically misinterpret a carve-out’s true value-irrelevance, rather than to the impounding of new value-enhancing information by sophisticated investors. I offer three pieces of evidence that ...

Computational finance is one of the fields where machine learning and data mining have found in recent years a large application. Neverthless, there are still many open issues regarding the predictability of the stock market, and the possibility to build an automatic intelligent trader able to make forecasts on stock prices, and to develop a profitable trading strategy. In this paper, we propos...

In this paper we propose a model of decentralized federation of traders. Each component trader manages its own set of federated traders. A federation contract is used to document the agreement between two federating traders. The importer's portion of the federation contract forms an import contract that states the service types available in the remote trader. The exporter's portion of the feder...

In an open distributed system, it is desirable to have dynamic selection of required services. Trading is a common ODP function that enables client (service consumers) to choose appropriate servers (service providers) at run time so that clients can be configured into an ODP system without prior knowledge of the server objects. An ODP-trader is an object that provides such a trading function. U...

This research provides a post-decimals analysis of market order execution quality in U.S. equity markets, using order-based data reported in accordance with SEC Rule 11Ac1-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent ...

The VAR-GARCH(1,1) price discovery model developed and tested with ASX data represents an extension of both the Chordia, Roll and Subrahmanyam (2005) and Hasbrouck (1991) models. The VAR-GARCH(1,1) price discovery model functions in accordance with the explanation for price discovery described by Chordia, Roll and Subrahmanyam (2005). This model allows the causal relationships between order flo...