This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. It is regarded as an extension of Dybvig (1988) to continuous-time framework and dynamic portfolio optimizat...

This study uncovers trading styles in the transaction records of US Treasury bond futures. We use statistical clustering techniques to group together trades that are similar. Trade profit was held back in the clustering process. Results show that clusters differ significantly in their profit and risk characteristics. Some clusters uncover "technical" trading rules. Using the information about t...

• This document describes how I used mathematical methods for the estimation of implied volatility curve, a crucial engineering problem raised in our High Frequency Trading (HFT) strategy. I apologize for using many of jargons and unformatted figures. This is because the materials were not prepared for an academic purpose, but just for internal usage. • All data used in this document are about ...

In financial markets, abnormal trading behaviors pose a serious challenge to market surveillance and risk management. What is worse, there is an increasing emergence of abnormal trading events that some experienced traders constitute a collusive clique and collaborate to manipulate some instruments, thus mislead other investors by applying similar trading behaviors for maximizing their personal...

In this paper we describe a period of strategic crisis (1997–2000) at the London International Financial Futures and Options Exchange (LIFFE) precipitated by the loss of a key benchmark product from their manual trading environment to an electronic trading platform (DTB/Eurex). Using Bower and Christensen’s (1995a) notion of disruptive technology, our analysis starts by examining the response o...

T paper studies the role of the yield-dependent trading cost structure influencing the optimal choice of the selling price and production quantity for a firm that operates under supply uncertainty in the agricultural industry. The firm initially leases farm space, but its realized amount of fruit supply fluctuates because of weather conditions, diseases, etc. At the end of the growing season, t...