In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising the expected net present value of gains of the agent, and it is proved that ...

Global financial integration has substantially increased in recent decades. Initially, it manifested itself in growing capital flows between developed countries. In response to the removal of capital controls, financial innovation and technological progress, financial integration has subsequently spread to emerging market countries. Gross and net capital flows between developed and emerging eco...

In this article, we define new “Greeks” for financial derivatives: sensitivities to the running maximum and the running maximum drawdown of an underlying asset. Some types of portfolios, such as the net asset value of a hedge fund or performance fees are sensitive to these parameters. In order to illustrate the concept of the new “Greeks”, we derive probabilistic representations of sensitivitie...

Asset price bubbles are considered to be a major risk to fi nancial stability. In this article, we show that an asset price bubble poses a bigger risk when banks are exposed to it. This is because when the bubble bursts, banks realise losses and this may trigger bank failures and a credit crunch. In contrast, when overvalued assets are held by ordinary savers, the consequences for fi nancial st...

Accounting and financial information are usually given to investors help predicting the stock returns because data has value historical. This study aims examine how ability of performance that represent leverage consisting debt asset ratio (DAR), equity (DER), profitability including return on (ROA), (ROE), net profit margin (NPM) in returns. The research applies a final sample 163 companies no...

This study aims to determine whether Earning Asset Quality affects Profitability, Non-Performing Credit and have a simultaneous effect on Profitability. Collecting data using secondary obtained from the financial statements cross-sectional technique. The population in this is PT Bank Negara Indonesia Tbk. Branch Makassar Period 2011 – 2019 taken while sample amounted 36 pieces. results of such ...

Tujuan dari penelitian ini adalah untuk mengetahui pengaruh net profit margin dan return on assets terhadap effective tax rate pada perusahaan subsektor makanan minuman. Dalam data yang digunakan sekunder dengan sampel sebanyak 7 30 terdaftar di BEI Adapun model regresi dipergunakan dalam menggunakan Analisa Regresi Berganda. Hasil secara uji t (parsial) menunjukan bahwa berpengaruh rate. Sedan...

Autoethnography – a qualitative research method that combines characteristics of ethnography and autobiography – is gaining momentum within the creative and performing arts as a research tool, partly because of the opportunity it provides for writers, artists, performers and others to reflect critically upon their personal and professional creative experiences. In recent years, ‘analytic autoet...