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Publications associées (27)

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin-Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Efficient Incremental Data Analysis

Milos Nikolic

Many data-intensive applications require real-time analytics over streaming data. In a growing number of domains -- sensor network monitoring, social web applications, clickstream analysis, high-frequency algorithmic trading, and fraud detections to name a ...

EPFL2016

Detecting abnormal trading activities in option markets

Loriano Mancini

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, an ...

Elsevier2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

DBToaster: higher-order delta processing for dynamic, frequently fresh views

Christoph Koch, Amir Shaikhha, Milos Nikolic, Daniel Lupei

Applications ranging from algorithmic trading to scientific data analysis require real-time analytics based on views over databases receiving thousands of updates each second. Such views have to be kept fresh at millisecond latencies. At the same time, the ...

Springer Verlag2014

An Algorithm for Testing the Efficient Market Hypothesis

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

Do Prices Reveal the Presence of Informed Trading ?

Pierre Collin-Dufresne

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The ev ...

2012

Publications associées (27)