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Quantitative investment trading is becoming more and more popular due to the gradual integration of computer technology, mathematics, and statistics. It is of great practical significance to develop a multi-species portfolio investment model that takes into account various transaction costs and conforms to live trading. In this paper, we use the free software R to program the Bollinger Bands trading strategy and test it on the historical data of the Chinese futures market. Through in-sample optimization, out-of-sample testing and correlation test, the varieties with good back testing effect are selected for risky investment portfolio to provide investors involved in the Chinese futures market with specific trading strategies that can be used for reference, and at the same time to provide investors with a way of thinking to develop quantitative investment portfolio models. [ABSTRACT FROM AUTHOR]

We show how a three-strike option portfolio can be used to trade the difference between the instantaneous variance rate and the implied variance rate, the difference between the instantaneous covariation rate and the implied slope, or the difference between the instantaneous variance rate of volatility and the implied convexity. We label each one of these strategies as vol, skew, and smile trades. Our results yield precise financial interpretations of particular measures of the level, slope, and curvature of a BMS implied variance curve. We provide empirical evidence that the average returns of the vol and smile (skew) trades are negative (positive) and that the returns of the skew and smile trades cannot be explained by the CAPM. [ABSTRACT FROM AUTHOR]

Starting from December 20, 2021, everyone who entered in Romania shoud filled in the digital form for entry in Romania (namely the Digital Passenger Locator Form - PLF), according to Emergency Ordinance no. 129/2021. According to Emergency Ordinance no.22/2022 on the abrogation of the implementation of the digital entry form in Romania, since 12 March 2022, the Passenger Locator Form (PLF) was not not required anymore before arrival in Romania. Last but not least, having as research object, the comparative analysis of the particularities that characterize the Romanian contraventional law, we propose to fiind out some jurisprudential proposal for which the contraventional spectrum must be held to adapt to the accuracy imposed by decriminalization principle. [ABSTRACT FROM AUTHOR]

Law no. 265/2022 regarding the trade register and for amending and supplementing other normative acts with incidence on the registration within the trade register has entered into force on November 26, 2022. Through the new normative act, simplification and digitization in the field of registrations in the trade register was pursued, in order to streamline and accelerate procedures, constituting a transposition of Directives (EU) no. 1132/2017 and no. 1151/2019. This article proposes a brief analysis of the elements of novelty brought by the new trade register law. Greater attention will be given to the regulation of the status of the registrar of the trade register, given the fact that there have been failed attempts in the past to do so. [ABSTRACT FROM AUTHOR]

The article presents the discussion on journey of a Dovetail artifact, originally found on a farm in Illinois. Topics include passed through several collectors' hands over decades, eventually returning close to its place of discovery; and artifact's provenance and its significance to local collectors, the personal connections forged through artifact collecting, and the role of artifact shows in trading and showcasing collections.

The article presents the discussion on capitalism and liberal democracy being a holy combination. Topics include Asian histories demonstrating ancient territorial grievances, border disputes, and new security threats as well as interconnected Asian colonial histories and interwoven major ethnic strands; and recent diplomatic systems of ties, trading relationships, and political associations.

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This paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads. [ABSTRACT FROM AUTHOR]

Complex legal issues arise when listed company personnel enter margin loans over company securities. Does insider trading occur on a forced sale of company securities if the borrower possesses inside information? If a material number of company securities may be subject to a forced sale, must the listed company disclose it to the market? Are company personnel obliged to inform a listed company they have a margin loan over company securities? There is significant variation in the manner in which listed companies address these issues, which include applying prohibitions, requiring approvals, and obliging notifications. This article undertakes a detailed study of the securities trading polices of the ASX 100 to analyse the ways in which listed companies treat margin loans over company securities. This article proposes law reform and the development of 'best practice' recommendations for the treatment of margin loans in the securities trading policies of listed companies. [ABSTRACT FROM AUTHOR]

The paper focuses on enterprising agents in policy formulation and design by looking at their capacity of dealing with different levels of uncertainty. In climate policy specifically, different degrees and types of uncertainties pose a challenge to policymakers. Policy entrepreneurs and the combination of their analytical, operational and political competences are a relevant component in reducing ambiguity in policy design and translating broad policy goals to operational programmes and specific policy instruments. Using the case of the European Emission Trading Scheme, we suggest that the success of policy entrepreneurs in catalysing policy change is determined by their capacity to work against multiple kinds of uncertainty. This 'uncertainty mitigating' capacity on the part of policy entrepreneurs rests significantly on balancing managerial expertise and political acumen. We conclude that entrepreneurial capacity goes beyond current definitions in the literature, involving the balance among analytical, operational and political competences to navigate a politicized policy context. [ABSTRACT FROM AUTHOR]

Abstract Climate change has become one of the major challenges that humans have faced in recent years. As an economic measure to cope with climate change, carbon finance has drawn considerable attention in recent years, since it can promote low-cost emission reductions. As the largest developing country with rich carbon emission resources, China plays an important role in establishing a sound carbon trading market. This study presents a systematic review of the research and development progress and challenges of China's carbon finance and carbon market. Based on the brief introduction of some related concepts and background, this study mainly discusses the role of China's financial institutions in carbon finance, and the development of China's carbon market. Particularly, it focuses on the recent practices and the carbon trading pilots established in China. In addition, the major challenges for China to establish a national unified carbon market were pointed out, in terms of awareness, relevant professionals, sound legal systems and carbon financial product innovation. Finally, we put forward the policy implications for the future development of carbon finance and carbon market, which provides important decision support for establishing a unified global carbon market. [ABSTRACT FROM AUTHOR]

The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price-adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios. [ABSTRACT FROM AUTHOR]

A Large body of random walk literature has developed casting doubt upon the major analytical techniques used by stock market practitioners. The narrow version of the R.W. hypothesis states that changes in stock prices are independent, and rigorous testing has overwhelmingly supported the contention while simultaneously suggesting technical analysis is worthless. [ABSTRACT FROM AUTHOR]

We conduct a pseudo real-time analysis of the existence and extent of speculative bubbles in 11+ US sectors over the period January 1973-May 2015. Based on computed bubble signals, a trading strategy is constructed which switches funds between the market index and those industry sectors that exhibit bubble dynamics. Our strategy generates the highest after-transaction-cost return and Sharpe ratio, and first-order stochastically dominates a range of alternative strategies we consider, including the buy-and-hold investment in the market index. Subsample analysis and specification checks confirm the robustness of our findings. [ABSTRACT FROM AUTHOR]

This article examines the mechanisms through which street traders claim and maintain access to urban space in the aftermath of eviction – a phenomenon that affects poor urban workers across the global South. Whilst much is known about the immediate impacts of evictions, there has been limited consideration of the post-eviction, longer-term responses of traders. Drawing on primary research in Lagos, Nigeria, this article analyses street trader responses to eviction, with a focus on their strategies for claiming access to space. The study highlights the importance of both individual and collective actions in re-establishing a foothold in public space. However, maintaining access to public space proved to be more problematic, with collective action severely diminished through the co-option of trader associations by urban authorities. This new knowledge has the potential to strengthen the resilience of traders to future evictions and their potentially devastating impacts. [ABSTRACT FROM AUTHOR]

This paper explores the statistical and economical significance of intra-day and -week patterns in bid-ask spreads. We investigate a large panel of high frequency data for stocks traded on the XETRA trading platform and observe significant patterns in spreads. In addition to showing the robustness of our findings over time, as well as in cross-section, we are also able to demonstrate the patterns’ predictability in an out-of-sample approach. Our findings have clear implications, especially for uninformed but discretionary liquidity traders, which allow significant and economically relevant reductions of transaction costs. [ABSTRACT FROM AUTHOR]

This study analyzes how Renminbi (RMB) internationalization policies affect RMB exchange rates between 2010 and 2016 using the VAR (Vector Auto-Regressive) model. The results show that many RMB internationalization policies have distinct impacts on the central parity rate, onshore exchange rate, and offshore exchange rate. Policies have the greatest effect on the offshore exchange rate, followed by the onshore rate, and the central parity rate. Further, changes in the RMB exchange rates can be divided into three stages. In the first stage, as the onshore exchange rate was subjected to the daily trading band at 0.5% around the central parity rate, the onshore exchange rate converged toward the central parity rate. Then, after the central bank widened the band of the onshore exchange rate on April 16, 2012, the onshore exchange rate followed the trend of the offshore exchange rate. After the 811 exchange reform in 2015, the central parity rate dominated the pricing power again. [ABSTRACT FROM PUBLISHER]

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times. [ABSTRACT FROM AUTHOR]

Based upon a unique dataset of institutional transactions in the Taiwan index futures market, we analyze the informational role of institutional investors using the 'dynamic probability of informed trading' (DPIN). Compared to 'trading imbalances' (TIB) and the 'volume-synchronized probability of informed trading' (VPIN), we show that the DPIN of foreign institutional investors outperforms the alternative measures and provides more stable effects in measuring informed trading. Following the strategies highlighted by DPIN, foreign institutional investors also perform better than domestic institutional investors. Our results support the validity of DPIN and present that foreign institutional investors are more informed. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:865-891, 2017 [ABSTRACT FROM AUTHOR]

We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999-2014 period. There is strong evidence that speculators (commodity index traders) increase (reduce) the rate of convergence between spot and futures markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:930-938, 2017 [ABSTRACT FROM AUTHOR]

Using data from the Security and Exchange Commission's Electronic Data Gathering and Retrieval (EDGAR) server log, the authors examine the consumption of financial information in filings from 2003 to 2012. The EDGAR filings represent a first-source database for investors doing fundamental research on stock valuations. The magnitude of daily EDGAR requests for 10-Ks is surprisingly low and shows only a small difference between firms with and without publicly traded equity. The average publicly traded firm has their annual report requested only 28.4 total times by investors immediately after the 10-K filing. The lack of annual report requests suggests that investors generally are not doing fundamental research on stocks. [ABSTRACT FROM PUBLISHER]

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time-decay (high negative expected returns) as these indices. This makes them unsuitable for buy-and-hold investments, but it gives rise to a highly profitable trading strategy. Despite being negatively correlated with the S&P 500, the ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk-adjusted performance of the portfolio. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:164-183, 2017 [ABSTRACT FROM AUTHOR]

We bridge the organisational economics and industrial economics literatures on the vertical boundaries of the firm by contextualising the transaction cost approach to the make-or-buy decision within an oligopolistic market structure. Firms invest in the quality of the intermediate resulting in the endogenous determination of the price of the intermediate and marginal production cost of the final good. We highlight new strategic incentives to outsource and/or vertically integrate and show how these incentives can result in asymmetric-mode-of-operations, investment and costs. We apply our model to a number of different international trading setups. [ABSTRACT FROM AUTHOR]

This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck, Cox-Ingersoll-Ross, or exponential Ornstein-Uhlenbeck model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor's timing option to enter or exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short. [ABSTRACT FROM AUTHOR]

Smart devices such as smartphones and tablets are used extensively in public spaces for the transmission and reception of content in the form of text, photos and streaming videos. Since the bandwidth provided for wireless access is limited in public areas, it becomes an issue for users to gain access to the bandwidth they need at the right times. While an omniscient controller could assign bandwidth to each device on the basis of their needs and overall availability, imperfect information about the instantaneous state of the wifi access patterns and needs of users make for a very inefficient allocation of such bandwidth. This paper provides a solution for bandwidth allocation by creating a market among users of smart devices so that they can bid for extra bandwidth when they need it and sell it when they don't. They do so by using a virtual currency that is conserved so that each device owner maximizes his own utility. This utility function is composed of both the benefit accrued from accessing bandwidth and the loss of the currency incurred in bidding for such bandwidth. Extensive simulations show that this market-based method outperforms an omniscient model when demand is uncertain, while minimizing bandwidth consumption. [ABSTRACT FROM AUTHOR]

We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: volume and noisiness. As represented by the expected turnover rate (volume) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with the ex post and ex ante return volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between noisiness and volatility is amplified in times of market crisis. The negative noisiness-volatility relation is also supported by our analysis on the effects of trade size on price volatility. The overall results demonstrate that volatility increases as noise trading declines. [ABSTRACT FROM AUTHOR]

I model the effect of disclosure on the tradeoff between information risk, liquidity risk, and price risk for a well-informed, risk-averse insider. Revealing some information before trading decreases the variability of the insider's information advantage and thus reduces his information risk. Disclosure also lowers adverse selection costs for market makers, which reduces the insider's liquidity risk by increasing his trading flexibility. However, disclosure increases price risk for the insider because the price fully reflects the revealed information. The reduction in information and liquidity risks outweigh the rise in price risk when the insider is less risk averse because a less risk-averse insider's information-based motive for trading is stronger than his hedging motive. The opposite relation holds when the insider is more risk averse. Therefore, a less (more) risk-averse insider experiences an increase (decrease) in welfare when he discloses some information before trading. Cost of capital and policy implications are identified. [ABSTRACT FROM AUTHOR]

We decompose PIN, the probability of informed trading, into good-news ( PIN_G) and bad-news ( PIN_B) components, which we estimate at a quarterly frequency. We first assess the validity of PIN as a measure of informed trading by calculating its association with measures of the adverse-selection component of the cost of trading. We then provide new evidence that PIN_G and PIN_B capture informed trading around earnings announcements by showing that they predict positive and negative earnings surprises, respectively. Conjecturing that investors who take long positions will be more concerned about informed selling than about informed buying since the former depresses the sale price whereas the latter raises it, we then investigate asymmetry in the pricing of private information. We find strong evidence of such asymmetry in that the effect of PIN_B on the cost of equity capital is large and highly significant, whereas the effect of PIN_G is small and statistically insignificant. Data, as supplemental material, are available at . This paper was accepted by Neng Wang, finance. [ABSTRACT FROM AUTHOR]

The article presents insights concerning the next trade, which helps decide whether or not to cross the spread using an objective criteria based on the Sharpe ratio.

The article discusses the opportunities and limitations in correlation trading strategies.

The article discusses how to reduce noise in transition management pre-trade comparisons.

The article focuses on introduction of state space application kinetic component analysis (KCA) for extracting signal from noisy measurements and is decomposed into position, acceleration and velocity. Topics discussed include preference of KCA over other procedures of noise reduction, KCA consist features of forward looking while resilient to structural changes and determination of trading ranges by using KCA while it can be used by market makers.

We investigate the international transmission of the 2007-2009 financial crisis to Japanese firms by examining both stock returns and changes in operating performance during the crisis. Our results indicate that Japanese firms were affected by the crisis mainly through the trade channel in both stock returns and changes in operating performance. We also find that the liquidity channel played a role in the fall of stock returns in response to the crisis and in the changes in return on assets during the first year of the crisis. We obtain weak evidence for the credit crunch channel and no evidence to support the trade finance channel. [ABSTRACT FROM AUTHOR]

The goal of the present study is to re-examine the exchange rate predictability with an approach that accounts for the negative effect of the finite-sample estimation error on forecast accuracy in the in-sample test. We consider various exchange rate models and find that despite the presence of significant population-level predictive content in the exchange rate model, the coefficients of the predictive variables could be small enough that, with the available sample, they are estimated so imprecisely that a random walk model can be expected to forecast at least as well as the exchange rate model. [ABSTRACT FROM AUTHOR]

We develop a two-country duopoly model to explore the optimal licensing contract for an outsider licensor in terms of fixed-fee and royalty licensing by taking into account trade barriers when firms produce a homogeneous product and engage in Bertrand competition in each market. The present paper focuses on the interaction between licensing and trade barriers in two international markets. We show that both royalty and non-exclusive fixed-fee licensing can be optimal. Furthermore, exclusive fixed-fee licensing can be optimal, which is a result that is not discussed in the existing literature. [ABSTRACT FROM AUTHOR]

Technical and quantitative analysis in financial trading use mathematical and statistical tools to help investors decide on the optimum moment to initiate and close orders. While these traditional approaches have served their purpose to some extent, new techniques arising from the field of computational intelligence such as machine learning and data mining have emerged to analyse financial information. While the main financial engineering research has focused on complex computational models such as Neural Networks and Support Vector Machines, there are also simpler models that have demonstrated their usefulness in applications other than financial trading, and are worth considering to determine their advantages and inherent limitations when used as trading analysis tools. This paper analyses the role of simple machine learning models to achieve profitable trading through a series of trading simulations in the FOREX market. It assesses the performance of the models and how particular setups of the models produce systematic and consistent predictions for profitable trading. Due to the inherent complexities of financial time series the role of attribute selection, periodic retraining and training set size are discussed in order to obtain a combination of those parameters not only capable of generating positive cumulative returns for each one of the machine learning models but also to demonstrate how simple algorithms traditionally precluded from financial forecasting for trading applications presents similar performances as their more complex counterparts. The paper discusses how a combination of attributes in addition to technical indicators that has been used as inputs of the machine learning-based predictors such as price related features, seasonality features and lagged values used in classical time series analysis are used to enhance the classification capabilities that impacts directly into the final profitability. [ABSTRACT FROM AUTHOR]