Adding the dimension of knowledge trading to source impact assessment: Approaches, indicators, and implications
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DOI: 10.1002/asi.23670
Abstract: The objective of this paper is to systematically assess sources' (e.g., journals and proceedings) impact in knowledge trading. While there have been efforts at evaluating different aspects of journal impact, the dimension of knowledge trading… read more here.
Keywords: dimension knowledge; knowledge trading; impact; source ... See more keywords
Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery
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DOI: 10.1002/fut.21804
Abstract: This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak‐form efficient and driven… read more here.
Keywords: extended trading; index; trading; price ... See more keywords
A rare move: The effects of switching from a closing call auction to a continuous trading
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22081
Abstract: This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the… read more here.
Keywords: move effects; effects switching; continuous trading; trading ... See more keywords
Night trading and market quality: Evidence from Chinese and US precious metal futures markets
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DOI: 10.1002/fut.22147
Abstract: © 2020 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by… read more here.
Keywords: futures markets; trading; night; market ... See more keywords
Bertram’s pairs trading strategy with bounded risk
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DOI: 10.1007/s10100-021-00763-4
Abstract: Finding Bertram’s optimal trading strategy for a pair of cointegrated assets following the Ornstein–Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit per unit of time.… read more here.
Keywords: trading; problem; risk; trading strategy ... See more keywords
Optimal dynamic basis trading
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DOI: 10.1007/s10436-019-00348-x
Abstract: We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of… read more here.
Keywords: finance; dynamic basis; trading; optimal dynamic ... See more keywords
Are financial ratios relevant for trading credit risk? Evidence from the CDS market
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2373-3
Abstract: We propose a combination of LASSO with panel-consistent estimation methods to investigate whether financial ratios are used in the decision-making process of CDS traders. Our results indicate that financial statement information does play a role… read more here.
Keywords: credit risk; trading; relevant trading; trading credit ... See more keywords
Can sustainable operations achieve economic benefit and energy saving for manufacturing industries in China?
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DOI: 10.1007/s10479-018-2955-3
Abstract: China has launched energy quota right trading system, as one of the sustainable operations, since 2016 to cap the total energy consumption, however the economic and energy saving effect of this new policy is unclear.… read more here.
Keywords: sustainable operations; trading; energy saving; energy quota ... See more keywords
Two robust long short-term memory frameworks for trading stocks
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DOI: 10.1007/s10489-021-02249-x
Abstract: This paper aims to find a superior strategy for the daily trading on a portfolio of stocks for which traditional trading strategies perform poorly due to the low frequency of new information. The experimental work… read more here.
Keywords: term memory; trading; short term; long short ... See more keywords
Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market
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DOI: 10.1007/s10614-018-9851-4
Abstract: Technical Traders adopt mathematical methods to formulate various technical trading rules on their trading strategies. This paper utilises two unique datasets—individual and market tick-by-tick data—to disclose the categories and characteristics of technical traders’ strategies in… read more here.
Keywords: technical trading; rebar futures; trading; market ... See more keywords
Emission Trading with Fiscal Externalities: The Case for a Common Carbon Tax for the Non-ETS Emissions in the EU
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DOI: 10.1007/s10640-017-0184-x
Abstract: A government is fiscally constrained if it is unable to raise sufficient tax revenue to finance the first-best level of public spending. When involved in emission trading, a fiscally constrained government will potentially seek to… read more here.
Keywords: tax; trading; fiscal externalities; permit ... See more keywords