Adding the dimension of knowledge trading to source impact assessment: Approaches, indicators, and implications
Sign Up to like & getrecommendations! Published in 2017 at "Journal of the Association for Information Science and Technology"
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
Leveraging an Integrated First and Second Moments Modeling Approach for Optimal Trading Strategies: Evidence From the Indian Pharma Sector in the Pre‐ and Post‐COVID‐19 Era
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DOI: 10.1002/for.70046
Abstract: The current research presents a novel approach that integrates the first‐moment (mean) and second‐moment (variance) components of stock price dynamics to forecast future price trends. Employing a combination of statistical and deep learning models, the… read more here.
Keywords: trading; post covid; trading strategies; model ... 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
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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
Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market
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DOI: 10.1002/fut.22552
Abstract: This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long‐term data from 2010 to 2023, indicate that the effect of trading frequency differs… read more here.
Keywords: trading; market; frequent trading; performance ... See more keywords
The Variance Risk Premium Over Trading and Nontrading Periods
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DOI: 10.1002/fut.22589
Abstract: In this paper, we decompose the variance risk premium (VRP) into overnight and intraday components using model‐free implied variance stock indices in the United States, Europe, and Asia. We find that during the nontrading overnight… read more here.
Keywords: trading; variance risk; risk premium;
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
A mean field game model for optimal trading in the intraday electricity market
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DOI: 10.1007/s10203-024-00445-1
Abstract: In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers in the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider… read more here.
Keywords: trading; optimal trading; electricity; mean field ... 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
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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