Zobrazeno 1 - 10
of 19
pro vyhledávání: '"George Chalamandaris"'
Publikováno v:
European Financial Management. 27:147-186
We propose a consistent approach for the estimation of the market risk premium. As a first step, we define the broadest possible set of ex ante estimators from the viewpoint of a power utility optimiser holding the market portfolio. We then employ an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a71ea26300773810f833f2098a336c9f
https://doi.org/10.1111/eufm.12287
https://doi.org/10.1111/eufm.12287
Autor:
George Chalamandaris
Publikováno v:
Quantitative Finance. 20:1101-1122
I propose a framework motivated by the Adaptive Markets Hypothesis (AMH) to analyze the relevance of a specific information source for the trading of a given security. To illustrate the applicabili...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f461900bc0382f3c9b3f31afb784bb3
https://doi.org/10.1080/14697688.2020.1726438
https://doi.org/10.1080/14697688.2020.1726438
Autor:
Spyros Pagratis, George Chalamandaris
Publikováno v:
Journal of Empirical Finance. 54:213-235
An ostensibly broken cointegrating relationship between CDS and corporate bond spreads during the financial crisis is restored once Libor/OIS spread is included as a third component. The three-variable cointegrating relationship derives naturally fro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf6e208393fc48b6abe3b21fc4ad0f5b
https://doi.org/10.1016/j.jempfin.2019.10.003
https://doi.org/10.1016/j.jempfin.2019.10.003
Publikováno v:
SSRN Electronic Journal.
We propose a stochastic spanning to evaluate whether anomalies are genuine under factor-model framework. Our approach is nonparametric and does not rely on any assumption of return distribution and investor risk preferences. It depends on the whole d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::abcc451a9c3d90cbb79381adffdf3d7a
https://doi.org/10.2139/ssrn.3752177
https://doi.org/10.2139/ssrn.3752177
“Algos” are algorithmic trading strategies that are meant to optimize the execution quality of the trades in terms of transaction costs and market-timing. This chapter presents the transaction costs taxonomy and popular algorithmic execution stra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e8b970e94d2459996db1b19c449693c3
https://doi.org/10.4018/978-1-7998-2436-7.ch009
https://doi.org/10.4018/978-1-7998-2436-7.ch009
Publikováno v:
2019 International Conference on Computational Science and Computational Intelligence (CSCI).
We investigate the optimal performance of Self Organized Feature Maps in 60 different models of plain and hybrid form to define the optimal classifier. We also apply it on a novel model of optimal portfolio selection in hedging aspects.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7050c71dd4d960ac04669f91979e1471
https://doi.org/10.1109/csci49370.2019.00057
https://doi.org/10.1109/csci49370.2019.00057
Publikováno v:
Annals of Operations Research. 266:395-440
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 in a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eeefb40224122990ca842cbe683431fe
https://doi.org/10.1007/s10479-016-2373-3
https://doi.org/10.1007/s10479-016-2373-3
Publikováno v:
SSRN Electronic Journal.
We examine the presence of adverse selection considerations in the market-making of corporate bonds. We find that institutional-sized customer trades are more informative than retail-sized ones. Dealers seem aware of the informational asymmetry betwe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e675c8ae1d4d4ba114793254ec37c57
https://doi.org/10.2139/ssrn.3209196
https://doi.org/10.2139/ssrn.3209196
Autor:
George Chalamandaris
Publikováno v:
SSRN Electronic Journal.
Using a framework motivated by the Adaptive Markets Hypothesis (AMH) I explore the extent to which the financial statement (FS) is relevant for Credit Default Swap (CDS) trading. I propose a Bayesian Model Averaging approach to examine properties of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfe3d9d6e42b0f5d054700d433d9bc0f
https://doi.org/10.2139/ssrn.3254207
https://doi.org/10.2139/ssrn.3254207