Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Robert T. Daigler"'
Publikováno v:
Algorithmic Finance. 9:63-79
We examine the effect of VIX futures’ new trading hours on price discovery as these causal relations have not been investigated before and are consequential for regulators and practitioners involved in the VIX futures market. Our data include VIX f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c8ac91ad457ae833253c1172f43e8c0
https://doi.org/10.3233/af-200342
https://doi.org/10.3233/af-200342
Publikováno v:
Review of Accounting and Finance. 19:83-106
Purpose The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets. Design/methodology/approach The Grinblatt et al.'s (1995) measure o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ca427a7b8d14611351e7e7fc9a3bfdc
https://doi.org/10.1108/raf-03-2019-0054
https://doi.org/10.1108/raf-03-2019-0054
Publikováno v:
Applied Economics. 50:4054-4073
This paper examines the differences between leveraged and unleveraged Exchange Traded Funds (ETFs), particularly for liquidity and volatility characteristics. The impact of leverage on intraday liq...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ea71d8b1922fe968eca1b7b06c3e3ca
https://doi.org/10.1080/00036846.2018.1441510
https://doi.org/10.1080/00036846.2018.1441510
Publikováno v:
Journal of Futures Markets. 37:689-716
We examine the return–volatility relation using three of the CBOE's recent indices. We employ more robust estimation techniques that account for the asymmetric relation between return and volatility. Our findings indicate that contributions of thes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::73071dd4de2991706031ce1dd1e668b4
https://doi.org/10.1002/fut.21827
https://doi.org/10.1002/fut.21827
Publikováno v:
The Journal of Trading. 11:56-76
The transition from manual to electronic markets in options paved the way for pricing efficiencies and improved liquidity from options high-frequency market making (HFMM). We find that HFMM reduces option bid–ask spreads, although with differences
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f8efdce6cc55a6847a5d57cce546bdc
https://doi.org/10.3905/jot.2016.11.4.056
https://doi.org/10.3905/jot.2016.11.4.056
Publikováno v:
The Journal of Derivatives. 23:73-90
With the advent of modern option theory and practice, volatility has become one of the most important financial variables. The CBOE Volatility Index (VIX) of implied volatility for the S&P 500 Index has spawned numerous similar volatility indexes for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a061249acc5a096addbdd71af8e8f07
https://doi.org/10.3905/jod.2016.23.3.073
https://doi.org/10.3905/jod.2016.23.3.073
Autor:
Robert T. Daigler, Alexandre Aidov
Publikováno v:
Journal of Futures Markets. 35:542-560
Prior literature provides limited information on the depth characteristics of futures markets, especially for U.S. exchanges, due to the lack of historical depth data from floor trading. A proprietary database remedies this problem by providing a fiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c118ad109b5ccc851c21e8277c31094
https://doi.org/10.1002/fut.21706
https://doi.org/10.1002/fut.21706
Publikováno v:
The Journal of Alternative Investments.
In this article, the authors investigate whether employing individual commodity futures provides a superior optimized risk–return strategy relative to an equity portfolio, given the recent rise in correlations between commodity and equity markets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5041dceb82321c9e48627939b9797d87
https://doi.org/10.3905/jai.2017.2017.1.053
https://doi.org/10.3905/jai.2017.2017.1.053
Publikováno v:
SSRN Electronic Journal.
We examine the relation between testosterone, cortisol, and financial decisions in a sample of naive investors. We find that testosterone level is positively related to excess risk-taking, whereas cortisol level is negatively related to excess risk-t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::123c60c0b6493093e81f6296f9ec7b60
https://doi.org/10.2139/ssrn.3017977
https://doi.org/10.2139/ssrn.3017977
Autor:
Robert T. Daigler, Fernando Patterson
Publikováno v:
Review of Financial Economics. 23:55-63
We examine a range of mental health characteristics (e.g. depression, paranoia, and schizophrenia) in subjects engaged in simulated investment trading, showing that certain abnormal personality characteristics have a statistically significant associa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aabf44724559eb7b6e0abc807353d2ce
https://doi.org/10.1016/j.rfe.2013.08.004
https://doi.org/10.1016/j.rfe.2013.08.004