Showing posts with label market efficiency. Show all posts
Showing posts with label market efficiency. Show all posts
Friday, June 15, 2018

15/6/18: Italian High Yield Bonds and Markets Exuberance

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Nothing illustrates the state of asset valuations today better than the junk bonds tale from Italy. Here is a prime example from the Fitch...
Wednesday, December 21, 2016

19/12/16: Market Anomalies and Data Mining: Some Pretty Tough Love from Data

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Investment anomalies (or in other words efficacy of exogenous factors in determining abnormal returns to investment) are a matter of puzzl...
Sunday, January 10, 2016

10/1/16: Tsallis Entropy: Do the Market Size and Liquidity Matter?

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Updated version of our paper: Gurdgiev, Constantin and Harte, Gerard, Tsallis Entropy: Do the Market Size and Liquidity Matter? (January...
Monday, February 18, 2013

18/2/2013: Short-selling and Markets Volatility

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A large number of analysts and policy makers tend to believe that highly leveraged trading activity, especially that linked to HFT, is a s...
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Monday, November 5, 2012

5/11/2012: Academic research and market efficiency

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Fascinating article on both the issue of markets efficiency (pricing-in of newsflows) and the impact of herding via learning (triggered by...
Tuesday, October 23, 2012

23/10/2012: HFT restrictions and market efficiency

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In my class on Investment Theory (MSc in Finance, TCD) we've discussed the issues relating to markets efficiency, HFT and relative spe...
Friday, April 13, 2012

13/4/2012: Short-selling - more evidence that restriction hurt, not help financial stability

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Keeping up with some old topics of interest, here is another paper studying markets efficiency within the context of short-selling bans of ...