The Iowa Electronic Markets are small, real-money financial markets designed to aggregate information about future events. The market microstructure of these markets is studied and a market making model is developed to provide liquidity for one set of securities offered by this exchange. A computer program was created to employ the market making model and profit from the market’s inefficiencies...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the num...

I investigate empirically the ability of financial market incompleteness to help explaining the equity premium puzzle. I estimate the non-diversifiable component of the cross-sectional volatility of income and examine its cyclical properties. Equipped with these estimates, I compute the implied equilibrium Sharpe-ratio of excess returns and evaluate the ability of idiosyncratic risk to improve ...

We study the degree of overreaction and the relation of overreaction and psychological biases as well as financial consequences of overreaction in a controlled experimental setting with 104 participants. The majority of participants tend to overreact, however, the degree of overreaction is heterogeneous. A few subjects even underreact. We also measure the overconfidence of the participants with...

Performance measurement that accurately reflects the goals of fund investors and managers has long been a topic of active discussion. Most modern performance measures differ from classical ones (such as the Sharpe ratio) in two key ways; first, they reflect the market practice of assessing performance against a benchmark, second, they account for the asymmetry in returns distributions by separa...

This paper uses the visibility and invisibility algorithms to build the peak and trough indicators, providing a way to recognize the convexity, concavity and regime change of the CSI 300 Index from the April 8, 2005 to June 30, 2016. The study found that the automated trading rules discovered by the gradient boosted classification trees models derived from the peak indicator outperform that fro...

The SHARPE package is now 1 3 y ears old. A w ell known package in the eld of reliability and performability, SHARPE is used in universities as well as in companies. Many important c hanges have been made during these years to improve the satisfaction of our users. Recently several new algorithms have been added and a Graphical User Interface has been implemented. This paper presents the curren...

Copyright: © 2016 Sharpe DK, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Understanding the Correlation between Physical Activity and Clinical Depression in Women: A Review of the Literature Daphne K...