We estimate a realistic process for noise trading to help theorists calibrate their models. For this purpose we characterize the trades executed by individual investors, who are natural candidates for the role of noise traders because their trades are (on average) cross-correlated, loss making, and weakly correlated with stocks’ future fundamentals. We use transactions data from a retail broker...

Asymmetric information models are tested using options implied volatility and volume of trade in eight international markets. We explore the relations between the trading break time duration, the quality of public information, the discretion of options liquidity traders to postpone their trades, and the interday and intraday implied volatility and volume of trade in options. Although asymmetric...

Two important aspects of semantic parsing for question answering are the breadth of the knowledge source and the depth of logical compositionality. While existing work trades off one aspect for another, this paper simultaneously makes progress on both fronts through a new task: answering complex questions on semi-structured tables using question-answer pairs as supervision. The central challeng...

To analyze day trading dynamics for Nifty Index futures and options contracts, a detailed study is steered to understand the quantum of volume traded how affects underlying volatility. Day trades are about 30% 46% total respectively. This signifies high Volume by individuals bulk compared other categories both intraday non-day trades. estimates volatility dynamics. Volatility assessed minimum-v...

We fit a bivariate Hawkes process to arrival data for buy and sell trades in FX markets. The model can be used to predict future imbalance of buy and sell trades conditional on history of recent trade arrivals. We derive formulae for the raw price impact of a trade as a function of time assuming that trade arrivals are governed by a Hawkes process and that the price is a martingale, and show th...

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with transaction costs or bid-ask spreads, our framework covers markets with nonli...

s for the 38th Human Genetics Society of Australasia Annual Scientific Meeting Adelaide, South Australia

We deal with the statistical matching problem and in particular we study the problem related to the managing of inconsistencies. In fact, when logical relations among the variables are present incoherence can arise in the probability evaluations. The aim of this paper is to remove such incoherences by using different methods. Specific precise distances minimization or least committal imprecise ...