Rebalancing the MSCI index is essential information in order to make investment recommendations. This event caused a market reaction that affected stock price. The research aims analyze influence of rebalancing on abnormal returns and trading volume activity shares ASEAN-5 countries 2017-2021. From test conducted, there was an effective after announcement stocks were indexed. Trading also showe...

Bike sharing provides an environment-friendly way for traveling and is booming all over the world. Yet, due to the high similarity of user travel patterns, the bike imbalance problem constantly occurs, especially for dockless bike sharing systems, causing significant impact on service quality and company revenue. Thus, it has become a critical task for bike sharing systems to resolve such imbal...

Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. We apply a quadratic heuristic to address the optimal rebalancing problem, and we compare it to a dynamic programmin...

An Econometric Model of Credit Spreads with Rebalance, ARCH, and Jump Effects In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional heteroscedasticity, jumps, and la...

The goal of this paper is to present an end-to-end, data-driven framework to control Autonomous Mobility-onDemand systems (AMoD, i.e. fleets of self-driving vehicles). We first model the AMoD system using a time-expanded network, and present a formulation that computes the optimal rebalancing strategy (i.e., preemptive repositioning) and the minimum feasible fleet size for a given travel demand...