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Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)
We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
CMIP5
Under the World Climate Research Programme (WCRP) the Working Group on Coupled Modelling (WGCM) established the Coupled Model Intercomparison Project (CMIP) as a standard experimental protocol for studying the output of ...
BIC
Der Bank Identifier Code - BIC ist ein international standardisierter Code für die weltweit eindeutige Identifikation von Banken.
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...
Met Office
The Met Office is the national meteorological service for the UK. We provide critical weather services and world-leading climate science, helping you make better decisions to stay safe and thrive.
TRTH
Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, ...
McKinsey
To provide a fact base on emissions-reduction opportunities and their associated cost and investment needs, McKinsey is continuously researching the topic of abatement or mitigation. We published our first global greenhouse ...