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Development and calibration of a currency trading strategy using global optimization
(Springer Science+Business Media, 2013-06)
We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ...
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
(Kaunas University of Technology, 2019)
Pricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in ...
The real estate and credit bubble: evidence from Spain
(Springer Science+Business Media, 2014-08)
We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, ...
Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
(Springer International Publishing, 2012-03-02)
We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, ...
Should cross-border banking benefit from the financial safety net?
(Elsevier, 2016)
Using bank-level data from 84 countries, we find that a higher degree of bank internationalization is associated with higher interest expenses. Internationalization is proxied by a bank's share of foreign liabilities in ...
Numerical discretization of stochastic oscillators with generalized numerical integrators
(Vinča Institute of Nuclear Sciences, 2021)
In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and ...
Managerial discretion and efficiency of internal capital markets
(Elsevier, 2021-10)
I use the staggered adoption of state-level antitakeover laws to provide causal evidence that managerial agency problems reduce the allocative efficiency of conglomerate firms. I find that increases in control slack following ...
Political connections and informed trading: Evidence from TARP
(Wiley, 2021-09)
We study insider trading behavior surrounding the largest bank bailout in history: Troubled Asset Relief Program (TARP). In politically connected banks, insider buying during the pre-TARP period is associated with increases ...
Foreign acquisition and credit risk: Evidence from the U.S. CDS market
(Cambridge University Press, 2023-06-17)
This article empirically analyzes the effect of foreign block acquisitions on U.S. target firms' credit risk as measured by their credit default swap (CDS) spreads. Foreign block purchases lead to a greater increase in the ...
The effects of foreign acquisitions on the value of industry peers
(Cambridge University Press, 2023-03)
This paper studies how industry peers' stock prices respond when another firm in the industry is acquired by a foreign firm. The average stock price reactions of industry peers in horizontal foreign acquisitions around ...
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