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How online discussion board activity affects stock trading: the case of GameStop 在线讨论区活动如何影响股票交易:以GameStop为例
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-03-30 DOI: 10.1007/s11408-022-00407-w
A. Betzer, Jan Philipp Harries
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引用次数: 10
Beyond mean–variance: assessing hedge fund performance in a non-parametric world 超越均值方差:评估非参数世界中的对冲基金业绩
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-03-29 DOI: 10.1007/s11408-022-00409-8
A. Hassouni, H. Pirotte
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引用次数: 1
Javier Blas and Jack Farchy, The World for Sale: Money, Power and the Traders Who Barter the Earth’s Resources 哈维尔·布拉斯和杰克·法奇，《出售的世界:金钱、权力和以地球资源为交换的商人》
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-03-19 DOI: 10.1007/s11408-022-00408-9
Joshua Traut
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引用次数: 0
Report of the Editor 2021 2021年编辑报告
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-03-01 DOI: 10.1007/s11408-022-00405-y
Markus Schmid
{"title":"Report of the Editor 2021","authors":"Markus Schmid","doi":"10.1007/s11408-022-00405-y","DOIUrl":"https://doi.org/10.1007/s11408-022-00405-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73572648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
J. C. De Swaan: Seeking virtue in finance—contributing to society in a conflicted industry J. C.德斯旺:在金融中寻求美德——在一个充满冲突的行业中为社会做贡献
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-02-10 DOI: 10.1007/s11408-022-00404-z
M. Mezger
{"title":"J. C. De Swaan: Seeking virtue in finance—contributing to society in a conflicted industry","authors":"M. Mezger","doi":"10.1007/s11408-022-00404-z","DOIUrl":"https://doi.org/10.1007/s11408-022-00404-z","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79890189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Book Review: Decentralized finance after Bitcoin & Ethereum 书评:比特币和以太坊之后的去中心化金融
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-01-23 DOI: 10.1007/s11408-021-00403-6
Luca J. Liebi
{"title":"Book Review: Decentralized finance after Bitcoin & Ethereum","authors":"Luca J. Liebi","doi":"10.1007/s11408-021-00403-6","DOIUrl":"https://doi.org/10.1007/s11408-021-00403-6","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82251312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Gregory Scopino: Algo Bots and the Law Gregory Scopino:算法机器人和法律
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-01-07 DOI: 10.1007/s11408-021-00401-8
Donglin He
{"title":"Gregory Scopino: Algo Bots and the Law","authors":"Donglin He","doi":"10.1007/s11408-021-00401-8","DOIUrl":"https://doi.org/10.1007/s11408-021-00401-8","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84784425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach. 不规则时间网格下的投资组合选择:一个使用ICA-COGARCH(1,1)方法的例子。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-01-01 Epub Date: 2021-03-31 DOI: 10.1007/s11408-021-00387-3
Francesco Bianchi, Lorenzo Mercuri, Edit Rroji
{"title":"Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach.","authors":"Francesco Bianchi,&nbsp;Lorenzo Mercuri,&nbsp;Edit Rroji","doi":"10.1007/s11408-021-00387-3","DOIUrl":"https://doi.org/10.1007/s11408-021-00387-3","url":null,"abstract":"<p><p>In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-021-00387-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720788","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
German banks’ behavior in the low interest rate environment 德国银行在低利率环境下的行为
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-12-21 DOI: 10.1007/s11408-021-00402-7
Ramona Busch, Helge C. N. Littke, Christoph Memmel, Simon Niederauer
{"title":"German banks’ behavior in the low interest rate environment","authors":"Ramona Busch, Helge C. N. Littke, Christoph Memmel, Simon Niederauer","doi":"10.1007/s11408-021-00402-7","DOIUrl":"https://doi.org/10.1007/s11408-021-00402-7","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2021-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78811623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market FSCORE能给基于异常的投资组合增加价值吗?德国股市的现实检查
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-08-18 DOI: 10.1007/s11408-021-00400-9
Eero J. Pätäri, Timo Leivo, Sheraz Ahmed
{"title":"Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market","authors":"Eero J. Pätäri, Timo Leivo, Sheraz Ahmed","doi":"10.1007/s11408-021-00400-9","DOIUrl":"https://doi.org/10.1007/s11408-021-00400-9","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73152202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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