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Dec 19

Selected Papers of First Day Conference 12142011

Posted by abiao at 03:17 | Code | Comments(1) | Reads(5028)
On each day there are approximately 80 papers to be presented in 20 sessions, which is really a lot and hard to have a detailed and useful discussion, I would say too many presentations are the weak side of this 24th Australasian Finance & Banking Conference. I selected several papers of the first day based on my interests:

Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account the value of a firm’s assets that can be used as collateral.

Explaining Momentum Strategies Using Intrinsic Price Fluctuations: This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies.

Adverse Information and Mutual Fund Runs: anticipation of adverse events can also trigger runs in mutual funds.

Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract:  the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process.

A full list of the presented papers can be downloaded at Conference papers.

Quite easy to get around and it is filled up with a lot of details. All things are on point. Does one want to take a peek at my website?
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