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Search Results for Collection: School of Business
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(Inderscience Enterprises, 2011-02)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade ...
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(IEEE Press, 2010)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-01)This study assesses prospective Asian exchange rate regimes and finds short- and longrun currency dynamics more conducive to the introduction of a common peg based on a basket of the European euro, the United States ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2009)This paper investigates the degree of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7. Our paper draws on the efficient market hypothesis and examines the extent of unexpected ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05-18)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007-03-11)Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05)This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the precision of these ...