Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …

Systematic momentum trading is a prevalent risk premium strategy in different portfolios.
This paper focuses on the performance of the managed futures strategy based on the …

We introduce a new form of volatility index, the cross-sectional volatility index. Through formal
central limit arguments, we show that the cross-sectional dispersion of stock returns can …

Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led to …

One of the biggest challenges in the development of a biological self-healing concrete is to
ensure the long-term viability of bacteria that are embedded in the concrete. In the present …

The rising interest of institutional investors for commodities since the early 2000s prompted
remarkable financial engineering in the commodity index space which is now in its third …

This paper combines Taylor projection with perturbation on future random shocks to generate
polynomial approximations to the policy functions of dynamic stochastic models around …

This paper proposes a new perturbation strategy to build a sequence of polynomial approximations
to the equilibrium laws of motion of dynamic heterogeneous-agent models, with one …