Advanced quantitative modelling and analysis of anomalies on financial markets : feedback trading and realized volatility
This thesis is mainly concerned with two broad topics: i) the impact of country ETF’s premiums and discounts over feedback trading; ii) modelling high-frequency realized volatility on liquid assets. Out of the first topic, it investigates whether feedback trading exists in US-listed country ETFs and...
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University of Liverpool
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733933 |