high-frequency-trading

This Perspective is dedicated to the memory of Professor Joseph Mark (Joe) Gani (1924–2016) and Professor Christopher Charles (Chris) Heyde (1939–2008), two scholars whose intellectual leadership profoundly shaped applied probability, mathematical statistics, and their interface with finance, insurance, and risk management. Their contributions extend beyond specific technical results to the devel…

Abstract The paper re-examines the principle of the bird-in-hand under the dynamic situation in the emerging spots market in Pakistan. Our sample consisted of 100 KSE—100 companies dating 2009–2024. The abnormal returns are separated out using an event study model and a rolling window version of the CAPM, and we have constructed a new Dividend Announcement Factor (DAF) to capture systematic varia…

This study examines and analyzes the effect of the capital adequacy ratio and loan-to-deposit ratio on return on assets in the context of green banking, specifically for banking companies listed on the Indonesia Stock Exchange (IDX) during the 2022-2024 period. This study aims to provide empirical evidence on how financial performance indicators, particularly the capital adequacy ratio and liquid…

SummaryThis technical note examines the predictive power of SIRRIPA (Stock Internal Rate of Return Including Price Appreciation) using 27 comparable Japanese technology and electronics stocks ranked as of December 23, 2025. Comparing initial SIRRIPA levels with subsequent stock performance over approximately 4.5 months, the analysis finds a positive and economically meaningful relationship. Cross…

This study examines whether seasonal mood fluctuations that are driven by reduced daylight exposure in fall and winter months affect how retail investors respond to market risk. The study uses daily stock-level data from the Nasdaq Retail Trading Activity Tracker (RTAT) from 2016–2026. The study tests whether the relationship between market volatility (VIX) and retail investor sentiment (RTAT) di…

This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock portfolio on a fixed sample of recurrent IDX30 constituents in order to assess differences in portfolio composition, return, risk, and risk-adjusted performance in the Indonesian capital market. This study compares the Single Index Model and the Black-Litterman model in forming an optimal stock po…

This study aims to analyze the performance dynamics of commercial banks in Indonesia based on KBMI1, KBMI2, KBMI3, and KBMI4 groups using a dynamic panel Error Correction Model (ECM) approach. The data used consist of monthly panel data covering the period from June 2025 to January 2026. The ECM model is employed to examine both short-term and long-term relationships among variables affecting ban…

Grid trading is nearly absent from the academic finance literature, dismissed as a simplistic retail strategy. This paper challenges that dismissal by establishing a formal structural isomorphism between grid trading and short put option writing: both belong to the short volatility strategy family, sharing identical risk structures and survival conditions. We prove three results. First, Payoff Is…

Performance of three U.S. technology companies selected on the basis of exceptionally high SIRRIPA values, an implied prospective return measure derived from the Potential Payback Period (PPP) framework: Micron Technology: +177% over approximately four and a half months. Bloom Energy: +82% over approximately two and a half months. Western Digital: +80% over less than two months. These observation…

This dissertation contributes to the household finance literature by empirically examining how social preferences, cultural background, and political beliefs shape retail investors' portfolio decisions. It uses survey data and granular supervisory data across three European settings. Chapter 1 uses a representative Dutch household survey to distinguish between sustainable investors who are primar…