Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers.In the first paper, we address the challenge of robust ...
This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...
In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...
Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
This work proposes a new direction in structural design: the synthesis of structures through the reuse of elements. Reusing structural elements reduces the environmental impacts of building structures because it avoids sourcing new material, it reduces was ...
International Center for Numerical Methods in Engineering (CIMNE)2019
This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns.In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...
This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...
Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...
In the first chapter of this thesis, I empirically show that the time delay firms face in raising outside capital affects cash holdings. I exploit the 2005 US Securities Offering Reform (the Reform) as a quasi-natural experiment. For a subset of large publ ...
Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...
We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...
