Ratio spreads in which one buys X calls (or puts) at one strike and sells Y calls (puts) at a different strike where YX are among the most actively traded option combinations yet are only briefly mentioned in most derivatives ...

Despite extensive research, the exact nature of the dependence of corporate investment on firm liquidity, uncertainty, and hedging policy remains obscure. First, although it is widely recognized that external financing can ...

Most researchers will create or acquire numerous sets of data during their career, but the sad reality is that many of these data sets are not managed systematically. This was not such an issue when data sets were relatively ...

Pure Data (Pd) is a graphical data-flow environment for multimedia, created by Miller Puckette of the Center for Research in Computing and the Arts at UCSD. It’s a fun, versatile and intuitive environment providing high-level ...

With the installation of the Music Department’s new SSL mixing console and the founding of the New Zealand Music Industry Centre (NZMiC), there are exciting new possibilities for sound production and performance at Otago, ...

We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume ...

The fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity ...

In this paper we show the effects that outliers have on estimation and inference for ARCH models. We propose an empirically tractable solution to this problem by replacing outliers with their conditional expectations ...