Randomized Market Trials


1. Motivation How much can traders learn from past price signals? It depends on what kind of assets sell. Suppose that returns are (in part) a function of $K = \Vert {\boldsymbol \alpha} \Vert_{\ell_0}$ different feature-specific … [Continue reading]

Intra-Industry Lead-Lag Effect


1. Introduction Hou (2007) documents a really interesting phenomenon in asset markets. Namely, if the largest securities in an industry as measured by market capitalization perform really well in the current week, then the smallest securities in … [Continue reading]