WebDr Hamish Malloch Cross Streams Zhe Yan 430462009 Table of Contents Executive Summary Justification of Data Section One: Portfolio Constructions Section Two: Empirical Results and Discussion Section Three: Fama-French Model Section Four: Regression Analysis Section Five: Re-consideration of Smart Beta Strategy and Conclusion … WebJan 1, 2024 · Hamish Malloch; Jiri Svec; Read more. Looking for the full-text? You can request the full-text of this article directly from the authors on ResearchGate. Request full-text. Already a member?
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WebMar 1, 2024 · This study examines prosecuted cases of closing price manipulation on the HKEx. We manually construct a database of manipulation from the Hong Kong Security and Futures Commission (HKSFC) Enforcement News during the usage of the quote-based closing price system which was in place between 1999 and 2016. We identify 37 … WebJan 8, 2007 · Peter Buchen and Hamish Malloch, CLA’s, PLA’s and a new method for pricing general passport options, Quantitative Finance, 14, 7, (1201), (2014). Crossref NIKOLAI DOKUCHAEV , CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY , International Journal of Theoretical and Applied Finance , … forum.gamer.com.tw
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WebRead the latest articles of Journal of Banking & Finance at ScienceDirect.com, Elsevier’s leading platform of peer-reviewed scholarly literature WebAU - Malloch, Hamish. PY - 2024/3. Y1 - 2024/3. N2 - We document the effects of a manipulation akin to marking the close, conducted without any manipulative trades. Using prosecuted cases, we examine how manipulators can utilize periods of order-book illiquidity to navigate ill-conceived market design rules and influence security prices. WebCLA's, PLA's and a new method for pricing general passport options. Peter Buchen and Hamish Malloch. Quantitative Finance, 2014, vol. 14, issue 7, 1201-1209 . Abstract: This paper is primarily concerned with pricing a general passport option (GPO) within the standard Black-Scholes framework. We show that in all possible cases of the allowed … forum gaming italia