no code implementations • 7 Nov 2022 • Reza Bradrania, Robert Elliott, Winston Wu
We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross-section of stocks, and the spread between the two has increased over the past two decades.
no code implementations • 2 Nov 2022 • Reza Bradrania, Davood Pirayesh Neghab
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances.
