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q-fin.ST2020
Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks
Vassilis Polimenis
Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in…
q-fin.TR2020
Trading on the Floor after Sweeping the Book
Vassilis Polimenis
Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide…