16 citations · 16 across the 4 of their papers we have counts for
5 papers
Trading styles and long-run variance of asset prices
Lawrence Middleton, James Dodd, Simone Rijavec
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same dire…
A growth adjusted price-earnings ratio
Graham Baird, James Dodd, Lawrence Middleton
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. T…
Quantitative earnings enhancement from share buybacks
Lawrence Middleton, James Dodd, Graham Baird
This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall…
Unbiased Smoothing using Particle Independent Metropolis-Hastings
Lawrence Middleton, George Deligiannidis, Arnaud Doucet +1
We consider the approximation of expectations with respect to the distribution of a latent Markov process given noisy measurements. This is known as the smoothing problem and is of…
Unbiased Markov chain Monte Carlo for intractable target distributions
Lawrence Middleton, George Deligiannidis, Arnaud Doucet +1
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference f…