68 citations · 168 across the 11 of their papers we have counts for
4 papers · 1 filter
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior
David Ardia, Clément Aymard, Tolga Cenesizoglu
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH…
Linking Frequentist and Bayesian Change-Point Methods
David Ardia, Arnaud Dufays, Carlos Ordas Criado
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian m…
The Role of Twitter in Cryptocurrency Pump-and-Dumps
David Ardia, Keven Bluteau
We examine the influence of Twitter promotion on cryptocurrency pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter eff…
Factor Exposure Heterogeneity in Green and Brown Stocks
David Ardia, Keven Bluteau, Gabriel Lortie-Cloutier +1
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on thei…