29 citations · 77 across the 9 of their papers we have counts for
Showing 2015Show all
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q-fin.PM2015
Why Indexing Works
J. B. Heaton, N. G. Polson, J. H. Witte
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that th…
q-fin.TR2015★ 2 cited
Volatility Harvesting: Extracting Return from Randomness
Jan Hendrik Witte
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the…
q-fin.TR2015
Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
Patrick Steffen Michelberger, Jan Hendrik Witte
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes pla…