Recently funded

The QMI funded the selected projects in 2013 :

Identifying Contagion

  • Professor M.Dungey, School of Economics and Finance, University of Tasmania, Australia and Professor E. Renault, Brown University, USA

Working paper: Identifying Contation

Momentum Strategies in Futures Markets and Trend-following Funds

  • Professor R. Kosowski, Center for Hedge Fund Research & Risk Management Laboratory at Imperial College Business School and A.-K. Baltas, Visiting Researcher, Imperial College, Quantitative Analyst at UBS Investment Bank

 

The Booms and Busts of Beta Arbitrage : Measuring the extent of the Low-Beta Crowd

  • D. Lou, Financial Markets Group, London School of Economics and Professor C. Polk, Financial Markets Group, London School of Economics

Working paper: The Booms and Busts of Beta Arbitrage

Predatory Trading in Equity Markets

  • V. van Kervel, VU University of Amsterdam and Professor A. Menkveld, VU University of Amsterdam

Working paper: High-Frequency Trading around Large Institutional Orders