Exchange-traded funds: an overview of institutions, trading, and impacts
A Madhavan - Annu. Rev. Financ. Econ., 2014 - annualreviews.org
Exchange-traded funds (ETFs) have grown substantially in diversity and size in recent years,
reflecting a broader shift toward passive, index investing. As a consequence, there is …
reflecting a broader shift toward passive, index investing. As a consequence, there is …
[BOOK][B] Handbook of Price Impact Modeling
KT Webster - 2023 - taylorfrancis.com
The Handbook of Price Impact Modeling provides practitioners and students with a
mathematical framework grounded in academic references to apply price impact models to …
mathematical framework grounded in academic references to apply price impact models to …
Stability effects of arbitrage in exchange traded funds: An agent-based model
An index-based exchange traded fund (ETF) with underlying securities that trade on the
same market creates potential opportunities for arbitrage between price deviations in the …
same market creates potential opportunities for arbitrage between price deviations in the …
The revenge of the stock pickers
H Lynch, S Page, RA Panariello… - Financial Analysts …, 2019 - Taylor & Francis
When an exchange-traded fund (ETF) trades heavily around a theme, correlations among its
constituents increase significantly. Even some securities that have little or negative exposure …
constituents increase significantly. Even some securities that have little or negative exposure …
Reconstructing Emerging and Developed Markets Using Hierarchical Clustering
G Garvey, A Madhavan - The Journal of Financial Data Science, 2019 - pm-research.com
The distinction between emerging and developed markets is of first-order importance for
investors. In this article, the authors use hierarchical clustering to objectively identify the …
investors. In this article, the authors use hierarchical clustering to objectively identify the …
[CITATION][C] Can EFTs Contribute to Systemic Risk?
Modeling Trading Strategies in Financial Markets with Data, Simulation, and Deep Reinforcement Learning
M Shearer - 2022 - deepblue.lib.umich.edu
Rapidly advancing algorithmic trading techniques and lagging financial market regulations
have led to opportunities for traders to use these advancements to their own advantage. This …
have led to opportunities for traders to use these advancements to their own advantage. This …
Active Investing as a Negative Sum Game: A Critical Review
G Warren - Journal of Investment Management, Forthcoming, 2020 - papers.ssrn.com
The literature on whether active management adds value is examined through the prism of
the proposition by Sharpe (1991) that active investing is a negative sum game after costs …
the proposition by Sharpe (1991) that active investing is a negative sum game after costs …
Will ETFs Drive Mutual Funds Extinct?
A Helmke - Available at SSRN 4614021, 2023 - papers.ssrn.com
This paper challenges the conventional wisdom that exchange-traded funds (ETFs) are
more liquid than open-end mutual funds. I build a model and establish that same-index ETFs …
more liquid than open-end mutual funds. I build a model and establish that same-index ETFs …
[PDF][PDF] Opportunities and risks in the financial index market
L GRILLET-AUBERT - AMF Reports, 2020 - amf-france.org
Financial indices are playing an increasingly important role. Trillions of euros of assets
under management of financial products are linked to them, and this continues to rise. They …
under management of financial products are linked to them, and this continues to rise. They …