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 …

[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 …

Stability effects of arbitrage in exchange traded funds: An agent-based model

M Shearer, D Byrd, TH Balch, MP Wellman - Proceedings of the Second …, 2021 - dl.acm.org
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 …

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 …

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 …

[CITATION][C] Can EFTs Contribute to Systemic Risk?

M Pagano, A Sánchez Serrano, J Zechner - ESRB: Advisory Scientific Committee …, 2019

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 …

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 …

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 …

[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 …