19972019
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Research Output 1997 2019

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2018

Financial education via television comedy

Crawford, A., Lajbcygier, P. & Maitra, P., 28 Nov 2018, In : Applied Economics Letters. 25, 20, p. 1407-1410 4 p.

Research output: Contribution to journalArticleResearchpeer-review

The effect of anonymity on price efficiency: evidence from the removal of broker identities

Duong, H. N., Lajbcygier, P., Lu, J. S. & Vu, V. H., 1 Oct 2018, In : Pacific Basin Finance Journal. 51, p. 95-107 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

A comparison of the forecasting ability of immediate price impact models

Pham, M. C., Duong, H. N. & Lajbcygier, P., Dec 2017, In : Journal of Forecasting. 36, 8, p. 898-918 21 p.

Research output: Contribution to journalArticleResearchpeer-review

The information content of special orders

Duong, H. N., Lajbcygier, P. & Vu, V. H., Oct 2017, In : Pacific Basin Finance Journal. 45, p. 68-81 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

Factors affecting the birth and fund flows of CTAs

Do, V., Faff, R., Lajbcygier, P., Veeraraghavan, M. & Tupitsyn, M., May 2016, In : Australian Journal of Management. 41, 2, p. 324-352 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Is Fundamental Indexation able to time the market? Evidence from the Dow Jones Industrial Average and the Russell 1000

Chen, S. D., Dempsey, M. J. & Lajbcygier, P. R., 2015, In : Journal of International Financial Markets, Institutions and Money. 37, p. 162 - 177 16 p.

Research output: Contribution to journalArticleResearchpeer-review

The viability of alternative indexation when including all costs

Lajbcygier, P. R. & Sojka, J., 2015, In : International Review of Financial Analysis. 38, p. 109 - 141 33 p.

Research output: Contribution to journalArticleResearchpeer-review

2013

Virtue remains after removing sin: Finding skill amongst socially responsible investment managers

Ooi, E. M. & Lajbcygier, P. R., 2013, In : Journal of Business Ethics. 113, 2, p. 199 - 224 26 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

Estimating the cost of capital with basis assets

Brown, S., Lajbcygier, P. R. & Wong, W. W., 2012, In : Journal of Banking and Finance. 36, 11, p. 3071 - 3079 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Imputation credits and equity returns

Lajbcygier, P. R. & Wheatley, S., 2012, In : Economic Record. 88, 283, p. 476 - 494 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2009

Examination items in financial mathematics: A Bayesian analysis of Differential Item Functioning (DIF) using Item-Response Theory (IRT)

Sanford, A. D. & Lajbcygier, P. R., 2009, In : Advances in Financial Education. 7, 1 & 2, p. 158 - 182 25 p.

Research output: Contribution to journalArticleResearchpeer-review

2008

A model of fund growth for managed futures: Evidence of managerial skill

Lajbcygier, P. R., 2008, In : Journal of Investment Management. 6, 1, p. 55 - 67 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Going negative: What to do with negative book equity stocks

Brown, S., Lajbcygier, P. R. & Li, B., 2008, In : Journal of Portfolio Management. 35, 1, p. 95 - 102 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Incentives for asset growth: The different causes of monthly in-flows and out-flows of surviving managed futures funds

Lajbcygier, P. R. & Shen, Y., 2008, In : Journal of Derivatives & Hedge Funds. 13, 4, p. 287 - 303 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Predicting exam failure in computational finance

Lajbcygier, P. R. & Sanford, A. D., 2008, In : Advances in Financial Education. 6, Winter, p. 59 - 78 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2007

Using the gap statistic to find the correct number of mutual fund styles

Lajbcygier, P. R., 2007, In : Economic & Financial Modelling. 14, 3, p. 103 - 137 35 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

Improving option pricing with the product constrained hybrid neural network

Lajbcygier, P. R., 2004, In : IEEE Transactions on Neural Networks. 15, 2, p. 465 - 476 12 p.

Research output: Contribution to journalArticleResearchpeer-review

1999

Advancements in option pricing using computational intelligence - part 2

Lajbcygier, P. R. & Flitman, A. M., 1999, In : Journal of Computational Intelligence in Finance. 7, 6, p. 4 - 4 1 p.

Research output: Contribution to journalArticleOther

Advances in optional pricing using computational intelligence

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. 7, 5, p. 4 - 5 2 p.

Research output: Contribution to journalArticleOther

The Non-Parametric Option Pricing Models

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. p. 6 - 18 13 p.

Research output: Contribution to journalArticleOther

The Problem With Modern Parametric Option Pricing: A Literature Review

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. p. 6 - 23 18 p.

Research output: Contribution to journalArticleOther

1997

The Pricing and Trading of Options using a Hybrid Neural Network Model with Historical Volatility

Lajbcygier, P. R., Flitman, A., Swan, A. & Hyndman, R. J., 1997, In : Neurovest Journal. p. 27 - 41 15 p.

Research output: Contribution to journalArticleOther

The Pricing and Trading of Options using a Hybrid Neural Network with Historical Volatility

Lajbcygier, P. R., Flitman, A. M., Swan, A. & Hyndman, R. J., 1997, In : Journal of Computational Intelligence in Finance. p. 27 - 40 14 p.

Research output: Contribution to journalArticleResearchpeer-review