Michael S. Haigh

TL;DR: The authors found that traders exhibit behavior consistent with myopic loss aversion (MLA) to a greater extent than students, but rather than discovering that the anomaly is muted, they find that traders tend to exhibit behaviour consistent with MLA more often than students.

TL;DR: In this article, the authors apply dynamic conditional correlation and recursive cointegration techniques to the prices of, and the returns on, key investable commodity and U.S. equity indices.

TL;DR: In this paper, the Chicago Board of Trade (CBOT) market professionals were observed in a controlled environment to observe over 1,500 individual decisions and found that professionals are better able to discern the quality of public signals and their decisions are not affected by the domain of earnings.

TL;DR: In this paper, the authors used dynamic conditional correlation and recursive co-integration techniques to analyze the relationship between commodity and U.S. equity indices over a period of 18 years and found that while commodities provide substantial diversification benefits to passive equity investors, those benefits are weaker precisely when they are needed most.

TL;DR: In this paper, a conceptual model is developed for a trader hedging the crack spread, and various hedge ratio estimation techniques are compared to a multivariate GARCH model that directly incorporates the time to maturity effect often found in futures markets.