Limit Order Trading

We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short-term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.     

Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval

The capital asset-pricing model's (CAPM) primary empirical implication is a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). Recent research indicates that inferences about the risk-return relation are sensitive to the choice of the return measurement interval. We perform multivariate tests of the Sharpe-Lintner CAPM using monthly and annual returns on market-value-ranked portfolios. The CAPM is rejected using monthly returns, a result consistent with previous research. In contrast, we fail to reject the CAPM when annual holding period returns are used.     

ICI Suppression Methods Based on Maximum Likelihood Sequence Estimation for MSDD OFDM Systems

To suppress the intercarrier interference(ICI) in multiple symbol dif ferential detection(MSDD) orthogonal frequency division multiplexing(OFDM) sys tems, statistical effects of ICI are analysed and then considered in the maximum likelihood sequence estimation(MLSE) process. Afterwards, a method, which can estimate and suppress the ICI by utilizing the knowledge of all the subcarriers in the MLSE process, is proposed. To reduce the computational complexity, severa l suboptimal ICI suppression methods, which utilize the knowledge of part of the subcarriers, are further proposed. Simulation results show that the proposed su boptimal methods can significantly enhance the bit error rate(BER) performances in both flat and frequency selective Rayleigh fading channels.