Andrei Nikiforov

Andrei Nikiforov
Rutgers School of Nursing · Finance

About

23
Publications
2,521
Reads
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77
Citations
Citations since 2016
10 Research Items
65 Citations
201620172018201920202021202202468101214
201620172018201920202021202202468101214
201620172018201920202021202202468101214
201620172018201920202021202202468101214

Publications

Publications (23)
Article
We provide evidence that flocking-and-dispersing—not investor distraction—explains the negative relation between abnormal trading volume in stocks with earnings announcements and the number of “competing” earnings announcements on the same day.
Article
Full-text available
We conduct a search for pairs of companies with similar names/ticker symbols. Between 12% and 25% of such pairs exhibit co-movements in trading turnover, which we attribute to investor confusion. We estimate that trades made by mistake contributed to 5% of the trading turnover. The three-hour CARs for the company chosen by mistake around the time i...
Article
Prior literature finds that the tendency of price-endings to cluster on rounder fractions increases with price volatility. We estimate the separate influences and relative importance of the determinants of price volatility, security design and market risks. Our data is from a market setting that is ideal for isolating and studying the relations of...
Article
Real-world problems often have parameters that are uncertain during the optimization phase; stochastic optimization or stochastic programming is a key approach introduced by Beale and by Dantzig in the 1950s to address such uncertainty. Matching is a classical problem in combinatorial optimization. Modern stochastic versions of this problem model p...
Article
We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid-ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near-normal levels within the hour. Effects are strongest for more liquid on-the-run note...
Article
This article documents that earnings announcements serve as a reality check on short-term, fear- and greed-driven price development. Stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversals around the announcement. Basedon the findings of the authors, a trading strategy that exploits this re...
Article
We investigate the relation between quote activity and the precision with which prices are quoted. Where prior literature finds that the tendency of price-endings to cluster on rounder fractions declines monotonically with quote activity, we show that the decline is limited to an initial range of quote activity. Once a very high level of quote acti...
Article
Free Cash Flow (FCF) was adopted in the late 1980s as financial tool to evaluate the firm and its individual projects. We question the procedure of calculating the FCF where a significant portion of Current Liabilities is offset against Current Assets, thereby creating the hybrid asset Net Working Capital (NWC). Borrowed from accounting methodology...
Article
This study documents that total market volume is almost entirely unrelated to intertemporal variation in the number of earnings announcements. Thus, while individual earnings announcements, on average, significantly impact trading volume (e.g., Beaver, 1968), in aggregate this impact is minimal. We provide evidence that this seeming inconsistency i...
Article
This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of five or ten minutes throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by human traders/programmers’ behavioral bias to tra...
Article
This study investigates the impact of proprietary traders on information-related trading volume. We argue that news-based proprietary traders contribute a large and essentially fixed amount of trading volume to the market. Consequently, their impact becomes “detectable” with intertemporal variation in the number of news events, and is most pronounc...
Article
This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10 minutes throughout the trading day. We argue that this activity is the result of algorithmic trading influenced by human traders/programmers’ behavioral bias to transact on r...
Article
This chapter focuses on the aggregate short selling activities during earnings seasons in the US Earnings seasons are unique periods during the year, usually 45 days at the beginning of each quarter, when thousands of firms flood the market with firm-specific announcements. Previous studies suggest two main motivations for short selling. The first...
Article
Concentrated solar power plants are an alternative to natural gas turbine plants in the portfolios of utilities and independent power producers (IPPs). To obtain financing for a new plant, an IPP must rigorously establish plant production guarantees. We developed an optimization model that maximizes annual profits by generating an optimal hour-by-h...
Article
This paper seeks to draw attention to a flaw in the firm’s Free Cash Flow model and related statement widely accepted in Corporate Finance. We argue that the common offset of any Current Liabilities against Current Assets distorts the FCF size, composition, and volatility, thereby misstating the firm or project size, debt and assets composition, fi...
Article
This paper seeks to draw attention to a flaw in the firm’s Free Cash Flow model and related statement widely accepted in Corporate Finance. We argue that the common offset of any Current Liabilities against Current Assets distorts the FCF size, composition, and volatility, thereby misstating the firm or project size, debt and assets composition, fi...
Article
The inclusive single differential cross section dsigma/dQ2 and the double differential cross section d2sigma/dQ2dx are presented for the neutral current process e±p --> e±X in interactions of unpolarised proton beam with longitudinally polarised lepton beam. The cross sections are measured in the region of large negative four-momentum transfer squa...
Article
Data taken with the H1 detector, with longitudinally polarised electrons and positrons in collision with unpolarised protons at HERA, are used to measure the charged current cross section σ CC tot for Q 2 > 400 GeV2 and inelasticity y < 0.9. The polarisation dependence of the measured cross section is in agreement with the Standard Model predi...
Article
Abstract This thesis presents inclusive $e^\pm p$ single and double differential cross sections for neutral current deep inelastic scattering measured as functions of the four-momentum transfer squared $Q^2$ and the Bjorken variable $x$ in interactions of longitudinally polarised leptons with unpolarised protons using the H1 detector at HERA~II. An...

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