Frank McGroarty

University of Southampton - Southampton Business School

Professor of Computational Finance and Investment Analytics

Southampton, SO17 1BJ

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 7,614

in Total Papers Downloads

7,416

SSRN CITATIONS
Rank 36,209

SSRN RANKINGS

Top 36,209

in Total Papers Citations

15

CROSSREF CITATIONS

7

Scholarly Papers (22)

1.

Ultra High Frequency Statistical Arbitrage Across International Index Futures

Number of pages: 42 Posted: 28 Feb 2013
Hamad Alsayed and Frank McGroarty
University of Southampton - School of Management and University of Southampton - Southampton Business School
Downloads 1,426 (16,339)

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lead-lag relationships, futures markets, Hayashi-Yoshida cross correlation estimator, statistical arbitrage

2.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
University of Southampton - Southampton Business School, University of Bath - School of Management, University of Nottingham and ICMA Centre, Henley Business School
Downloads 935 (30,450)

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asset allocation; turn-of-the-month; seasonality; timing; portfolio optimization

3.

Optimal Portfolio Selection in Nonlinear Arbitrage Spreads

Number of pages: 38 Posted: 29 May 2010 Last Revised: 15 Aug 2011
Hamad Alsayed and Frank McGroarty
University of Southampton - School of Management and University of Southampton - Southampton Business School
Downloads 884 (32,922)

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Pairs Trading, Hamilton-Jacobi-Bellman equation, Statistical Arbitrage, Stochastic Optimal Control, Stability Bounds

4.

Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

Number of pages: 23 Posted: 29 Aug 2015
ICMA Centre, Henley Business School, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 848 (34,890)

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Gold, Silver, Technical analysis, Trading, High frequency

5.

Artificial Neural Networks in Fixed Income Markets for Yield Curve Forecasting

Number of pages: 13 Posted: 23 Mar 2018
University of Southampton - Department of Electronics and Computer Science, University of Southampton - School of Electronics and Computer Science (ECS), University of Southampton - Southampton Business School and University of Southampton - Department of Electronics and Computer Science
Downloads 697 (45,635)
Citation 2

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machine learning, neural network, multitask learning, yield curve forecasting, yield forecasting, bond market

6.

Arbitrage and the Law of One Price in the Market for American Depository Receipts

Number of pages: 31 Posted: 16 Aug 2011
Hamad Alsayed and Frank McGroarty
University of Southampton - School of Management and University of Southampton - Southampton Business School
Downloads 455 (78,075)
Citation 3

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American Depository Receipts, Statistical Arbitrage, Law of One Price, Pairs Trading

7.

The Intraday Dynamics of Bitcoin

Number of pages: 24 Posted: 07 Aug 2017
Andrea Eross, Frank McGroarty, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Southampton - Southampton Business School, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 329 (113,231)
Citation 9

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Bitcoin; Cryptocurrency; Intraday Patterns; Granger causality; Lead-Lag; High-Frequency

8.

The Adaptive Market Hypothesis and Stock Return Predictability: Evidence from Major Stock Indices

Number of pages: 29 Posted: 08 Aug 2015
Andrew Urquhart and Frank McGroarty
ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 310 (120,679)
Citation 2

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Adaptive market hypothesis, stock return predictability, market conditions, market efficiency

9.

The Memory Advantage of Long Short-Term Memory Networks for Bond Yield Forecasting

Number of pages: 13 Posted: 12 Jul 2019
University of Southampton - Department of Electronics and Computer Science, University of Southampton - School of Electronics and Computer Science (ECS), University of Southampton - Southampton Business School and University of Southampton - Department of Electronics and Computer Science
Downloads 268 (140,599)
Citation 1

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machine learning, multilayer perceptron, recurrent neural network, long short-term memory network, yield forecasting, bond market

10.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and ICMA Centre, Henley Business School
Downloads 211 (177,324)

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Precious metals; High-frequency; Intraday periodicity; Correlation; Gold; Silver; Platinum; Palladium

11.

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

Centre for Risk Research Working Papers, School of Management Paper No. CRR-05-01
Number of pages: 39 Posted: 02 Jun 2005
Frank McGroarty, Stephen Thomas and Owain Ap Gwilym
University of Southampton - Southampton Business School, University of Southampton - School of Management and Bangor Business School
Downloads 191 (194,303)
Citation 3

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High frequency data, Foreign exchange, Market microstructure, Asymmetric information, Order-driven

12.

Ultra-High-Frequency Pairs Trading in Gold ETFs

Number of pages: 31 Posted: 07 Jun 2017
Thong Dao, Frank McGroarty and Andrew Urquhart
University of Southampton - Business School, University of Southampton - Southampton Business School and ICMA Centre, Henley Business School
Downloads 180 (204,718)

Abstract:

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pairs trading, statistical arbitrage, high frequency, gold ETFs

13.

Returns Based Style Groups and Benchmarking

Posted: 17 Dec 2010
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and University of Southampton - Southampton Business School
Downloads 103 (315,528)

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Mutual funds, Style analysis, Benchmarking, Portfolio Management, Management Style, Returns Based Style, Factor Analysis, Cluster Analysis, Style investing, Comovement, Value, Growth, Investment, Asset management

14.

Combining Returns Based and Characteristics Based Style Analysis for US Diversified Equity Funds

Number of pages: 21 Posted: 12 Sep 2010 Last Revised: 04 Aug 2011
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and University of Southampton - Southampton Business School
Downloads 100 (321,827)

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Portfolio Management, Management Style, Style Analysis, Mutual Funds, Portfolio Characteristics, Characteristics Based Style, Returns Based Style, Factor Analysis, Style investing, Comovement, Value, Growth, Investment, Asset management

15.

Style Analysis for Diversified U.S. Equity Funds

Journal of Asset Management 13, 170-185 (June 2012) DOI:10.1057/jam.2012.6
Number of pages: 31 Posted: 25 May 2012
Andrew Mason, Frank McGroarty and Steve Thomas
University of Surrey - Surrey Business School, University of Southampton - Southampton Business School and City University London - Sir John Cass Business School
Downloads 98 (325,979)
Citation 1

Abstract:

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Style, Investment, Benchmark, Portfolio, Value, Factors

16.

Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis

Number of pages: 43 Posted: 21 Jun 2011 Last Revised: 04 Aug 2011
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and University of Southampton - Southampton Business School
Downloads 93 (337,061)

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Investment Style, Mutual Funds, Portfolio, Style Analysis

17.

The Relative Importance of Information, Inventory and Price Clustering for Stir Futures Pre- and Post-Emu

University of Southampton Working Paper No. CRR-05-07
Number of pages: 33 Posted: 02 Dec 2005
Frank McGroarty, Stephen Thomas and Owain Ap Gwilym
University of Southampton - Southampton Business School, University of Southampton - School of Management and Bangor Business School
Downloads 75 (383,419)

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High frequency data, Futures, Market infranstructure, Asymmetric information, Order-driven

18.

It Takes All Sorts: A Heterogeneous Agent Explanation of State-Contingent Claims Mispricing

Number of pages: 41 Posted: 26 Oct 2016
University of Southampton - Southampton Business School, University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton
Downloads 73 (389,176)
Citation 2

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Heterogeneous Agents, Mispricing, State-Contingent Claims, Favourite-Longshot Bias, Prospect Theory, Agent-Based Simulations, Sports Betting Markets

19.

Post-Earnings Price Adjustment Vary Across Market Sectors: The Role of Sentiment

Number of pages: 40 Posted: 29 May 2011
Charles Dapaah-Siakwan and Frank McGroarty
affiliation not provided to SSRN and University of Southampton - Southampton Business School
Downloads 68 (404,455)

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20.

Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags

Number of pages: 15 Posted: 23 Sep 2014 Last Revised: 24 Sep 2014
Paul Gaskell, Frank McGroarty and Thanassis Tiropanis
University of Southampton, University of Southampton - Southampton Business School and University of Southampton
Downloads 41 (507,074)

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forecasting, lead lag, Bayes theorm, state space models, finance

21.

The Impact of Transaction Costs on State-Contingent Claims Mispricing

Number of pages: 8 Posted: 30 Nov 2016
University of Southampton - Southampton Business School, University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton
Downloads 21 (620,600)

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Transaction Costs, Pricing Anomalies, Heterogeneous Agents, State-Contingent Claims, Favorite-Longshot Bias

22.

The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads

Journal of Business Finance & Accounting, Vol. 34, Issue 9-10, pp. 1635-1650, November/December 2007
Number of pages: 16 Posted: 11 Dec 2007
Frank McGroarty and Owain Ap Gwilym
University of Southampton - Southampton Business School and Bangor Business School
Downloads 10 (701,145)
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