Vincent Bogousslavsky

Boston College - Department of Finance

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

  • Boston College - Department of Finance

SCHOLARLY PAPERS

9

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Top 9,970

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125

Scholarly Papers (9)

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1.

Who Trades at the Close? Implications for Price Discovery and Liquidity

Number of pages: 70 Posted: 25 Nov 2019 Last Revised: 15 May 2023
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 3,403 (7,503)
Citation 7

Abstract:

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Closing auction, passive investing, price pressure, liquidity

2.

Informed Trading Intensity

Journal of Finance, Forthcoming
Number of pages: 93 Posted: 15 Jun 2021 Last Revised: 11 Jul 2023
Vincent Bogousslavsky, Vyacheslav Fos and Dmitriy Muravyev
Boston College - Department of Finance, Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 3,248 (8,050)
Citation 22

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Informed trading, machine learning, adverse selection, stock returns, intraday data

3.

The Cross-Section of Intraday and Overnight Returns

Number of pages: 49 Posted: 16 Nov 2016 Last Revised: 16 Feb 2021
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 2,797 (10,172)
Citation 58

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Intraday Returns, Overnight Returns, Asset Pricing Anomalies, Mispricing

4.

What Drives Momentum and Reversal? Evidence from Day and Night Signals

Number of pages: 71 Posted: 29 Apr 2022 Last Revised: 27 Sep 2024
Yashar H. Barardehi, Vincent Bogousslavsky and Dmitriy Muravyev
Chapman University - The George L. Argyros College of Business and Economics, Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,327 (13,683)
Citation 2

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Momentum, Reversal, Intraday, Overnight, Underreaction

5.

Liquidity, Volume, and Order Imbalance Volatility

Journal of Finance, 2023, 78(4): 2189-2232, Swiss Finance Institute Research Paper No. 19-69
Number of pages: 88 Posted: 07 Mar 2019 Last Revised: 18 Jul 2023
Vincent Bogousslavsky and Pierre Collin-Dufresne
Boston College - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 2,228 (14,654)
Citation 4

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liquidity, volume, volatility, order imbalance, inventory risk, adverse selection

6.

An Anatomy of Retail Option Trading

Number of pages: 55 Posted: 25 Jan 2024 Last Revised: 09 Feb 2025
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,039 (16,975)
Citation 3

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retail trading, options, investor behaviour, trading motives

7.

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Journal of Finance, Volume 71, Issue 6, December 2016, Pages 2967-3006
Number of pages: 45 Posted: 11 Aug 2013 Last Revised: 09 Mar 2017
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 1,349 (31,807)
Citation 23

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infrequent rebalancing, return autocorrelation, return seasonality, dynamic equilibrium

8.

Seasonalities in Anomalies

Number of pages: 39 Posted: 03 Feb 2015 Last Revised: 08 Jul 2015
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 728 (75,367)
Citation 5

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return seasonality, asset pricing anomalies, January effect

9.

Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

Swiss Finance Institute Research Paper No. 18-41
Number of pages: 62 Posted: 03 Jun 2015 Last Revised: 29 Jan 2020
Vincent Bogousslavsky, Pierre Collin-Dufresne and Mehmet Saglam
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 637 (89,375)
Citation 1

Abstract:

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Liquidity, Algorithmic Trading, Institutional Trading Costs, Slow-Moving Capital, Market Making