James McCulloch

University of Technology, Sydney

15 Broadway, Ultimo

Sydney 2007, New South Wales

Australia

Macquarie University

North Ryde

Sydney, New South Wales 2109

Australia

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 26,260

SSRN RANKINGS

Top 26,260

in Total Papers Downloads

1,335

CITATIONS
Rank 40,114

SSRN RANKINGS

Top 40,114

in Total Papers Citations

4

Scholarly Papers (6)

1.

Mean Variance Optimal VWAP Trading

Number of pages: 31 Posted: 07 Apr 2011 Last Revised: 16 Apr 2012
James McCulloch and Vlad Kazakov
University of Technology, Sydney and University of Technology Sydney
Downloads 547 (30,018)

Abstract:

Volume Weighted Average Price, VWAP, Mean Variance Optimal, Algorithmic Trading, Transaction Costs

2.

Relative Volume as a Doubly Stochastic Binomial Point Process

Number of pages: 35 Posted: 19 Jan 2005
James McCulloch
University of Technology, Sydney
Downloads 203 (107,132)
Citation 3

Abstract:

Binomial, Point Process, Doubly Stochastic, Relative Volume, Cox Process, Random Probability Measure, VWAP, Volume Weighted Average Pricing, NYSE, New York Stock Exchange

3.

Fractal Market Time

Number of pages: 41 Posted: 08 Apr 2011 Last Revised: 16 Apr 2012
James McCulloch
University of Technology, Sydney
Downloads 185 (119,121)

Abstract:

Time Deformation, Long Range Dependent, Stochastic Clock, Fractal Activity Time, New York Stock Exchange, Doubly Stochastic Binomial Point Process

4.

Optimal Price Trading and Mean Variance Hedging

Number of pages: 16 Posted: 20 Apr 2011 Last Revised: 26 May 2011
James McCulloch
University of Technology, Sydney
Downloads 90 (219,699)
Citation 1

Abstract:

Mean-Variance Optimal Hedging, Minimum Variance Hedging, Optimal Price Trading, Trade Separation, Variance Optimal Martingale Measure

5.

A Model of True Spreads on Limit Order Markets

Number of pages: 28 Posted: 21 Apr 2011
James McCulloch
University of Technology, Sydney
Downloads 77 (239,353)

Abstract:

True Spread, Censored Spread, Observed Spread, Tick Size, Exchange Policy

Industry Concentration, Excess Returns and Innovation in Australia

Accounting and Finance, Forthcoming
Number of pages: 31 Posted: 06 Oct 2012 Last Revised: 22 Apr 2014
David R. Gallagher, Katja Ignatieva and James McCulloch
Macquarie Graduate School of Management, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 74 (258,845)

Abstract:

Industry concentration, competition, stock return

Industry Concentration, Excess Returns and Innovation in Australia

Accounting & Finance, Vol. 55, Issue 2, pp. 443-466, 2015
Number of pages: 24 Posted: 10 Jun 2015
David R. Gallagher, Katja Ignatieva and James McCulloch
Macquarie Graduate School of Management, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 1 (549,951)

Abstract:

Competition, Industry concentration, Innovation, Schumpeter