Frank McGroarty

University of Southampton - Southampton Business School

Professor of Computational Finance and Investment Analytics

Southampton, SO17 1BJ

United Kingdom

  • University of Southampton - Southampton Business School

SCHOLARLY PAPERS

23

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SSRN CITATIONS
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Top 34,387

in Total Papers Citations

20

CROSSREF CITATIONS

7

Scholarly Papers (23)

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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 1,827 (16,224)

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

2.

Artificial Neural Networks in Fixed Income Markets for Yield Curve Forecasting

Number of pages: 13 Posted: 23 Mar 2018
Manuel Nunes, Enrico Gerding, Frank McGroarty and Mahesan Niranjan
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 1,089 (35,106)
Citation 3

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

3.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
Frank McGroarty, Emmanouil Platanakis, Athanasios Sakkas and Andrew Urquhart
University of Southampton - Southampton Business School, University of Bath - School of Management, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 1,081 (35,484)

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

4.

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

Number of pages: 23 Posted: 29 Aug 2015
Andrew Urquhart, Jonathan A. Batten, Brian M. Lucey, Frank McGroarty and Maurice Peat
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 979 (40,871)

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Gold, Silver, Technical analysis, Trading, High frequency

5.

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 928 (44,020)

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

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 527 (92,086)
Citation 4

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

7.

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 455 (109,894)
Citation 4

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

8.

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

Number of pages: 13 Posted: 12 Jul 2019
Manuel Nunes, Enrico Gerding, Frank McGroarty and Mahesan Niranjan
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 433 (116,434)
Citation 1

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

9.

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 411 (123,747)
Citation 9

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

10.

Ultra-High-Frequency Pairs Trading in Gold ETFs

Number of pages: 31 Posted: 07 Jun 2017
Thong Dao, Frank McGroarty and Andrew Urquhart
Nottingham Trent University, University of Southampton - Southampton Business School and ICMA Centre, Henley Business School
Downloads 348 (148,986)

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pairs trading, statistical arbitrage, high frequency, gold ETFs

11.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
Jonathan A. Batten, Brian M. Lucey, Frank McGroarty, Maurice Peat and Andrew Urquhart
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 240 (218,291)

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

12.

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 211 (246,693)
Citation 3

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

13.

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 - The Business School and University of Southampton - Southampton Business School
Downloads 159 (316,456)

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Investment Style, Mutual Funds, Portfolio, Style Analysis

14.

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 - The Business School and University of Southampton - Southampton Business School
Downloads 125 (382,685)

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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

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 - The Business School
Downloads 124 (384,995)
Citation 1

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Style, Investment, Benchmark, Portfolio, Value, Factors

16.

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 - The Business School and University of Southampton - Southampton Business School
Downloads 115 (406,867)

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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

17.

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

Number of pages: 41 Posted: 26 Oct 2016
Valerio Restocchi, Frank McGroarty, Enrico Gerding and Johnnie E.V. Johnson
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 96 (461,862)
Citation 2

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

18.

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 90 (481,263)

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

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 81 (513,106)

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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 55 (628,986)

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

21.

Industry Costs of Equity: Evidence from Frontier Markets

Number of pages: 50 Posted: 05 Sep 2022
Alya Hourani, Sercan Demiralay, Frank McGroarty and Yan Wang
affiliation not provided to SSRN, Nottingham Trent University - Department of Accounting and Finance, University of Southampton - Southampton Business School and Nottingham Business School
Downloads 39 (725,786)

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asset pricing, Frontier markets, cost of equity, industry, Fama and French

22.

The Impact of Transaction Costs on State-Contingent Claims Mispricing

Number of pages: 8 Posted: 30 Nov 2016
Valerio Restocchi, Frank McGroarty, Enrico Gerding and Johnnie E.V. Johnson
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 33 (769,216)

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

23.

Where and About What? Price Relevant Narratives Depend on Topic and Media Type

Economics Letters, Vol. 213, No. 110363, 2022
Number of pages: 11 Posted: 11 Jul 2022
Sha Liu, Paul Gaskell and Frank McGroarty
Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of Southampton and University of Southampton - Southampton Business School
Downloads 26 (834,219)

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negative tone, traditional media, social media, textual analysis, investor sentiment