Investment Management: Time for New Leaders and Exiting Comfort Zones
Disruption is the trend of the moment in many industries and the investment world is no exception. Deloitte Insights has just posted an article that takes a comprehensive look at the investment world...
View ArticleParticulate Air Pollution, Birth Outcomes, and Infant Mortality: Evidence...
This study investigates the impacts of the Automobile NOx Law of 1992 on ambient air pollutants and fetal and infant health outcomes in Japan. Using panel data taken from more than 1,500 monitoring...
View ArticleRemarks on stochastic automatic adjoint differentiation and financial models...
In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form $G=frac{1}{2}sum_1^m (Ey_i-C_i)^2$, which often appear in the calibration of stochastic models. { We...
View ArticleFinancial Contagion in a Generalized Stochastic Block Model....
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of...
View ArticleEquilibria and Systemic Risk in Saturated Networks. (arXiv:1912.04815v1...
We undertake a fundamental study of network equilibria modeled as solutions of fixed point of monotone linear functions with saturation nonlinearities. The considered model extends one originally...
View ArticleFiltration shrinkage, the structure of deflators, and failure of market...
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer...
View ArticleMarket Price of Trading Liquidity Risk and Market Depth. (arXiv:1912.04565v1...
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous...
View Article151 Estrategias de Trading (151 Trading Strategies). (arXiv:1912.04492v1...
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This...
View ArticleAdaptive Financial Fraud Detection in Imbalanced Data with Time-Varying...
This paper discusses financial fraud detection in imbalanced dataset using homogeneous and non-homogeneous Poisson processes. The probability of predicting fraud on the financial transaction is...
View ArticleMoneyScience: John Kiff's post: Kiffmeister's Fintech Daily Digest 12/10/2019
Kiffmeister's Fintech Daily Digest 12/10/2019 https://t.co/M1Pu3ZayB2 â moneyscience (@moneyscience) December 11, 2019
View ArticleA blockchain firm advised by Nobel laureate Myron Scholes just launched a...
Saga is launching a virtual currency which pegs its value to the IMFâs Special Drawing Rights (SDR) currency basket. But the firm doesnât plan to launch itsâ¦
View ArticleDetecting and quantifying causal associations in large nonlinear time series...
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View ArticleLIBOR transition: The FCA is thinking about conduct risk – are you? -...
LIBOR transition: The FCA is thinking about conduct risk â are you? https://t.co/E71lre03Sa #LIBOR #IBOR â Logical Construct (@logicalcnstrct) December 11,â¦
View ArticleMoneyScience: The Brexit Short: How Hedge Funds Used Private Polls to Make...
ICYMI - The Brexit Short: How Hedge Funds Used Private Polls to Make Millions - https://t.co/e7It31YNic â moneyscience (@moneyscience) December 11, 2019
View ArticleIFTTT / Incompatible Browser
quantlib.js v0.3.1 released this release fixed 4 examples, experimental/credit code cleanup, examples added to test report, etc... Current status: specs +â¦
View ArticleSEC Charges Founder, Digital-Asset Issuer With Fraudulent ICO
The Securities and Exchange Commission today charged a digital-asset entrepreneur and his company with defrauding investors in an initial coin offering (ICO) that raised more than $42 million from...
View ArticleNegative Swap Spreads and Limited Arbitrage
AbstractSince October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the...
View ArticleLiquidity Provision Contracts and Market Quality: Evidence from the New York...
AbstractWe exploit a discontinuity in the New York Stock Exchange Designated Market Maker (DMM) contract to identify causal effects of DMM participation on equilibrium market outcomes. We document that...
View ArticleSocioeconomic Status and Macroeconomic Expectations
AbstractWe show that individualsâ macroeconomic expectations are influenced by their socioeconomic status (SES). People with higher income or higher education are more optimistic about future...
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