Systemic liquidity contagion in the European interbank market....
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress...
View ArticleOn the positivity of local mild solutions to stochastic evolution equations....
We provide sufficient conditions on the coefficients of a stochastic evolution equation on a Hilbert space of functions driven by a cylindrical Wiener process ensuring that its mild solution is...
View ArticleOpen Markets. (arXiv:1912.13110v1 [q-fin.MF])
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the...
View ArticleA Consistently Oriented Basis for Eigenanalysis. (arXiv:1912.12983v1 [math.NA])
Repeated application of machine-learning, eigen-centric methods to an evolving dataset reveals that eigenvectors calculated by well-established computer implementations are not stable along an evolving...
View ArticleEffect of Franchised Business models on Fast Food Company Stock Prices in...
At the initial stages of this research, the assumption was that the franchised businesses perhaps should not be affected much by recession as there are multiple cash pools available inherent to the...
View ArticlePriority to unemployed immigrants? A causal machine learning evaluation of...
We investigate heterogenous employment effects of Flemish training programmes. Based on administrative individual data, we analyse programme effects at various aggregation levels using Modified Causal...
View ArticleApproximating intractable short ratemodel distribution with neural network....
We propose an algorithm which predicts each subsequent time step relative to the previous time step of intractable short rate model (when adjusted for drift and overall distribution of previous...
View ArticleCredit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator....
We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approximations to the...
View ArticleThe Generalisation of the DMCA Coefficient to Serve Distinguishing Between...
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In...
View ArticleFocused Bayesian Prediction. (arXiv:1912.12571v1 [stat.ME])
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of...
View ArticlePortfolio Optimization under Correlation Constraint. (arXiv:1912.12521v1...
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a...
View ArticlePositivity of mild solution to stochastic evolution equations with an...
We prove a maximum principle for mild solutions to stochastic evolution equations with (locally) Lipschitz coefficients and Wiener noise on weighted $L^2$ spaces. As an application, we provide...
View ArticleConditional Correlations and Principal Regression Analysis for Futures....
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk...
View ArticleReading Macroeconomics From the Yield Curve: The Turkish Case....
This paper aims to analyze the relationship between yield curve -being a line of the interests in various maturities at a given time- and GDP growth in Turkey. The paper focuses on analyzing the yield...
View ArticleTransforming public pensions: A mixed scheme with a credit granted by the...
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious concerns for the...
View ArticleNational culture and housing credit
Publication date: Available online 31 December 2019Source: Journal of Empirical FinanceAuthor(s): Chrysovalantis Gaganis, Iftekhar Hasan, Fotios PasiourasAbstractUsing a sample of around 30 countries...
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The Waiting Paradox: An Intro to Probability Distributions
How much longer do I have to wait for my bus?Continue reading on Cantorâs Paradise »
View ArticleCan Network Structure Predict Cross-Sectional Stock Returns? Evidence from...
Publication date: Available online 31 December 2019Source: Finance Research LettersAuthor(s): Xi Chen, Wuyue Shangguan, Yanchu Liu, Shichao WangAbstractThis study represents the Chinese stock market as...
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