Hedging problems for Asian options with transactions costs....
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in...
View ArticleForecasting Bitcoin closing price series using linear regression and neural...
This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new...
View ArticleA Socioeconomic Well-Being Index. (arXiv:2001.01036v1 [econ.GN])
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of...
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How the bystander effect can explain inaction towards global warming
Not too long ago, I was preparing a lecture about group dynamics for my students at Delft University of Technology. One of the dynamics I wanted to introduce was the bystander effect. The bystander...
View ArticleSEC Investor Advisory Committee to Hold Jan. 24 Telephone Meeting
The Securities and Exchange Commission’s Investor Advisory Committee (IAC) will meet telephonically on Jan. 24 at 11:30 a.m. Eastern time. The public is invited to listen to the meeting live using...
View ArticleSEC Office of Compliance Inspections and Examinations Announces 2020...
The Securities and Exchange Commission’s Office of Compliance Inspections and Examinations (OCIE) today announced its 2020 examination priorities. OCIE publishes its examination priorities annually...
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