Behavioral and Game-Theoretic Security Investments in Interdependent Systems...
We consider a system consisting of multiple interdependent assets, and a set of defenders, each responsible for securing a subset of the assets against an attacker. The interdependencies between the...
View ArticleDynamic Interaction between Shared Autonomous Vehicles and Public Transit: A...
The emergence of autonomous vehicles (AVs) is anticipated to influence the public transportation (PT) system. Many possible relationships between AV and PT are proposed depending on the policy and...
View ArticleSemimartingale price systems in models with transaction costs beyond...
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation,...
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How our attachment style affects our job search behaviour
In todayâs labour market in the Netherlands people experience more job security than ever before. It is however hard to get a permanent contract, and people have to apply more often during their...
View ArticleCollateral affects return risk: evidence from the euro bond market
Abstract Covered bonds and senior bonds are prominent securities in the euro bond market. Senior bonds are unsecured, while covered bonds are securedâbacked by collateral. Our results show that the...
View ArticleHedge Fund Investors Respond to the Turning of the Business Cycle
It is reasonable to expect that a diversified hedge fund portfolio will make more modest returns in 2020 than it did in 2019, according to Agecroft Partners, which has done its usual January...
View ArticleElectricity prices and tariffs to keep everyone happy: a framework for...
Some consumers, such as householders, are unwilling to face volatile electricity prices, and perceive as unfair price differentiations based on location. For these reasons, nodal prices in distribution...
View ArticleExponential moving average versus moving exponential average....
In this note we discuss the mathematical tools to define trend indicators which are used to describe market trends. We explain the relation between averages and moving averages on the one hand and the...
View ArticleEconophysics Through Computation. (arXiv:2001.04188v1 [physics.soc-ph])
We introduce here very briefly, through some selective choices of problems and through the sample computer simulation programs (following the request of the editor for this invited review in the...
View ArticleZooming In on Equity Factor Crowding. (arXiv:2001.04185v1 [q-fin.TR])
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of emph{crowding} on...
View ArticleReconstruction of Interbank Network using Ridge Entropy Maximization Model....
We develop a network reconstruction model based on the entropy maximization considering the sparsity of network. Here the reconstruction is to estimate network's adjacency matrix from node's local...
View ArticleFood Supply Chain and Business Model Innovation. (arXiv:2001.03982v1 [econ.GN])
This paper investigates the contribution of business model innovations in improvement of food supply chains. Through a systematic literature review, the notable business model innovations in the food...
View ArticlePricing Exchange Options under Stochastic Correlation. (arXiv:2001.03967v1...
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor...
View ArticleOptimal Dividends Paid in a Foreign Currency for a L'evy Insurance Risk...
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows...
View ArticleCommuting Service Platform: Concept and Analysis. (arXiv:2001.03646v1 [econ.GN])
We propose and investigate the concept of commuting service platforms (CSP) that leverage emerging mobility services to provide commuting services and connect directly commuters (employees) and their...
View ArticleTop features of Pandas 1.0
Top features of Pandas 1.0 by Tom Waterman https://t.co/uWlXICaukI â Towards Data Science (@TDataScience) January 12, 2020
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Time off social media may leave you less informed but happier
Within the span of a decade, social media has woven its way deep into our lives. Many use it extensively – the average user spends more than two hours a day on social media – to connect and...
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A Crypto Safe Haven against Bitcoin
Publication date: Available online 13 January 2020Source: Finance Research LettersAuthor(s): Dirk G. Baur, Lai T. HoangAbstractThe design of Bitcoin is closely related to gold which has led to the idea...
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