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The one-sentence proof in multiple sentences
Fermat’s theorem on sums of two squares had famously been proven in just one single sentence.Continue reading on Cantorâs Paradise »
View ArticleIan Fraser - Master Criminals of the Universe
Enraging, but essential reading. Please read my review of 'Sabotage: The Business of Finance', by Anastasia Nesvetailova and Ronen Palan. @AllenLaneBooksâ¦
View ArticleCommunication and financial supervision: How does disclosure affect market...
Publication date: Available online 3 February 2020Source: Journal of Empirical FinanceAuthor(s): Fausto Pacicco, Luigi Vena, Andrea VenegoniAbstractThe impact of authoritiesâ information disclosure...
View ArticleExtremal risk management: expected shortfall value verification using the...
In this paper, we refer to the axiomatic theory of risk and investigate the problem of formal verification of the expected shortfall (ES) model based on a sample ES. Recognizing the infeasibility of...
View ArticleSecond-order Monte Carlo sensitivities in linear or constant time
This paper considers the problem of efficiently computing the full matrix of second-order sensitivities of a Monte Carlo price when the number of inputs is large.
View ArticleHow Skilled are Security Analysts?
ABSTRACT The majority of security analysts are identified as skilled when the crossâsection of analyst performance is modeled as a mixture of multiple skill distributions. Analysts exhibit...
View ArticleTaxation and Valuation. (arXiv:cs/0012013v21 [q-fin.GN] CROSS LISTED)
The greatest harm from highway robbers lies not in seized wallets but in inhibited travel. Similarly, incentives for tax-reducing strategies put much sand in the wheels of the economy. Demands to...
View ArticleA Note on Long-Term Bayesian Modeling of Standard & Poor Composite Index...
This is a short note, which contains a simple dynamic factor model: Total (including dividends) real (inflation-adjusted) annual returns of Standard & Poor Composite Index is regressed upon...
View ArticleOptimal exercise of American options under stock pinning. (arXiv:1903.11686v3...
We address the problem of optimally exercising American options based on the assumption that the underlying stock's price follows a Brownian bridge whose final value coincides with the strike price. In...
View ArticleElusive Longer-Run Impacts of Head Start: Replications Within and Across...
Using an additional decade of CNLSY data, this study replicated and extended Deming's (2009) evaluation of Head Start's life-cycle skill formation impacts in three ways. Extending the measurement...
View ArticleCapturing Model Risk and Rating Momentum in the Estimation of Probabilities...
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data...
View ArticleDiversity and Sparsity: A New Perspective on Index Tracking....
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance...
View ArticleHigh Dimensional Estimation, Basis Assets, and Adaptive Multi-Factor Models....
The paper proposes a new high-dimensional algorithm, the Groupwise Interpretable Basis Selection (GIBS) algorithm to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the...
View ArticleBehavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle,...
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset...
View ArticleRandomized optimal stopping algorithms and their convergence analysis....
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the...
View ArticleNAPLES;Mining the lead-lag Relationship from Non-synchronous and...
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are...
View ArticleEfficient representation of supply and demand curves on day-ahead electricity...
Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the information about electricity...
View ArticleOptimal portfolio choice with path dependent labor income: the infinite...
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This...
View ArticleEstimating the Welfare Effects of School Vouchers. (arXiv:2002.00103v1...
We analyze the welfare effects of voucher provision in the DC Opportunity Scholarship Program (OSP), a school voucher program in Washington, DC, that randomly allocated vouchers to students. To do so,...
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