Evidence for the globalisation types model integrating different trade theories
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 70-91, January 2020.
View ArticleAn analysis of long-run relationship between ICT sectors and economic growth:...
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 48-69, January 2020.
View ArticleOvervaluation in a non-optimal currency area
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 33-47, January 2020.
View ArticleModelling agricultural risk in a large scale positive mathematical...
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 2-32, January 2020.
View ArticleLook Out for Coronavirus-Related Investment Scams - Investor Alert
The SECâs Office of Investor Education and Advocacy is issuing this Investor Alert to warn investors about investment frauds involving claims that a companyâs products or services will be used to...
View ArticleThe Case for ESG as a Performance Additive
Sustainability-sensitive investing has a net positive impact on performance, according to a paper released by Robeco. According to the paper written by Chris Berkouwer, a Robeco equity analyst, ESG was...
View ArticleNetwork effects in default clustering for large systems. (arXiv:1812.07645v3...
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prove a law of large...
View ArticleCan one hear the size of a target zone?. (arXiv:2002.00948v1 [econ.GN])
We develop a target zone model with realistic features such as finite exit time, non-stationary dynamics and heavy tails. Our rigorous characterization of risk corresponds to the dynamic counterpart of...
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The number of older workers is increasing fast, yet they face growing age...
The days of collecting your carriage clock and waving goodbye to your workmates of 45 years are over, particularly as more people, whether through choice or necessity, are now working into their late...
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 ArticleTail-risk spillovers in cryptocurrency markets
Publication date: Available online 4 February 2020Source: Finance Research LettersAuthor(s): Qiuhua Xu, Yixuan Zhanga, Ziyang ZhangAbstractThis paper analyzes the tail-risk interdependence among 23...
View ArticleWilliam T. Ziemba's Contributions to Portfolio Theory and Practice
Half a century flies by when Bill applies himself to Markowitz's gift that keeps on givingâ¦
View ArticleComputation Graphs for AAD and Machine Learning Part II: Adjoint...
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of...
View ArticleBridging the Orthodox/Behaviorist Divide
Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are...
View ArticleThe Swiss Army Knife of Options Analytics
Finally, a solution to the most vexing problems of options pricing and fitting.
View ArticleConvexity Without Replication
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic...
View ArticleElasticity of Variance of Variance
An empirical twoâhorse race between the Heston and SABR for the period around the 2008 financial crisis.
View ArticleThe Many�Worlds Interpretation of Risk Neutrality
There are many riskâneutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the BlackâScholes model each thought...
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