Crowded trades, market clustering, and price instability. (arXiv:2002.03319v1...
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the...
View ArticleStochastic optimization of the Dividend strategy with reinsurance in...
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that...
View ArticleStability and asymptotic analysis of the F"ollmer-Schweizer...
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential...
View ArticleAn internal fraud model for operational losses in retail banking....
This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of...
View ArticleUK hopes to have freeports up and running next year
"Some trade experts say the net benefit of freeports is limited and they often just redistribute economic activity from elsewhere in the country."â¦
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‘Robot’ mania and language: useful or self-defeating?
âWhen I use a word,â Humpty Dumpty said in rather a scornful tone, âit means just what I choose it to mean â neither more nor less.â â Lewis Carroll, Alice In Wonderland. In Lewis...
View ArticleThe value of informational arbitrage
Abstract In the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows achieving arbitrage. If such a value...
View ArticleEvaluation Of Synergistic Effects In M&A Deals In The Construction Industry
Publication date: Available online 11 February 2020Source: Finance Research LettersAuthor(s): Varvara Nazarova, Konstantin KoshelevAbstractThe article focuses on models that can assess the efficiency...
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Root-Finding Algorithms
If only everything was as simple as the quadratic formula…Continue reading on Cantorâs Paradise »
View ArticleA Markov-switching COGARCH approach to cryptocurrency portfolio selection and...
Abstract Blockchain is a new technology slowly integrating our economy with cryptocurrencies such as Bitcoin and many more applications. Bitcoin and other versions of it (known as Altcoins) are traded...
View ArticleEconomic policy uncertainty and non-performing loans: The moderating role of...
Publication date: Available online 12 February 2020Source: Finance Research LettersAuthor(s): Helen Louri, Maria KaradimaAbstractFollowing the financial and debt crises in the euro area and the delays...
View ArticleOptimal Risk Taking under High-Water Mark Contract with Jump Risk
Publication date: Available online 12 February 2020Source: Finance Research LettersAuthor(s): Congming Mu, Jingzhou Yan, Zhian LiangAbstractThis paper studies the effects of jump risk in returns on the...
View ArticleInvestigating Solutions for the Development of a Green Bond Market: Evidence...
Publication date: Available online 12 February 2020Source: Finance Research LettersAuthor(s): Chuc Anh Tu, Ehsan Rasoulinezhad, Tapan SarkerAbstractGreen bonds are an important financial tool for...
View ArticleMoneyScience: MoneyScience's post: Call for Abstracts - Conference on Complex...
Call for Abstracts - Conference on Complex Systems, 19-23rd October, 2020 https://t.co/eO7bm4kdaA pic.twitter.com/RnI9N4z0KH â moneyscience (@moneyscience)â¦
View Articlemoneyscience on Twitter
Abierto hasta el 15 de mayo el plazo para el envÃo de colaboraciones a uno de los eventos de referencia en el estudio de los sistemas complejos.â¦
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The Hodge Conjecture
Win $1 million if you solve this problemContinue reading on Cantorâs Paradise »
View ArticleSEC Announces Nancy Sumption as Senior Advisor to the Chairman for...
The Securities and Exchange Commission today announced that Nancy Sumption will serve as Chairman Jay Clayton's Senior Advisor for Cybersecurity Policy. In this role, Ms. Sumption will coordinate...
View ArticleQuantpedia Premium Update – 14th February 2020
Two new strategies have been added. Three new related research papers have been included into existing strategy reviews. And two short free blog posts have been published during last few weeks. The...
View ArticleObscure Math
Hello all. I am a sophomore college student majoring in CS and math, hoping to move into a quant role after college. I am fairly well versed in AI, Kalman filters, basic estimators, etc. I was...
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