Clik here to view.
The growth of environmental, social and corporate governance in investing
The wealth management industry is continuously changing. As we have seen over the last few years, active management is falling out of fashion and has become less âfashionableâ with asset...
View ArticleMoneyScience: News item - Brexit: mourning the economic and personal damage
Brexit: mourning the economic and personal damage https://t.co/AwcHXGGvJW My blog post on @moneyscience â John Van Reenen (@johnvanreenen) February 25, 2020
View ArticleScoring models for roboadvisory platforms: a network approach
In this paper, the authors show how to exploit the available data to build portfolios that better fit the risk profiles of investors. This is made possible, on the one hand, by constructing groups of...
View ArticleMapping bank securities across euro area sectors: comparing funding and...
In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach.
View ArticleInterdependencies in the euro area derivatives clearing network: a multilayer...
This paper provides insight into how the collected data pursuant to the EMIR can be used to shed light on the complex network of interrelations underlying the financial markets.
View ArticleShould we invest more in multinational companies when domestic markets decline?
This paper uses a twenty-year data set of all publicly listed US firms from 1995 to 2014 to create a unique measure of both the extent and the scope of firm-level multinationality.
View ArticleHedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
View ArticleAn internal default risk model: simulation of default times and recovery...
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
View ArticleMoneyScience: News item - Brexit: mourning the economic and personal damage
Brexit: mourning the economic and personal damage https://t.co/AwcHXGGvJW My blog post on @moneyscience â John Van Reenen (@johnvanreenen) February 25, 2020
View ArticleMoneyScience: News item - Brexit: mourning the economic and personal damage
Brexit: mourning the economic and personal damage https://t.co/AwcHXGGvJW My blog post on @moneyscience â John Van Reenen (@johnvanreenen) February 25, 2020
View ArticleCascading Losses in Reinsurance Networks. (arXiv:1805.12222v4 [q-fin.RM]...
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of...
View ArticleFirms Default Prediction with Machine Learning. (arXiv:2002.11705v1 [q-fin.RM])
Academics and practitioners have studied over the years models for predicting firms bankruptcy, using statistical and machine-learning approaches. An earlier sign that a company has financial...
View ArticleCorrupted Multidimensional Binary Search: Learning in the Presence of...
Standard game-theoretic formulations for settings like contextual pricing and security games assume that agents act in accordance with a specific behavioral model. In practice however, some agents may...
View ArticleEconometric issues with Laubach and Williams' estimates of the natural rate...
Holston, Laubach and Williams' (2017) estimates of the natural rate of interest are driven by the downward trending behaviour of `other factor' $z_{t}$. I show that their implementation of Stock and...
View ArticleUsing Reinforcement Learning in the Algorithmic Trading Problem....
The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted into a game with a Markov...
View ArticleFast Lower and Upper Estimates for the Price of Constrained Multiple Exercise...
This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class are swing options with...
View ArticleSHIFT: A Highly Realistic Financial Market Simulation Platform....
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or...
View ArticleMoneyScience: News item - Brexit: mourning the economic and personal damage
Brexit: mourning the economic and personal damage https://t.co/AwcHXGGvJW My blog post on @moneyscience â John Van Reenen (@johnvanreenen) February 25, 2020
View ArticleClik here to view.
No longer a currency, is bitcoin the digital equivalent of gold?
Disclaimer: Despite my long-standing professional interest, Iâve invested in bitcoin only briefly. Though Iâve earned a 30% return in just three weeks when I did so, I soon realised this...
View ArticleMoneyScience: News item - Brexit: mourning the economic and personal damage
Brexit: mourning the economic and personal damage https://t.co/AwcHXGGvJW My blog post on @moneyscience â John Van Reenen (@johnvanreenen) February 25, 2020
View Article
