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US Equities: Resilient Force or Case Study in Denial?
As readers of this blog know, I don't write much about whether stocks collectively are over or under priced, other than my usual start of the year posts about markets or in response to market crisis....
View ArticleSEC Proposes to Require Proposed NMS Plan Fee Amendments to Follow Public...
The Securities and Exchange Commission today proposed to require an amendment to a national market system plan (NMS plan) that would establish or change a fee or other charge (Proposed Fee Change) to...
View ArticleGoldman Sachs Puts Stop-loss on Options
Goldman Sachs threw in the towel two years ago. Well, âa towel,â anyway. Goldman has lots of towels. But two years ago, Goldman gave up on market making at the US options exchanges. In time for the...
View ArticleA Game Theoretic Setting of Capitation Versus Fee-For-Service Payment...
We aim to determine whether a game-theoretic model between an insurer and a healthcare practice yields a predictive equilibrium that incentivizes either player to deviate from a fee-for-service to...
View ArticleHigh-dimensional statistical arbitrage with factor models and stochastic...
The present paper aims to provide a systematic study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining explicit closed-form optimal...
View ArticleA New Set of Financial Instruments. (arXiv:1612.00828v2 [q-fin.PR] UPDATED)
In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this...
View ArticleNoise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case....
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We derive (1) an...
View ArticleLibra: Fair Order-Matching for Electronic Financial Exchanges....
While historically, economists have been primarily occupied with analyzing the behaviour of the markets, electronic trading gave rise to a new class of unprecedented problems associated with market...
View ArticleIsogeometric analysis in option pricing. (arXiv:1910.00258v1 [q-fin.CP])
Isogeometric analysis is a recently developed computational approach that integrates finite element analysis directly into design described by non-uniform rational B-splines (NURBS). In this paper we...
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Taylor’s Theorem
Approximating functions near points. It’s cooler than it sounds, trust me.Continue reading on Cantorâs Paradise »
View ArticleThree Tips for World Investor Week 2019: Investor Bulletin
The SECâs Office of Investor Education and Advocacy, the Commodity Futures Trading Commission (CFTC), the North American Securities Administrators Association (NASAA), and the Financial Industry...
View ArticleSEC Obtains Final Judgments Against Lek Securities and CEO in Layering,...
On October 1, 2019, a federal court judge entered final judgments against New York-based brokerage firm Lek Securities Corp. and Chief Executive Officer Sam Lek, who were charged by the Securities and...
View ArticleBessel-like birth-death process. (arXiv:1904.13064v2 [physics.soc-ph] UPDATED)
We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the...
View ArticleOptimal Execution Strategy Under Price and Volume Uncertainty....
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price...
View ArticleProxyeconomics, the inevitable corruption of proxy-based competition....
When society maintains a competitive system to promote an abstract goal, competition by necessity relies on imperfect proxy measures. For instance profit is used to measure value to consumers, patient...
View ArticleA nonparametric copula approach to conditional Value-at-Risk....
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market...
View ArticleOn a robust risk measurement approach for capital determination errors...
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of...
View ArticleCapturing the power options smile by an additive two-factor model for...
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian L'evy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We...
View ArticleStationarity of the detrended time series of S&P500. (arXiv:1910.01034v1...
Our study presents the analysis of stock market data of S&P500 before and after been detrended. The analysis is based on two types of returns, simple return and log-return respectively. Both of...
View ArticleStability of Equilibrium Asset Pricing Models: A Necessary and Sufficient...
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several...
View ArticleOn the Concavity of Expected Shortfall. (arXiv:1910.00640v1 [q-fin.RM])
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater...
View ArticleJP Morgan has created an index to track the effect of Trump's tweets on...
JP Morgan has created an index to track the effect of Trumpâs tweets on financial markets: âVolfefe indexâ - https://t.co/NQvBal97QV â moneyscienceâ¦
View ArticleA Decades-Old Computer Science Puzzle Was Solved in Two Pages
With a stunningly simple proof, a researcher has finally cracked the sensitivity conjecture, "one of the most frustrating and embarrassing open problems" inâ¦
View ArticleCryptAssets: type
#Bitcoin News and Resources at CryptAssets https://t.co/g8xTwcLBdv #BTC #Blockchain â moneyscience (@moneyscience) September 16, 2019
View Articlehttps://t.co/WyZINvJ7QH
It's back - Luigi Ballabio's Introduction to #QuantLib Development Course. Intensive 3-day Training in London. Dec 2-4th. Group Discounts are Available. Furtherâ¦
View ArticleThe mystery of the disappearing 'Cryptoqueen'
The mystery of the disappearing 'Cryptoqueen' https://t.co/CXuo1fw2sW â CryptAssets (@CryptAssets) September 26, 2019
View Articlehttps://t.co/9FjGLn9tAL
It took a while but we finally got there! MoneyScience is delighted to announce our brand new, mobile friendly website at https://t.co/9FjGLn9tAL. Check itâ¦
View ArticleCardano’s Shelly Goes Live after a Successful Test Run in London...
#Cardano, the distributed ledger technology project, has moved a step towards its complete decentralization, after the launch of its long-awaited Shellyâ¦
View ArticleKiffmeister's Fintech Daily Digest 10/01/2019
Kiffmeister's Fintech Daily Digest 10/01/2019 https://t.co/K3jeBJeWNO â John Kiff (@Kiffmeister) October 1, 2019
View ArticleCentral Banks Don’t Need Their Own Digital Currencies
This is a pure âstraw manâ CBDC take down. It assumes an operating model in which users hold accounts directly at the CB that does all of the administrativeâ¦
View ArticleResearchers develop low-cost, energy efficient alternative to Bitcoin
Researchers from an institution in Lausanne, Switzerland, have invented a nearly zero-energy alternative to the cryptocurrency Bitcoin.â¦
View ArticleCall for Papers: Corporate Failures: Declines, Collapses, and Scandals
Conference date 29 Feb 2020 Location Florida Atlantic University, Boca Raton, Florida, USA Guest Editors Rebel A. Cole College of Business, Florida Atlantic University (US) Sofia Johan College of...
View ArticleDepth, tightness and resiliency as market liquidity dimensions: evidence from...
International Journal of Computational Economics and Econometrics, Volume 9, Issue 4, Page 308-326, January 2019.
View ArticleThe public sector wage premium puzzle
International Journal of Computational Economics and Econometrics, Volume 9, Issue 4, Page 287-307, January 2019.
View ArticleReconsidering the relationship between foreign direct investment and growth
International Journal of Computational Economics and Econometrics, Volume 9, Issue 4, Page 240-267, January 2019.
View ArticleCausality among CO2 emissions, energy consumption and economic growth in Italy
International Journal of Computational Economics and Econometrics, Volume 9, Issue 4, Page 268-286, January 2019.
View ArticleISSUE INFORMATION BM
The Journal of Finance, Volume 74, Issue 5, Page 2700-2701, October 2019.
View ArticleISSUE INFORMATION FM
The Journal of Finance, Volume 74, Issue 5, Page 2145-2147, October 2019.
View ArticleANNOUNCEMENTS
The Journal of Finance, Volume 74, Issue 5, Page 2699-2699, October 2019.
View ArticleRalph S. J. Koijen
The Journal of Finance, Volume 74, Issue 5, Page 2149-2151, October 2019.
View ArticleMoneyScience: Home Page
We're rather pleased to announce that the new, mobile friendly MoneyScience website is now live! https://t.co/9FjGLn9tAL #quant #Finance #research #news #eventsâ¦
View ArticleHow Should You Discount Your Backtest PnL?
Inâsample overfitting is a drawback of any backtestâbased investment strategy. It is thus of paramount importance to have an understanding of why and how the inâsample overfitting occurs. In...
View ArticleExplicit Pricing of Quadratic Derivatives Under SABR
Many deal types, such as constant maturity swaps, caps, and floors, contain convexity corrections. Valuing these convexity corrections eventually boils down to evaluating quadratic swaps or...
View ArticleNational Football League 2018 Season
Belichick used superior coaching to help New England win the Super Bowl again.
View ArticleSmell the Glove
In which Quantitative Finance introduces Paul Wilmott to Machine Learningâ¦and why not?
View ArticleThe Journey from Data to Intelligence
Examining the promises and challenges that the new era of dataâdriven decision making brings to the financial industry.
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