Publication date: Available online 12 March 2020Source: Finance Research LettersAuthor(s): Adam Zaremba, Zaghum Umar, Mateusz Mikutowski

Mar 12 2020 18:01

The Data Exchange Podcast: Alejandro Saucedo on explainability, MLOps, adversarial robustness, and privacy.Subscribe: iTunes, Android, Spotify, Stitcher,&n...

Mar 12 2020 18:01

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Mar 12 2020 12:02

The great American baseball sage, Yogi Berra, is thought to have once remarked: ‘It’s tough to make predictions, especially about the future’. That is certainly true, b...

Mar 12 2020 12:01

SREC markets are a market-based system designed to incentivize solar energy generation. A regulatory body imposes a lower bound on the amount of energy each regulated firm mus...

Mar 12 2020 12:01

Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer v...

Mar 12 2020 12:01

We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix...

Mar 12 2020 12:01

In this paper, I introduce a new emissions trading system (ETS) design to address the problems with existing ETSs and carbon taxes. First, existing ETS designs inhibit emissio...

Mar 12 2020 12:01

The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likel...

Mar 12 2020 12:01

This paper is focused on American option pricing in the subdiffusive Black Scholes model. Two methods for valuing American options in the considered model are proposed. The we...

Mar 12 2020 12:01

Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify ...

Mar 12 2020 12:01

In this paper, we propose deep learning algorithms for ranking response surfaces, with applications to optimal stopping problems in financial mathematics. The problem of ranki...

Mar 12 2020 12:01

Abstract In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semistatic portfolios should more properly be thou...

Mar 12 2020 12:01

Abstract We introduce an arbitrage‐free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges...

Mar 12 2020 12:01

Abstract A risk‐averse agent hedges her exposure to a nontradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors....

Mar 12 2020 12:01

Coronavirus #COVID-19 Global Cases by the Center for Systems Science and Engineering at Johns Hopkins University. https://t.co/lj4Oc6wUS6 — moneyscience…

Mar 12 2020 00:02

Google launches TensorFlow Quantum, a machine learning framework for training quantum modelshttps://t.co/izDOEGjh7R — moneyscience (@moneyscience) March 10,…

Mar 12 2020 00:02

Pandemic bonds issued by the World Bank are under fire, accused of having structural flaws that prevent them from supporting poor countries hit hard by…

Mar 12 2020 00:02

The Securities and Exchange Commission today announced that it has adopted a new rule and related form and rule amendments to simplify and streamline disclosures for investors...

Mar 12 2020 00:02

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