Is surge pricing the fairest way to manage demand? https://t.co/12uGMd8mU4 — moneyscience (@moneyscience) November 13, 2019

Nov 13 2019 18:01

The Securities and Exchange Commission today named Marie-Louise (Malou) Huth as Chief Counsel for the Division of Economic and Risk Analysis (DERA).   Ms. Huth will lead DE...

Nov 13 2019 18:01

An Intuitive Approach to Topics in Dynamical SystemsContinue reading on Cantor’s Paradise »

Nov 13 2019 18:01

Wilmott, Volume 2019, Issue 104, Page 1-1, November 2019.

Nov 13 2019 18:00

Wilmott, Volume 2019, Issue 104, Page 96-96, November 2019.

Nov 13 2019 18:00

Wilmott, Volume 2019, Issue 104, Page 4-7, November 2019.

Nov 13 2019 18:00

Our feeling, unfortunately, is that Marc's article will be far from useless.

Nov 13 2019 18:00

In case we needed reminding that electricity is going to be the preferred option for powering our cars in the not too distance future, Lotus propels itself into new territory...

Nov 13 2019 18:00

Not long ago, decentralization of the FX market hindered real time access to global trade volumes. Things have changed…

Nov 13 2019 18:00

Spoiler: I don't know he answer but some upcoming experiments in cryptocurrency may point the was toward an answer.

Nov 13 2019 18:00

Payoff, P&L and financial exchange rate diagrams, the risk of short options, and a long call option with a negative time value.

Nov 13 2019 18:00

The next industrial revolution will require the emergence of a brand new engineering discipline, one that will be data‐driven, computationally intensive, biology‐inspired...

Nov 13 2019 18:00

Marc Henrard examines why the LIBOR fallback proposals are not satisfactory – explaining why the main proposal is not achievable in practice and a fundamental revision of t...

Nov 13 2019 18:00

First 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 ...

Nov 13 2019 18:00

Despite a combined market value of trillions of dollars, Securitization Swaps have long been neglected in both the practitioner and academic literature. Securitisation Swaps:...

Nov 13 2019 18:00

Prepare to handicap the handicappers if you're set on the six.

Nov 13 2019 18:00

Typical Monte Carlo (MC) simulation in finance starts with the generation of d‐dimensional vectors of independent uniform [0,1] random numbers. Quasi random numbers (i.e. S...

Nov 13 2019 18:00

LSTMs promise much to financial time-series analysis, temporal and cross-sectional inference, but we find they do not deliver in a real-world financial management task. We exa...

Nov 13 2019 12:02

Rank size plots of very different systems are usually fitted with Zipf's law, however, one often observes strong deviations at large sizes. We show that these deviations conta...

Nov 13 2019 12:02

We provide an exact analytical solution of the Nash equilibrium for the $k$th price auction by using inverse of distribution functions. As applications, we identify the unique...

Nov 13 2019 12:02

Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which...

Nov 13 2019 12:02

This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications, for hourly day-ahea...

Nov 13 2019 12:02

We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricin...

Nov 13 2019 12:02

Remittances mean an important connection between people working abroad and their home countries. This paper considers these transfers as a measure of preferences revealed by t...

Nov 13 2019 12:02

The field of study of this paper is the analysis of the exchange between two subjects. Circumscribed to the micro dimension, it is however expanded with respect to standard ec...

Nov 13 2019 12:02

In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a...

Nov 13 2019 12:02

Many researchers both in academia and industry have long been interested in the stock market. Numerous approaches were developed to accurately predict future trends in stock p...

Nov 13 2019 12:02

We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavi...

Nov 13 2019 12:02

Uniswap---and other constant product markets---appear to work well in practice despite their simplicity. In this paper, we give a simple formal analysis of constant product ma...

Nov 13 2019 12:02

Publication date: Available online 13 November 2019Source: Finance Research LettersAuthor(s): Shaojie Lai, Xiaoling PuAbstractComparing acquisition premium paid by private equ...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Xiaofan PengAbstractThis study examines the hedge and safe haven properties of pr...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Nagaraju Thota, A.C.V. SubrahmanyamAbstractThis study examines the total factor p...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): XiaoPing Li, Bin Tong, ChunYang ZhouABSTRACTWe examine the roles of heterogeneous...

Nov 13 2019 12:01

Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Seema Narayan, Mobeen Ur RehmanAbstractThis study examines long- and short-run di...

Nov 13 2019 12:01

Publication date: Available online 13 November 2019Source: Journal of Empirical FinanceAuthor(s): Massimiliano Caporin, Farooq MalikAbstractWe show through extensive Monte Car...

Nov 13 2019 12:01

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Nov 13 2019 12:01

MMM Global, a ponzi scheme, relied on bitcoin for payments. And since bitcoin transactions are public, the authors of this paper were able to get unique…

Nov 13 2019 12:01

Last week, UBS boldly claimed that companies run by billionaires "outperform", because billionaires are "smart risk-takers". This entire claim was based on…

Nov 13 2019 12:01

Activists and academics alike hailed the conclusion of the Accord on Fire and Building Safety which offered hope that lessons had been learned from the carnage of the 2013 Ra...

Nov 13 2019 06:08

Matthew X. Hanauer and Steffen Windmueller, two scholars affiliated with the Technical University of Munich, compare the performance of three risk management approaches applic...

Nov 13 2019 00:09

Today, jurors in New York federal court returned a verdict in the Securities and Exchange Commission's favor against a trading firm headquartered in Kiev, Ukraine, and two ind...

Nov 13 2019 00:00

Abstract In a market with price impact proportional to a power of the order flow, we find optimal trading policies and their implied performance for long‐term investors who...

Nov 12 2019 18:01

Abstract Given a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contr...

Nov 12 2019 18:01

Explained as simply as possible, but no simpler.Continue reading on Cantor’s Paradise »

Nov 12 2019 18:01

Publication date: Available online 11 November 2019Source: Finance Research LettersAuthor(s): Leonardo Riegel Sant’Anna, Alan Delgado de Oliveira, Tiago Pascoal Filomena, Jo...

Nov 12 2019 18:01

Publication date: Available online 11 November 2019Source: Finance Research LettersAuthor(s): Yener Altunbaş, John ThorntonAbstractIn a panel of 121 developed and developing ...

Nov 12 2019 18:01

Everyone who lived during the 2007 and 2009 crisis knows what the biggest weakness of the equity momentum strategy was. It was right during the spring of 2009 when the financi...

Nov 12 2019 18:00

Publication date: Available online 11 November 2019Source: Journal of Empirical FinanceAuthor(s): Xiaoyuan WanAbstractWe propose a framework based on limit order book to analy...

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In the early aughts, Nokia produced the most coveted mobile phones in the world, before it was disrupted by big tech giants ushering in the age of smartphones. The Finnish mu...

Nov 12 2019 06:03

Abstract We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy‐and‐hold) posi...

Nov 12 2019 06:01

Hedge funds recently are interested in taking the long position on Telenav (NASDAQ: TNAV). According to Insider Monkey, the number of hedge funds with positions in TNAV rose f...

Nov 12 2019 00:06

Academics accuse Morningstar of misclassifying bond funds https://t.co/9LCxUPwxIg — Financial Times (@FT) November 11, 2019

Nov 12 2019 00:01

Prisoner's dilemma game reveals cooperation leads to leadershiphttps://t.co/bCFZypqBmD — moneyscience (@moneyscience) November 11, 2019

Nov 11 2019 18:01

Do Bank Management Training Programs Create 'Leaders of Yesterday'? https://t.co/LMuIda7zOG — Citadel Advantage (@StanleyEpstein) November 11, 2019

Nov 11 2019 18:01

Video - Weather #derivatives - supporting hedging against climate change https://t.co/gr7ZI5a2xZ — moneyscience (@moneyscience) November 11, 2019

Nov 11 2019 18:01

Laura Ballotta, Reader in Financial Mathematics @cassbusiness, presented her latest work on weather #derivatives at #QuantMinds earlier this year. You can watch…

Nov 11 2019 18:01

"Neural networks that borrow strategies from biology are making profound leaps in their abilities. Is ignoring a goal the best way to make truly intelligent…

Nov 11 2019 18:01

OTC #derivatives notional amounts soared over the first six months of 2019 to their highest level since 2014. The values of outstanding contracts also climbed…

Nov 11 2019 18:01

The coin that never sleeps. The privacy preserving usage of Bitcoin in a longitudinal analysis as a speculative asset. (arXiv:1911.03226v1…

Nov 11 2019 18:01

Resource: Scala Documentation Page https://t.co/ZaWh3Th7yf — moneyscience (@moneyscience) November 11, 2019

Nov 11 2019 18:01

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Nov 11 2019 18:01

“Most mathematicians prove what they can, von Neumann proves what he wants”Continue reading on Cantor’s Paradise »

Nov 11 2019 18:01

Volume 19, Issue 12, December 2019, Page 1951-1951.

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Nov 11 2019 12:01

Labour market reforms are notoriously difficult to grasp, especially compared to other reforms such as trade or financial liberalisation. One can argue that this is because l...

Nov 11 2019 06:04

A quantum version of the building block behind neural networks could be exponentially more powerful.https://t.co/ZNVXzaYRR7 — moneyscience (@moneyscience)…

Nov 10 2019 18:01

The Age of Surveillance Capitalism: The Fight for a Human Future at the New Frontier of Power. Shoshana Zuboff. Profile Books. 2019. Find this book:  Early this year, Shosh...

Nov 10 2019 12:01

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