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Imagine you learn about a concert through social media. You saw a friend post that she is excitedly planning to attend. How do you decide whether you want to go? Does it matt...

Jan 28 2020 06:03

The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design...

Jan 28 2020 06:01

This paper proposes a new method for financial portfolio optimisation based on reducing simultaneous asset shocks across a portfolio of assets. We adopt the new semi-metrics o...

Jan 28 2020 06:01

This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. Fi...

Jan 28 2020 06:01

In this note we review the basic mathematical ideas used in finance in the language of modern physics. In the framework of discrete time formalism we discuss the effect time r...

Jan 28 2020 06:01

The Hartman-Watson distribution with density $f_r(t)$ is a probability distribution defined on $t geq 0$ which appears in several problems of applied probability. The density...

Jan 28 2020 06:01

Network Science is an emerging discipline using the network paradigm to model communication systems as pair-sets of interconnected nodes and their linkages (edges). This paper...

Jan 28 2020 06:01

Technological developments worldwide are contributing to the improvement of transport infrastructures and they are helping to reduce the overall transport costs. At the same t...

Jan 28 2020 06:01

Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using mach...

Jan 28 2020 06:01

We propose a novel time discretization for the log-normal SABR model $dS_t = sigma_t S_t dW_t, dsigma_t = omega sigma_t dZ_t$, with $mbox{corr}(W_t,Z_t)=varrho$, which i...

Jan 28 2020 06:01

Player-Compatible Equilibrium (PCE) imposes cross-player restrictions on the magnitudes of the players' "trembles" onto different strategies. These restrictions capture the id...

Jan 28 2020 06:01

This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow il...

Jan 28 2020 06:01

In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We...

Jan 28 2020 06:01

This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures....

Jan 28 2020 00:01

By Bill Kelly, CAIA Association CEO In the interest of brevity, I am going to skip the salutation and get right to the heart of the matter. As my name implies, I am Leery of t...

Jan 28 2020 00:01

The Securities and Exchange Commission today announced charges against a New York-based investment adviser for misleading investors about the management of risk in a mutual f...

Jan 28 2020 00:01

The Securities and Exchange Commission Commission's Office of Compliance Inspections and Examinations (OCIE) today issued examination observations related to cybersecurity ...

Jan 28 2020 00:01

My data updates usually look at the data for the most recent year and what I learn from them, but 2020 also marks the end of a decade. In this post, I look back at markets ove...

Jan 28 2020 00:00

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Jan 27 2020 12:01

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Jan 27 2020 12:01

UK active fund managers suffer bloodbath in 2019 #finance #investment #fundmanagement https://t.co/Cwj6ZanxZb via @financialtimes — Yves Hilpisch (@dyjh)…

Jan 27 2020 12:01

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Jan 27 2020 12:01

In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting...

Jan 27 2020 12:01

This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estima...

Jan 27 2020 12:01

In this study, the author investigates the operational risk reporting practices of Islamic banking institutions (IBIs) and conventional banks (CBs) in Saudi Arabia. Moreover, ...

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Jan 27 2020 12:00

By 2020 service automation, based on robotic process automation (RPA), cognitive automation (CA) and artificial intelligence (AI) has reached an intriguing and confusing mome...

Jan 27 2020 06:03

Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility ...

Jan 27 2020 06:01

In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodi...

Jan 27 2020 06:01

A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfo...

Jan 27 2020 06:01

Many researches have discussed the phenomenon and definition of sharing economy, but an understanding of sharing economy's reconstructions of the world remains elusive. We ill...

Jan 27 2020 06:01

The Social Cost of Carbon (SCC) is estimated by integrated assessment models and is widely used by government agencies to value the climate impacts of rulemakings, however, th...

Jan 27 2020 06:01

This paper analyses how Time Series Analysis techniques can be applied to capture movement of an exchange traded index in a stock market. Specifically, Seasonal Auto Regressiv...

Jan 27 2020 06:01

We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liqui...

Jan 27 2020 06:01

We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability ...

Jan 27 2020 06:01

The Sustainability Accounting Standards Board (SASB), a non-profit organization has developed industry-specific standards across environmental, social, and governance topics, ...

Jan 27 2020 06:01

ABSTRACT We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein...

Jan 27 2020 00:01

ABSTRACT We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high‐dimensional set of...

Jan 27 2020 00:01

ABSTRACT We examine the relation between insiders’ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that a...

Jan 27 2020 00:01

ABSTRACT We study the consequences of, and potential policy responses to, high‐frequency trading (HFT) via the tradeoff between liquidity and information production. Faster...

Jan 27 2020 00:01

ABSTRACT We evaluate the effect of downside insurance on self‐employment. We exploit a large scale reform of French unemployment benefits which insured unemployed workers s...

Jan 27 2020 00:01

ABSTRACT In models of trading with heterogeneous beliefs following Harrison–Kreps, short‐selling is prohibited and agents face constant marginal costs‐of‐carry. The r...

Jan 27 2020 00:01

ABSTRACT We decompose the returns of five well‐known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mea...

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page 581-581, February 2020.

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page 579-580, February 2020.

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page 582-582, February 2020.

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page 1-3, February 2020.

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page 583-584, February 2020.

Jan 27 2020 00:01

The Journal of Finance, Volume 75, Issue 1, Page E1-E1, February 2020.

Jan 27 2020 00:01

A Basic Overview & Visual Introduction To The Magic Of WavesContinue reading on Cantor’s Paradise »

Jan 26 2020 12:01

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Publication date: Available online 25 January 2020Source: Finance Research LettersAuthor(s): Yelena LarkinAbstractAlthough reliance on major customers has been growing over ti...

Jan 26 2020 00:01

Publication date: Available online 24 January 2020Source: Finance Research LettersAuthor(s): Jian Liu, Ting Jiang, Ze YeAbstractThis paper studies the information efficiency o...

Jan 26 2020 00:01

Publication date: Available online 24 January 2020Source: Finance Research LettersAuthor(s): Yanlin Shi, Kin-Yip HoAbstractThis paper examines the impact of public news sentim...

Jan 26 2020 00:01

A mathematical approach.Continue reading on Cantor’s Paradise »

Jan 26 2020 00:00

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The Conservative majority following the December 2019 UK General Election means that negotiations between the UK and EU will from February move from the ‘divorce’ talks t...

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