Pathwise moderate deviations for option pricing
Abstract We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to...
View ArticleBroken Windows: Remarks before the 51st Annual Institute on Securities...
Broken Windows: Remarks before the 51st Annual Institute on Securities Regulation, Commissioner Hester M. Peirce, New York, New York, November 4, 2019
View ArticleInvestors Want Liquidity and They Want it Now
A recent publication from Fidelity Institutional Asset Management, while looking at the money markets in the US, emphasizes that investors are looking for liquidity. The report, written by Kerry Pope...
View ArticleA world of deep fakes
We need to remember that creating fakes is an application, not a tool -- and that a malicious applications are not the whole story.By Ben Lorica and Mike Loukides.[A version of this post appears on the...
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Creating momentum for digital transformation without a burning platform
We know: the most important factor to drive change is a blazingly obvious reason to act. Change management calls these drivers ‘burning platform’ as a metaphor for urgent crises that demand...
View ArticleUncertainty aversion, carry trades and agent heterogeneity in the FX market
Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): XiaoPing Li, Bin Tong, ChunYang ZhouABSTRACTWe examine the roles of heterogeneous agents in the foreign...
View ArticleBank Total Factor Productivity Convergence: Evidence from India
Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Nagaraju Thota, A.C.V. SubrahmanyamAbstractThis study examines the total factor productivity convergence...
View ArticleDo precious metals act as hedges or safe havens for China's financial markets?
Publication date: Available online 12 November 2019Source: Finance Research LettersAuthor(s): Xiaofan PengAbstractThis study examines the hedge and safe haven properties of precious metals on China's...
View ArticleMispricing or Growth? An Empirical Analysis of Acquisition Premium
Publication date: Available online 13 November 2019Source: Finance Research LettersAuthor(s): Shaojie Lai, Xiaoling PuAbstractComparing acquisition premium paid by private equity (PE) and non-PE...
View ArticleAn analysis of Uniswap markets. (arXiv:1911.03380v2 [q-fin.TR] UPDATED)
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 markets and their...
View ArticleMultiple yield curve modelling with CBI processes. (arXiv:1911.02906v2...
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes,...
View ArticleHATS: A Hierarchical Graph Attention Network for Stock Movement Prediction....
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 prices. Recently, there has...
View ArticleStochastic Algorithmic Differentiation of (Expectations of) Discontinuous...
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 stochastic algorithmic...
View ArticleThe "power" dimension in a process of exchange. (arXiv:1809.08293v3...
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 economic theory by...
View ArticleAn alternative quality of life ranking on the basis of remittances....
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 the workers, underlying a...
View ArticlePerturbation analysis of sub/super hedging problems. (arXiv:1806.03543v2...
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 Pricing therein. No-arbitrage...
View ArticleComparing the Forecasting Performances of Linear Models for Electricity...
This paper compares alternative univariate versus multivariate models, frequentist versus Bayesian autoregressive and vector autoregressive specifications, for hourly day-ahead electricity prices, both...
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