Government Finance Officers Association (GFOA) Mini-Muni Conference Welcome...
Government Finance Officers Association (GFOA) Mini-Muni Conference Welcome Remarks by Chairman Jay Clayton
View ArticleSEC Awards Over $260,000 to Whistleblowers for Their Help in Spotting...
The Securities and Exchange Commission today announced an award to three individuals who jointly submitted a tip alerting the agency to a well-concealed fraud targeting retail investors. The...
View ArticleRelationship Trading in OTC Markets
ABSTRACT We examine the network of trading relationships between insurers and dealers in the overâtheâcounter corporate bond market. Regulatory data show that oneâthird of insurers use a single...
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Eurosceptic votes are less likely when EU interventions visibly boost local...
Anti-systemic political movements have emerged in recent years in a large number of countries across the globe. These parties generally fuel their public support with anti-elite and anti-establishment...
View ArticleBuffett’s alpha: further explanations from a behavioral value investing...
Abstract Warren Buffett has had extraordinary success as an investor, but there is no agreement as to why. Some academic researchers attribute his performance to mere luck. Frazzini et al. (Financ Anal...
View ArticleIntroducing the Data Exchange
After five years (and 136 episodes) of podcasting under another banner, I am happy to announce the launch of a new independent bi-weekly podcast focused on data, machine learning, and AI: The Data...
View ArticleBeyond Random Assignment: Credible Inference and Extrapolation in Dynamic...
ABSTRACT We derive analytical relationships between shock responses and theoryâimplied causal effects (comparative statics) in dynamic settings with linear profits and linearâquadratic stock...
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Capitalism, Alone: The Future of the System That Rules the World – Book...
If you are interested in this book review, you can listen to a podcast of Branko Milanovic speaking at the LSE public event, ‘Capitalism, Alone: The Future of the System That Rules the World’....
View ArticleMachine Learning: Beyond the Fear of Unknown Unknowns
Machine learning as a way of managing a portfolio is a âwave of the futureâ with a lot of sea to cover before it breaks on the shore. Meson Capital Partners has sent its investors an update and...
View ArticleDetermining Fundamental Supply and Demand Curves in a Wholesale Electricity...
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual...
View ArticleSimulation of Stylized Facts in Agent-Based Computational Economic Market...
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for...
View ArticlePricing Variance Swaps on Time-Changed Markov Processes. (arXiv:1705.01069v3...
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary...
View ArticleOption pricing in exponential L'evy models with transaction costs....
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L'{e}vy process. The model is a generalization...
View ArticleCyber bonds and their pricing models. (arXiv:1911.06698v1 [q-fin.RM])
Motivated by the developments in cyber risk treatment in the finance industry, we propose a general framework of cyber bond, whose main purpose is to insure (compensate) losses of a cyber attack. Based...
View ArticleAn approximate solution for the power utility optimization under predictable...
This work presents an approximate solution of the portfolio choice problem for the investor with a power utility function and the predictable returns. Assuming that asset returns follow the vector...
View ArticleTracking the circulation routes of fresh coins in Bitcoin: A way of...
Bitcoin draws the highest degree of attention among cryptocurrencies, while coin mining is one of the most important fashion of profiting in the Bitcoin ecosystem. This paper constructs fresh coin...
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Power increases cognitive functioning
Life is filled with distractions. Information floods in. Situations change. To successfully navigate these challenges, individuals need to use a set of fundamental mental processes known as executive...
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The role of international climate finance initiatives
Financial institutions have a critical role in stepping up the actions against climate change. In Article 2 of the Paris Agreement, nations agree to scale up finance flows consistently, opening a...
View ArticleDynamically consistent alpha�maxmin expected utility
Abstract The alphaâmaxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically...
View ArticleExistence of a calibrated regime switching local volatility model
Abstract By Gyöngy's theorem, a local and stochastic volatility model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility (LV)...
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