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View ArticleUniversity R&D Activities and Firm Innovations
Publication date: Available online 18 November 2019Source: Finance Research LettersAuthor(s): Xiaoying Li, Ying TanAbstractThis paper combines firm R&D activities with local university R&D...
View ArticleDemocratization Without Education
By Bill Kelly, CAIA Association CEO The American history buffs out there will know that we are just a few short weeks away from the 246th anniversary of the Boston Tea Party. Back in 1773, the British...
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A coming out party for the world's most valuable company: Aramco's long...
In a year full of interesting initial public offerings, many of which I have looked at in this blog, it is fitting that the last IPO I value this year will be the most unique, a company that after its...
View ArticleGlued to the TV Distracted Noise Traders and Stock Market Liquidity
ABSTRACT In this paper we study the impact of noise tradersâ limited attention on financial markets. Specifically we exploit episodes of sensational news (exogenous to the market) that distract...
View ArticleEnhancing Time Series Momentum Strategies Using Deep Neural Networks....
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce...
View ArticleThe Impact of Renewable Energy Forecasts on Intraday Electricity Prices....
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves...
View ArticleCan Deep Learning Predict Risky Retail Investors? A Case Study in Financial...
The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits...
View ArticleDiffusion Approximations for Expert Opinions in a Financial Market with...
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also...
View ArticleOptimal Search and Awareness Expansion. (arXiv:1911.07773v1 [econ.TH])
This paper introduces a search problem where a consumer has to first become aware of an alternative, before being able to search it. Initially, the consumer is aware of only a few alternatives. During...
View ArticleThe Laplace transform of the integrated Volterra Wishart process....
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is...
View ArticleBayesian Filtering for Multi-period Mean-Variance Portfolio Selection....
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually...
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