Hedge Fund Flows Fall Flat in October
The Eurekahedge Hedge Fund Index was up 0.31% in October. However, it doesnât measure up to the market next to the MSCI ACWI (Local), which ended October up 1.93%. Eurekahedgeâs latest monthly...
View ArticleFair Estimation of Capital Risk Allocation. (arXiv:1902.10044v2 [q-fin.RM]...
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of...
View ArticleLifting the Heston model. (arXiv:1810.04868v2 [q-fin.CP] UPDATED)
How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at...
View ArticleDynamic Quantile Function Models. (arXiv:1707.02587v4 [stat.ME] UPDATED)
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond...
View ArticleAsset Price Bubbles in market models with proportional transaction costs....
We study asset price bubbles in market models with proportional transaction costs $lambdain (0,1)$ and finite time horizon $T$ in the setting of [48]. By following [27], we define the fundamental value...
View ArticleSpeed of Rational Social Learning in Networks with Gaussian Information....
We consider a sequential social-learning environment with rational agents and Gaussian private signals, focusing on how the observation network affects the speed of learning. Agents learn about a...
View ArticleDeep Reinforcement Learning for Trading. (arXiv:1911.10107v1 [q-fin.CP])
We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatility scaling is...
View ArticleSpeculative Trading, Prospect Theory and Transaction Costs....
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset as to maximize the expected utility of the round-trip profit net of...
View ArticleTowards Quantification of Explainability in Explainable Artificial...
Artificial Intelligence (AI) has become an integral part of domains such as security, finance, healthcare, medicine, and criminal justice. Explaining the decisions of AI systems in human terms is a key...
View ArticleCollectivised Pension Investment with Homogeneous Epstein-Zin Preferences....
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investment-consumption...
View ArticleEstimation of the Parameters of Symmetric Stable ARMA and ARMA-GARCH Models....
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable...
View ArticleInvestigating bankruptcy prediction models in the presence of extreme class...
In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class...
View ArticleThe artefact of the Natural Resources Curse. (arXiv:1911.09681v1 [econ.GN])
This paper reexamines the validity of the natural resource curse hypothesis, using the database of mineral exporting countries. Our findings are as follows: (i) Resource-rich countries (RRCs) do not...
View ArticleClik here to view.
John Van Reenen: ‘A lot of promises are just smoke and mirrors’
As director of LSE’s Centre for Economic Performance (CEP) up to 2016, British economist John Van Reenen led a team of academic researchers who produced detailed analysis of the consequences a divorce...
View ArticleClik here to view.
The Cognitive Microfoundations Project: a behavioural economics world tour
There has been much talk about microfoundations on the economics blogs in the last few months [Noahpinion, Mark Thoma, Simon Wren-Lewis twice, Andrew Gelman twice, Karl Smith, Paul Krugman twice,...
View ArticleClik here to view.
Catching up on 2013
I didn't intend to stop posting on here when I started my tour. But things overtook me. Here's a summary of what some of them were:My book, The Psychology of Price, came out. You should buy it!I...
View ArticleClik here to view.
On the identity and methods of behavioural economics
The FT has a very good article from Tim Harford today, surveying behavioural economics and asking some important questions about it. People within a field can be so immersed in their unconscious...
View ArticleClik here to view.
My writing elsewhere
I haven't been very active here recently, but here are some links to my writing on other sites:An article for RW Connect about the UK election polls and how behavioural methods could make polling more...
View ArticleClik here to view.
Discussion 1 of 3: Where do goals come from?
Discussion number 1 in a series of 3: on goal-setting. Part 2 and part 3 have now been published.Much of decision-making psychology (and by extension behavioural economics) explores the processes by...
View Article