Technical trading rules in the cryptocurrency market
Publication date: Available online 6 December 2019Source: Finance Research LettersAuthor(s): Klaus Grobys, Shaker Ahmed, Niranjan SapkotaAbstractThis paper studies simple moving average trading...
View ArticleTime-Varying Price Discovery in Sovereign Credit Markets
Publication date: Available online 7 December 2019Source: Finance Research LettersAuthor(s): Massimo Guidolin, Manuela Pedio, Alessandra TosiAbstractWe analyze time-variation of the price discovery...
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Taking the Floor: Models, Morals and Management in a Wall Street Trading Room...
Taking the Floor: Models, Morals and Management in a Wall Street Trading Room. Daniel Beunza. Princeton University Press. 2019. Find this book:Â In Taking the Floor: Models, Morals and Management in...
View ArticleCredit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
View ArticleBasel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and...
View ArticleCosts of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer...
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The Geometry of Pitch Class Sets
Strange Spaces in Music TheoryContinue reading on Cantorâs Paradise »
View ArticleAnalysis of the Risk-Sharing Principal-Agent problem through the...
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution...
View ArticleBitMEX Funding Correlation with Bitcoin Exchange Rate. (arXiv:1912.03270v1...
This paper examines the relationship between Inverse Perpetual Swap contracts, a Bitcoin derivative akin to futures and the margin funding interest rates levied on BitMEX. This paper proves the...
View ArticleThe international effects of central bank information shocks....
We explore the international transmission of monetary policy and central bank information shocks by the Federal Reserve and the European Central Bank. Identification of these shocks is achieved by...
View ArticleThe Choice of When to Buy and When To Sell. (arXiv:1912.02869v1 [econ.GN])
A consumer who wants to consume a good at a particular period may nevertheless attempt to buy it earlier if he is concerned that the good will otherwise be sold. We analyze the behavior of consumers in...
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From workers to capitalists in less than two generations: the Chinese urban...
The transformation of China from a poor and egalitarian country to an upper middle-income country with the level of income inequality greater than in the United States has been the subject of...
View ArticleMoneyScience: Collected Investopedia Guides to Quants - The Rocket Scientists...
Resource: Collected Investopedia Guides to Quants - The Rocket Scientists of Wall Street https://t.co/XvTfBNtYeo â moneyscience (@moneyscience) December 9,â¦
View ArticleEight AI and Machine Learning Practices Defined and Explained.
Eight AI and Machine Learning Practices Defined and Explained. https://t.co/fc4W5R8X2c â Towards Data Science (@TDataScience) December 9, 2019
View ArticleMoneyScience: Blog - Finance and Philosophy
Resource: Blog - Finance and Philosophy https://t.co/QHWAJP43xs â moneyscience (@moneyscience) December 9, 2019
View ArticleOne-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional...
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