Market Price of Trading Liquidity Risk and Market Depth. (arXiv:1912.04565v1...
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous...
View Article151 Estrategias de Trading (151 Trading Strategies). (arXiv:1912.04492v1...
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This...
View ArticleAdaptive Financial Fraud Detection in Imbalanced Data with Time-Varying...
This paper discusses financial fraud detection in imbalanced dataset using homogeneous and non-homogeneous Poisson processes. The probability of predicting fraud on the financial transaction is...
View ArticleWillingness to Pay for Community-Based Health Insurance among Rural...
Use of healthcare services is inadequate in Ethiopia in spite of the high burden of diseases. User-fee charges are the most important factor for this deficiency in healthcare utilization. Hence, the...
View ArticleDAY TRADE: across the statistics | DAY TRADE: do outro lado das estatisticas....
This paper questions some current ideas about the practice of specific capital market operations - the so-called day trading operations. The text advanced from theoretical propositions to a detailed...
View ArticleClik here to view.
Good management improves productivity, but it may worsen environmental...
The reduction of greenhouse gas (GHG) emissions is an increasingly important policy objective for many governments, both in developed and developing economies. This is reflected, among other things,...
View ArticleMoneyScience: John Kiff's post: Kiffmeister's Fintech Daily Digest 12/10/2019
Kiffmeister's Fintech Daily Digest 12/10/2019 https://t.co/M1Pu3ZayB2 â moneyscience (@moneyscience) December 11, 2019
View ArticleA blockchain firm advised by Nobel laureate Myron Scholes just launched a...
Saga is launching a virtual currency which pegs its value to the IMFâs Special Drawing Rights (SDR) currency basket. But the firm doesnât plan to launch itsâ¦
View ArticleDetecting and quantifying causal associations in large nonlinear time series...
Embed code not available
View ArticleIdiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options
AbstractThe recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First,...
View ArticlePeers’ Income and Financial Distress: Evidence from Lottery Winners and...
AbstractWe examine whether relative income differences among peers can generate financial distress. Using lottery winnings as plausibly exogenous variations in the relative income of peers, we find...
View ArticleInvestment Timing and Incentive Costs*
AbstractWe analyze how the costs of smoothly adjusting capital, such as incentive costs, affect investment timing. In our model, the owner of a firm holds a real option to increase a lumpy form of...
View ArticleCross-Listings and the Dynamics between Credit and Equity Returns
AbstractWe study how listing in multiple markets affects the dynamics between firmsâ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to...
View ArticleOn the Effects of Restricting Short-Term Investment
AbstractWe study the effects of policies proposed to address âshort-termismâ in financial markets. We examine a noisy rational expectations model in which investorsâ exposures and information...
View ArticleDash for Cash: Monthly Market Impact of Institutional Liquidity Needs
AbstractWe present broad-based evidence that the monthly payment cycle induces systematic patterns in liquid markets around the globe. First, we document temporary increases in the costs of debt and...
View ArticleOn the Asset Market View of Exchange Rates
AbstractIf the asset market is complete, then the difference between foreign and domestic agentsâ log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange...
View ArticleSFS Statement
A special committee appointed by the SFS investigated the paper âDo Institutional Investors Demand Public Disclosure,â by A. Bird and S. Karolyi, published in the Review of Financial Studies in...
View ArticleQuantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset...
We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of...
View ArticleSub-sampling and other considerations for efficient risk estimation in large...
Computing risk measures of a financial portfolio comprising thousands of options is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the...
View Article