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Some pricing tools for the Variance Gamma model. (arXiv:1912.06031v1 [q-fin.PR])

We establish several closed pricing formula for various path-independent payoffs, under an exponential L'evy model driven by the Variance Gamma process. These formulas take the form of quickly...

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On the uniqueness of solutions of stochastic Volterra equations....

We prove strong existence and uniqueness, and H"older regularity, of a large class of stochastic Volterra equations, with singular kernels and non-Lipschitz diffusion coefficient. Extending...

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Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile....

We construct a data-driven statistical indicator for quantifying the tail risk perceived by the EURGBP option market surrounding Brexit-related events. We show that under lognormal SABR dynamics this...

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Destabilising the financial system via banking channel

International Journal of Financial Markets and Derivatives, Volume 7, Issue 2, Page 191-202, January 2019.

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Measuring portfolio risk of non-energy commodity using time-varying vine copula

International Journal of Financial Markets and Derivatives, Volume 7, Issue 2, Page 163-190, January 2019.

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A performance evaluation of smart beta exchange traded funds

International Journal of Financial Markets and Derivatives, Volume 7, Issue 2, Page 124-162, January 2019.

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Institutional investors' stocks portfolio strategies and commodity prices: a...

International Journal of Financial Markets and Derivatives, Volume 7, Issue 2, Page 101-123, January 2019.

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Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet...

Publication date: Available online 12 December 2019Source: Finance Research LettersAuthor(s): Elie Bouri, Rangan GuptaAbstractWe compare the ability of a newspaper-based measure and an internet...

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Decreasing Investment-cash flow Sensitivity: Further UK Evidence

Publication date: Available online 12 December 2019Source: Finance Research LettersAuthor(s): Michael Machokoto, Umair Tanveer, Shamaila Ishaq, Geofry ArenekeAbstractUsing publicly listed firms in the...

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Informational privacy: a precondition for democratic participation?

The value of informational privacy has long ceased to be seen merely in the protection or exercise of individual autonomy.  Already in the early 1980s, the German Federal Court pointed out that the...

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How Does Credit Supply Expansion Affect the Real Economy? The Productive...

ABSTRACT Credit supply expansion can affect an economy by increasing productive capacity or by boosting household demand. In this study, we develop a test to determine if the household demand channel...

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Consumption Fluctuations and Expected Returns

ABSTRACT This paper introduces a novel consumption‐based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when...

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MoneyScience: Online Training - IBM - Data Visualization with Python

Resource: Online Training - IBM - Data Visualization with Python https://t.co/B0bz4anyWW — moneyscience (@moneyscience) December 12, 2019

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Macroeconomic expectations and time varying heterogeneity:evidence from...

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Why Product Zeitgeist Fit Is Your Startup Cheat Code

If you want to see (and build) the future, don't look at what is working -- look for what isn't. @DCoolican explains what product zeitgeist fit (PZF) is and why…

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MoneyScience: Online Training - IBM - Machine Learning with Python

Resource: Online Training - IBM - Machine Learning with Python https://t.co/16ZNrCRDv2 — moneyscience (@moneyscience) December 13, 2019

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Mutual fund selection for realistically short samples

Publication date: Available online 13 December 2019Source: Journal of Empirical FinanceAuthor(s): Charlotte Christiansen, Niels S. Grønborg, Ole L. NielsenAbstractPerformance of mutual fund selection...

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High-frequency trading and institutional trading costs

Publication date: Available online 13 December 2019Source: Journal of Empirical FinanceAuthor(s): Marie Chen, Corey GarriottAbstractUsing data on Canadian bond futures, we examine how high-frequency...

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The AI Transparency Paradox

Insightful article raising next-gen #AI issues. https://t.co/tiAYJdDiCp — BCMstrategy, Inc. (@BCMstrategy) December 13, 2019

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Firm capital dynamics in centrally cleared markets

Abstract We develop a tractable continuous time model of multifirm capital dynamics in a centrally cleared market. Our framework jointly models the strategic interactions between business operations...

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