Long-range Auto-correlations in Limit Order Book Markets: Inter- and...
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data...
View ArticlePortfolio Optimization and Model Predictive Control: A Kinetic Approach....
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The...
View ArticleOptimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon....
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given...
View ArticleKobe Steel, Middle Managers, and Unethical Behavior
The Wall Street Journal reports today about the results of an interim investigation into the product quality scandal at Japan's Kobe Steel. According to the newspaper, "Kobe Steel Ltd. released a...
View ArticleApplied Probabilistic Calculus for Financial Engineering: An Introduction...
Illustrates how R may be used successfully to solve problems in quantitative financeread more...
View ArticleNonconcave Robust Optimization under Knightian Uncertainty....
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies are restricted to those taking values in a discrete set. The optimization problems under...
View ArticleEfficient Simulation for Portfolio Credit Risk in Normal Mixture Copula...
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default. One such performance measure of interest is the...
View ArticleVariance optimal hedging with application to Electricity markets....
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy...
View ArticleOptimal portfolio with insider information on the stochastic interest rate....
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time. The agent's objective is to optimize the...
View ArticleThe Many Ways Amazon and Others Could Storm the Gates of Finance
The Many Ways Amazon and Others Could Storm the Gates of Finance https://t.co/m1JoIMVv1j — moneyscience (@moneyscience) November 13, 2017
View ArticleRemarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and...
Remarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and Industry Forum, Singapore
View ArticleOn the Economics of Audit Partner Tenure and Rotation: Evidence from PCAOB...
This paper provides the first partner tenure and rotation analysis for a large cross-section of U.S. publicly listed firms over an extended period. We analyze the effects on audit quality as well as...
View ArticleHow Well Do Structural Demand Models Work? Counterfactual Predictions in...
Discrete choice demand models are widely used for counterfactual policy simulations, yet their out-of-sample performance is rarely assessed. This paper uses a large-scale policy change in Boston to...
View ArticleThe Gold Pool (1961-1968) and the Fall of the Bretton Woods System. Lessons...
The Gold Pool (1961-1968) was one of the most ambitious cases of central bank cooperation in history. Major central banks pooled interventions - sharing profits and losses - to stabilize the dollar...
View ArticleEducational Upgrading and Returns to Skills in Latin America: Evidence from a...
This paper documents the evolution of wage differentials and the supply of workers by educational level for sixteen Latin American countries over the period 1991-2013. We find a pattern of rather...
View ArticleDaily Price Limits and Destructive Market Behavior -- by Ting Chen, Zhenyu...
We use account-level data from the Shenzhen Stock Exchange to show that daily price limits, a widely adopted market stabilization mechanism, may lead to unintended, destructive market behavior: large...
View ArticleThe Life-Cycle Dynamics of Exporters and Multinational Firms -- by Anna...
This paper studies the life-cycle dynamics of exporters and multinational enterprises (MNEs). We present a dynamic model of trade and MNE activity in which the mode of serving a market depends on the...
View ArticlePremium or Penalty? Labor Market Returns to Novice Public Sector Teachers --...
It is unclear whether public sector teachers are under or overpaid relative to other occupations due to lack of knowledge about teachers' outside labor market options and other unobserved attributes...
View ArticleDoes Economic Insecurity Affect Employee Innovation? -- by Shai Bernstein,...
Do household wealth shocks affect employee productivity? We examine this question through the lens of technological innovation, by comparing employees that worked at the same firm and lived in the same...
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