A posteriori multi-stage optimal trading under transaction costs and a...
This paper presents a method for the evaluation of a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given...
View ArticleArbitrage and Geometry. (arXiv:1709.07446v1 [q-fin.MF])
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of...
View ArticleDiagnostic Expectations and Stock Returns -- by Pedro Bordalo, Nicola...
We revisit La Porta's (1996) finding that returns on stocks with the most optimistic analyst long term earnings growth forecasts are substantially lower than those for stocks with the most pessimistic...
View ArticleThe Impact of State Medical Marijuana Laws on Social Security Disability...
We study the effect of state medical marijuana laws (MMLs) on Social Security Disability Insurance (SSDI) and Workers' Compensation (WC) claiming. We use data on benefit claiming drawn from the 1990 to...
View ArticleThe Effect of House Prices on Household Borrowing: A New Approach -- by James...
We investigate the effect of house prices on household borrowing using administrative mortgage data from the UK and a new empirical approach. The data contain household-level information on house...
View ArticleProPelled: The Effects of Grants on Graduation, Earnings, and Welfare -- by...
We estimate the effect of grant aid on poor college students' attainment and earnings using student-level administrative data from four-year public colleges in Texas. To identify these effects, we...
View ArticleThe Effects of Accountability Incentives in Early Childhood Education -- by...
In an effort to enhance the quality of early childhood education (ECE) at scale, nearly all U.S. states have recently adopted Quality Rating and Improvement Systems (QRIS). These accountability systems...
View ArticleWhat Lies Beneath: Pipeline Awareness and Aversion -- by Evan Herrnstadt,...
Stated safety concerns are a major impediment to making necessary expansions to the natural gas pipeline network. While revealed willingness to pay to avoid existing natural gas pipelines appears...
View ArticleAgricultural Trade Reform, Reallocation and Technical Change: Evidence from...
We decompose the impact of trade reform on technology adoption and land use to study how aggregate changes were driven by reallocation versus within-farm adaptation. Using detailed census data covering...
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The Role of Student Organizations in Developing Leadership: New Directions...
How can formal student organizations in secondary and post-secondary education leverage the development of student leadership capacities? After describing the historical and current significance of...
View ArticleBig Data
Proceedings of the IFC Satellite Seminar at the ISI Regional Statistics Conference 2017 on "Big Data", Bali, Indonesia, 21 March 2017.
View ArticleCFTC Approves Delegated Authority Provisions for Designated Contract Markets
The U.S. Commodity Futures Trading Commission (CFTC) today adopted final rules delegating authority to CFTC staff, under the agencyâs system safeguards rules, to notify each designated contract...
View ArticlePressure for Directors to Sit on Fewer Boards
The Wall Street Journal's Sarah Krouse and Joann S. Lublin report today that several major institutional investors have been pressuring companies to reduce the number of directors that simultaneously...
View ArticlePricing derivatives in Hermite markets. (arXiv:1709.09068v1 [q-fin.MF])
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we...
View ArticleAnalytic approach to variance optimization under an $\ell_1$ constraint....
The optimization of the variance supplemented by a budget constraint and an asymmetric L1 regularizer is carried out analytically by the replica method borrowed from the theory of disordered systems....
View ArticleA sentiment-based model for the BitCoin: theory, estimation and option...
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system...
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