Rough stochastic elasticity of variance and option pricing
Publication date: Available online 28 November 2019Source: Finance Research LettersAuthor(s): Jiling Cao, Jeong-Hoon Kim, See-Woo Kim, Wenjun ZhangAbstractThis study is concerned with the elasticity of...
View ArticleExecutive Compensation, Macroeconomic Conditions, and Cash Flow Cyclicality
Publication date: Available online 28 November 2019Source: Finance Research LettersAuthor(s): Stefano ColonnelloAbstractI model the joint effects of debt, macroeconomic conditions, and cash flow...
View ArticleEconomic Policy Uncertainty and Exchange Rates in Emerging Markets: Short and...
Publication date: Available online 29 November 2019Source: Finance Research LettersAuthor(s): Abir AbidAbstractWe revisit the association between fundamentals and exchange rates in emerging markets...
View ArticleEfficiency in the Markets of Crypto-Currencies
Publication date: Available online 29 November 2019Source: Finance Research LettersAuthor(s): Vu Le Tran, Thomas LeirvikAbstractWe show that the level of market-efficiency in the five largest...
View ArticleA neural approach to the value investing tool F-score
Publication date: Available online 29 November 2019Source: Finance Research LettersAuthor(s): Ruth Gimeno, Lidia Lobán, Luis VicenteAbstractThis work is the first neural approach to Piotroski's (2000)...
View ArticleProfitability and Money Propagation in Communities of Bank Clients: A Visual...
Publication date: Available online 2 December 2019Source: Finance Research LettersAuthor(s): Luis Berggrun, Juan Salamanca, Javier DÃaz, Juan David OspinaAbstractWe analyze financial transactions of...
View ArticleCan we beat the Random Walk? The case of survey-based exchange rate forecasts...
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Pablo Pincheira-Brown, Federico NeumannAbstractWe examine the accuracy of survey-based expectations of the...
View ArticleA realized EGARCH-MIDAS model with higher moments
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Xinyu Wu, Haibin XieAbstractThis paper proposes a realized EGARCH-MIDAS model with higher moments...
View ArticleRealised volatility connectedness among Bitcoin exchange markets
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Qiang Ji, Elie Bouri, Ladislav Kristoufek, Brian LuceyAbstractThis paper examines the system of Bitcoin...
View ArticleQuantpedia Premium Update – 30th November 2019
Three new strategies have been added. Three new related research papers have been included into existing strategy reviews. And two short free blog posts about interesting related research papers have...
View ArticleQuantpedia in November 2019
Dear readers, Six new Quantpedia Premium strategies have been added into our database in November, and five new related research papers have been included into existing Premium strategies....
View ArticleHow to Choose the Best Period for Indicators
Academic literature recognizes a large set of indicators or factors that are connected with the various assets. These indicators can be utilized in a variety of trading strategies, which means that...
View ArticleLooking for Bias: Hedge Funds, Funds of Funds and Prime Brokers
Prime brokers help funds of hedge funds identify hedge funds, which creates what the authors of a new paper call a PB bias. This means that portfolios are overweighted to the hedge funds serviced by...
View ArticleSetting The Next Stage in Cryptocurrencies
Telegram Open Network (TON) is a blockchain project supported by a native utility token called the Gram, created by Pavel and Nikolai Durov, who were behind the Telegram messaging app. TON now faces an...
View ArticleRequiem for a Heavyweight
By Bill Kelly, CAIA Association CEO A requiem is a solemn chant for the repose of the dead. Chant-worthiness when it comes to the Enron Corporation is still subject to much debate depending, of course,...
View ArticleHedge Funds and the Value of Diversity and Inclusion
The Alternative Investment Management Association, in conjunction with Ernst & Young, has prepared a paper on inclusion and diversity in the hedge fund industry. The paper begins fittingly with a...
View ArticleAre female top executives more risk-averse or more ethical? Evidence from...
Publication date: Available online 27 November 2019Source: Journal of Empirical FinanceAuthor(s): Trang Doan, Mai Iskandar-DattaAbstractThis study examines the impact of gender in the C-Suite on...
View ArticleForecasting stock returns: A predictor-constrained approach
Publication date: Available online 2 December 2019Source: Journal of Empirical FinanceAuthor(s): Zhiyuan Pan, Davide Pettenuzzo, Yudong WangAbstractWe develop a novel method to impose constraints on...
View ArticleKristina Littman Named Chief of the Cyber Unit
The Securities and Exchange Commission today announced that Kristina Littman has been named Chief of the Division of Enforcementâs Cyber Unit, a national, specialized unit that focuses on protecting...
View ArticleSEC Names John Vanosdall as Deputy Chief Accountant
The Securities and Exchange Commission today announced the appointment of John Vanosdall as a Deputy Chief Accountant (Accounting Group) in the agency's Office of the Chief Accountant. As Deputy Chief...
View ArticleSEC Names Paul Munter as Deputy Chief Accountant
The Securities and Exchange Commission today announced the appointment of Paul Munter as a Deputy Chief Accountant (International) in the agency's Office of the Chief Accountant. As Deputy Chief...
View ArticleComparative Companies' Stock Valuation through Financial Metrics....
Out of the companies, Dolby is the company with the best overall financial and operation health. According to the table that accounted its financial statements for the past three years, Dolby has...
View ArticleModel risk in mean-variance portfolio selection: an analytic solution to the...
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular,...
View ArticleFinancial Market Directional Forecasting With Stacked Denoising Autoencoder....
Forecasting stock market direction is always an amazing but challenging problem in finance. Although many popular shallow computational methods (such as Backpropagation Network and Support Vector...
View ArticleArtificial boundary method for the solution of pricing European options under...
This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility...
View ArticleValuing Tradeability in Exponential L'evy Models. (arXiv:1912.00469v1...
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L'evy type. We consider non-tradeability as a particular type of market illiquidity and...
View ArticleOn Extensions of the Barone-Adesi & Whaley Method to Price American-Type...
The present article provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models as well as American barrier-type options under the Black &...
View ArticleEndogenous Liquidity Crises. (arXiv:1912.00359v1 [q-fin.TR])
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends...
View ArticleOptimal forest rotation under carbon pricing and forest damage risk....
Forests will have two notable economic roles in the future: providing renewable raw material and storing carbon to mitigate climate change. The pricing of forest carbon leads to longer rotation times...
View ArticleA Machine Learning Approach to Adaptive Robust Utility Maximization and...
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require...
View ArticleHeuristic Strategies in Uncertain Approval Voting Environments....
In many collective decision making situations, agents vote to choose an alternative that best represents the preferences of the group. Agents may manipulate the vote to achieve a better outcome by...
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Do tweets from CEOs matter to investors?
Social media provides todayâs CEOs a quicker and more direct way to communicate with investors. The Securities and Exchange Commission cleared public companies to use social media to disclose...
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Brexit will leave the UK worse off economically in all scenarios
Since the UK voted to leave the European Union in June 2016, Brexit has dominated UK politics and economic policy. Three and a half years after the referendum, the UK is yet to leave the EU, there is...
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1931: Debt, Crisis, and the Rise of Hitler – Book Review
1931: Debt, Crisis, and the Rise of Hitler. Tobias Straumann. Oxford: Oxford University Press, 2019. Find this book:Â 1931 was an inflection point in history, a year in which so much of such...
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How to change the paradigm in finance to incorporate a changing environment
Climate change poses existential threats to global prosperity, but political and economic systems are unprepared for responding to that risk. Governance, incentives and thinking are still misaligned....
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To meet its ambitious ‘net zero’ target, the UK will need to ramp...
UK greenhouse gas emissions are declining and have been declining for some time. The UK has a framework of long-run targets developed by the Committee on Climate Change, an independent body of experts...
View ArticleMoneyScience: Online Training - Financial Derivatives: A Quantitative Finance...
Resource: Online Training: Financial Derivatives: A Quantitative Finance View https://t.co/Kv4nj1xpY8 â moneyscience (@moneyscience) December 2, 2019
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