Conditional Optimal Stopping: A Time-Inconsistent Optimization....
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of...
View ArticleEigen-entropy measure to study phase separation in market behavior....
One of the spectacular examples of a complex system is the financial market, which displays rich correlation structures among price returns of different assets. The eigenvalue decomposition of a...
View ArticleA BSDE-based approach for the optimal reinsurance problem under partial...
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We...
View ArticleTail dependence in the return-volume of leading cryptocurrencies
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Muhammad Naeem, Elie Bouri, Gideon Boako, David RoubaudAbstractWe analyze the average and extreme dependence...
View ArticleThe Pricing Efficiency of Crude Oil Futures in the Shanghai International...
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Chen Yang, Fei Lv, Libing Fang, Xingxing ShangAbstractWe investigate the pricing efficiency of the newly...
View ArticleDissecting the Effectiveness of Firm Financial Strength in Predicting Chinese...
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Fuwei Jiang, Fujing Jin, Guohao TangAbstractThis paper studies whether the financial strength measure,...
View ArticleThe other side of forward guidance: Are central banks constrained by...
Publication date: Available online 15 October 2019Source: Finance Research LettersAuthor(s): Matthieu Picault, Louis RaffestinAbstractWe present a theoretical model in which the central bank cares...
View ArticleDaily expectations of returns index
Publication date: Available online 15 October 2019Source: Journal of Empirical FinanceAuthor(s): Vahid GholampourAbstractThe paper introduces a daily index for expectations of returns based on tweets...
View ArticleStimulating Housing Markets
ABSTRACT We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using differenceâinâdifferences and regression kink...
View ArticleSEC Charges 18 Traders in $31 Million Stock Manipulation Scheme
The Securities and Exchange Commission has filed an emergency action and obtained an asset freeze against 18Â traders in a scheme to manipulate more than 3,000 U.S.-listed securities for over $31...
View ArticleOptimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium...
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity...
View ArticleOn Positive Solutions of a Delay Equation Arising When Trading in Financial...
We consider a discrete-time, linear state equation with delay which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The state equation...
View ArticleCausal Tree Estimation of Heterogeneous Household Response to Time-Of-Use...
We examine the household-specific effects of the introduction of Time-of-Use (TOU) electricity pricing schemes. Using a causal forest (Athey and Imbens, 2016; Wager and Athey, 2018; Athey et al.,...
View ArticleNEU Meta-Learning and its Universal Approximation Properties....
We introduce a new meta-learning procedure, called non-Euclidean upgrading (NEU), which learns algorithm-specific geometries by deforming the ambient space until the algorithm can achieve optimal...
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