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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...

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Eigen-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...

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A 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...

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Country herding in the global market

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Tail 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...

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The 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...

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Dissecting 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,...

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The 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...

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Technological diversity, uncertainty and innovation performance

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Patterns and determinants of the horizontal and vertical intra-industry trade...

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OWNERSHIP STRUCTURE AND FIRM EXIT ROUTES

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Can we have growth when population is stagnant? Testing linear growth rate...

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Export sensitivity to time delays and the pattern of international trade

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Daily 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...

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Stimulating Housing Markets

ABSTRACT We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using difference‐in‐differences and regression kink...

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SEC 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 18 traders in a scheme to manipulate more than 3,000 U.S.-listed securities for over $31...

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Optimal 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...

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On 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...

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Causal 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.,...

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NEU 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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