Subscribe to read | Financial Times
Obituary. William Fouse, quantitative analyst, 1928-2019 - The âFather of the index fundâ who co-founded Mellon Capital Management https://t.co/ir80svzbVX ââ¦
View ArticleGood institutions and banking sector competitiveness: A semi-parametric evidence
Publication date: Available online 25 October 2019Source: Finance Research LettersAuthor(s): Aklesso Y.G. Egbendewe, Djoulassi K. OloufadeAbstractThis research examines the role of institutionsâ...
View ArticleClik here to view.
Reporting an R-Squared Measure for Count Data Models
This post was prompted by an email query that I received some time ago from a reader of this blog. I thought that a more "expansive" response might be of interest to other readers............In spite...
View ArticleMerger Arb: A Dis-economy of Scale
A new paper in the Journal of Economics and Business presents data on merger arb, and which factors, especially  sector size and individual fund size, do or do not have an impact on the alpha...
View ArticleSparsity and Stability for Minimum-Variance Portfolios. (arXiv:1910.11840v1...
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weight calculation...
View ArticleInequality in Turkey: Looking Beyond Growth. (arXiv:1910.11780v1 [econ.GN])
This paper investigates the relationships between economic growth, investment in human capital and income equality in Turkey. The conclusion drawn based on the data from the OECD and the World Bank...
View ArticleDoes car sharing reduce greenhouse gas emissions? Life cycle assessment of...
Car-sharing platforms provide access to a shared rather than a private fleet of automobiles distributed in the region. Participation in such services induces changes in mobility behaviour as well as...
View ArticleThe Politics of News Personalization. (arXiv:1910.11405v1 [econ.GN])
We study how news personalization affects policy polarization. In a two-candidate electoral competition model, an attention-maximizing infomediary aggregates information about candidate valence into...
View ArticleCoalition-structured governance improves cooperation to provide public goods....
While the benefits of common and public goods are shared, they tend to be scarce when contributions are provided voluntarily. Failure to cooperate in the provision or preservation of these goods is...
View ArticleGold, drug money and a major auditor's 'cover-up'
EY covered up evidence of smuggling and laundering of drug money by an organised crime gang, an investigation has revealed. https://t.co/a4VEwqBRyB ââ¦
View ArticleSEC and Fordham University School of Law to Host Conference on Combating...
The Securities and Exchange Commissionâs New York Regional Office and Fordham University School of Law will host a conference on November 1 on combating community-based financial fraud. Â The...
View ArticleA Harvard Education
By Bill Kelly, CEO, CAIA Association While Harvard the institution is legendary, much less is known about its founding other than by some who have taken those tedious Cambridge tours or the gifted alum...
View ArticleMoneyScience: The Physics of Finance: A Collection of Essays
Resource: The Physics of Finance: A Collection of Essays https://t.co/vhsKvwtJgt â moneyscience (@moneyscience) October 28, 2019
View ArticleMulti-Level Order-Flow Imbalance in a Limit Order Book. (arXiv:1907.06230v2...
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a...
View ArticlePortfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning....
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic...
View ArticleChange of Measure in the Heston Model given a violated Feller Condition....
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller...
View ArticleExtended Reduced-Form Framework for Non-Life Insurance. (arXiv:1802.07741v4...
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In...
View ArticleA generalized reserving model: bridging the gap between pricing and...
Insurers record detailed information related to claims (e.g. the cause of the claim) and policies (e.g. the value of the insured risk) for pricing insurance contracts. However, this information is...
View Article