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A coming out party for the world's most valuable company: Aramco's long...
In a year full of interesting initial public offerings, many of which I have looked at in this blog, it is fitting that the last IPO I value this year will be the most unique, a company that after its...
View ArticleGlued to the TV Distracted Noise Traders and Stock Market Liquidity
ABSTRACT In this paper we study the impact of noise traders’ limited attention on financial markets. Specifically we exploit episodes of sensational news (exogenous to the market) that distract...
View ArticleEnhancing Time Series Momentum Strategies Using Deep Neural Networks....
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce...
View ArticleThe Impact of Renewable Energy Forecasts on Intraday Electricity Prices....
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves...
View ArticleCan Deep Learning Predict Risky Retail Investors? A Case Study in Financial...
The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits...
View ArticleDiffusion Approximations for Expert Opinions in a Financial Market with...
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also...
View ArticleOptimal Search and Awareness Expansion. (arXiv:1911.07773v1 [econ.TH])
This paper introduces a search problem where a consumer has to first become aware of an alternative, before being able to search it. Initially, the consumer is aware of only a few alternatives. During...
View ArticleThe Laplace transform of the integrated Volterra Wishart process....
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is...
View ArticleBayesian Filtering for Multi-period Mean-Variance Portfolio Selection....
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually...
View ArticleMathematical Modeling of Systemic Risk in Financial Networks: Managing...
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements...
View ArticleApplication of Principal Component Analysis in Chinese Sovereign Bond Market...
This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data...
View ArticleLinkages between crude oil and emerging Asian stock markets: New evidence...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Imran Yousaf, Arshad HassanAbstractThis study examines returns and volatility spillover between crude oil and...
View ArticleSeasonality in cryptocurrencies
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Lars KaiserAbstractConsidering a relatively large cross-section of ten cryptocurrencies, we test for the existence...
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