Incorporating financial market volatility to improve forecasts of directional...
Abstract This study examines whether incorporating volatility improves the forecast of directional changes in the returns of Australiaâs banking, industrial and resource sectors. This study first...
View ArticleFrequency volatility connectedness across different industries in China
Publication date: Available online 24 November 2019Source: Finance Research LettersAuthor(s): Junhua Jiang, Vanja Piljak, Aviral Kumar Tiwari, Janne ÃijöAbstractUtilizing the advantageous method of...
View ArticleArbitrage-Free Relative Nelson−Siegel Model
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Hokuto IshiiAbstractThis paper introduces a model of the difference between home and foreign country...
View ArticleRough volatility of Bitcoin
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tetsuya TakaishiAbstractRecent studies have found that the log-volatility of asset returns exhibits...
View ArticleForeign Investors’ Trading Behaviors around Merger and Acquisition...
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Jin Young Yang, Reuben SegaraAbstractThis study examines foreign investorsâ trading behaviors around...
View ArticleMispricing, Returns and the Quest for Parsimony
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Wanling RudkinAbstractIn the constant trade-off between accurate modelling of stock returns and maintaining...
View ArticleA New Breed of Activism
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tanja Artiga González, Paul CalluzzoAbstractThis paper examines shareholder activism campaigns where...
View ArticleInstitutional investor sentiment, beta, and stock returns
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Wenzhao WangAbstractThis paper examines the role of institutional investor sentiment in determination of...
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The Cognitive Microfoundations Project: a behavioural economics world tour
There has been much talk about microfoundations on the economics blogs in the last few months [Noahpinion, Mark Thoma, Simon Wren-Lewis twice, Andrew Gelman twice, Karl Smith, Paul Krugman twice,...
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Catching up on 2013
I didn't intend to stop posting on here when I started my tour. But things overtook me. Here's a summary of what some of them were:My book, The Psychology of Price, came out. You should buy it!I...
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On the identity and methods of behavioural economics
The FT has a very good article from Tim Harford today, surveying behavioural economics and asking some important questions about it. People within a field can be so immersed in their unconscious...
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My writing elsewhere
I haven't been very active here recently, but here are some links to my writing on other sites:An article for RW Connect about the UK election polls and how behavioural methods could make polling more...
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Discussion 1 of 3: Where do goals come from?
Discussion number 1 in a series of 3: on goal-setting. Part 2 and part 3 have now been published.Much of decision-making psychology (and by extension behavioural economics) explores the processes by...
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Discussion 2 of 3: No spooky action at a distance - a theory of reward
Part 2 in a short series of posts. Part 1 and part 3 are also available.One of the most powerful ideas in physics is the principle of locality. This principle insists that objects can only be...
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How does it feel to be part of Europe?
I had this piece drafted before the murder of Jo Cox last week. But I donât think it changes anything I was going to say. It simply makes it more urgent to say it.May I introduce you to my two lovely...
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Discussion 3 of 3: Lassie died one night
The much-delayed final episode in a short series of posts - part 1 and part 2 here.Lassie died one night.As Thomas Schelling* pointed out in a thought-provoking 1982 essay, millions of people watched...
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The gender pay gap on Euristica: an imaginary island
I recently gave a talk at TEDxCoventGardenWomen about an economic agent-based modelling system I have built (readers of Thomas Schelling may see some influence). In the talk I use this system to...
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