Technical trading rules in the cryptocurrency market
Publication date: Available online 6 December 2019Source: Finance Research LettersAuthor(s): Klaus Grobys, Shaker Ahmed, Niranjan SapkotaAbstractThis paper studies simple moving average trading...
View ArticleTime-Varying Price Discovery in Sovereign Credit Markets
Publication date: Available online 7 December 2019Source: Finance Research LettersAuthor(s): Massimo Guidolin, Manuela Pedio, Alessandra TosiAbstractWe analyze time-variation of the price discovery...
View ArticleHow to Evaluate Smart Beta ETFs
By Nicolas Rabener of FactorResearch (@FactorResearch) Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market...
View ArticleAnalysis of the Risk-Sharing Principal-Agent problem through the...
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution...
View ArticleBitMEX Funding Correlation with Bitcoin Exchange Rate. (arXiv:1912.03270v1...
This paper examines the relationship between Inverse Perpetual Swap contracts, a Bitcoin derivative akin to futures and the margin funding interest rates levied on BitMEX. This paper proves the...
View ArticleThe international effects of central bank information shocks....
We explore the international transmission of monetary policy and central bank information shocks by the Federal Reserve and the European Central Bank. Identification of these shocks is achieved by...
View ArticleThe Choice of When to Buy and When To Sell. (arXiv:1912.02869v1 [econ.GN])
A consumer who wants to consume a good at a particular period may nevertheless attempt to buy it earlier if he is concerned that the good will otherwise be sold. We analyze the behavior of consumers in...
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From workers to capitalists in less than two generations: the Chinese urban...
The transformation of China from a poor and egalitarian country to an upper middle-income country with the level of income inequality greater than in the United States has been the subject of...
View ArticleMoneyScience: Collected Investopedia Guides to Quants - The Rocket Scientists...
Resource: Collected Investopedia Guides to Quants - The Rocket Scientists of Wall Street https://t.co/XvTfBNtYeo â moneyscience (@moneyscience) December 9,â¦
View ArticleEight AI and Machine Learning Practices Defined and Explained.
Eight AI and Machine Learning Practices Defined and Explained. https://t.co/fc4W5R8X2c â Towards Data Science (@TDataScience) December 9, 2019
View ArticleMoneyScience: Blog - Finance and Philosophy
Resource: Blog - Finance and Philosophy https://t.co/QHWAJP43xs â moneyscience (@moneyscience) December 9, 2019
View ArticleOne-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional...
View ArticleThe Chebyshev method for the implied volatility
In this paper, the authors propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which...
View ArticleCurrency risk in foreign currency accounts for small and medium-sized businesses
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
View ArticleThe impact of the cross-shareholding network on extreme price movements:...
By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network...
View ArticleA simulation-based model for optimal demand response load shifting: a case...
This paper describes a case study of analyzing DR load-shifting strategies for a retail electric provider for the Texas (ERCOT) market using a Monte Carlo simulation with stochastic loads and...
View ArticleValidation of index and benchmark assignment: adequacy of capturing tail risk
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
View ArticleValue-at-risk in the European energy market: a comparison of parametric,...
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
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