SEC Proposes to Codify Certain Consultations and Modernize Auditor...
The Securities and Exchange Commission today announced that it is proposing amendments to codify certain staff consultations and modernize certain aspects of its auditor independence framework. The...
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The Market is Huge! Revisiting the Big Market Delusion
For the high-profile IPOs that have reached the market in 2019, with apologies to Charles Dickens for stealing and mangling his words, it has been the best and the worst of years. On the one hand, you...
View ArticleQuantpedia Premium Update – 30th December 2019
Three new strategies have been added. Two new related research papers have been included into existing strategy reviews. And one short free blog post has been published during last few weeks. The post...
View ArticleStart Your Algorithms: Speed is Good Again, or is it?
Until the final days of 2019, it has been a quiet year for high-frequency trading-related news. The whole concept of a trade executed in nanoseconds, and the related concept of a trading program...
View ArticleInvestor Attention on Internet Financial Markets
Publication date: Available online 30 December 2019Source: Finance Research LettersAuthor(s): Rongda Chen, Qian Qian, Chenglu Jin, Min Xu, Qiping SongAbstractInvestor attention is more likely to affect...
View ArticleSmoothed or not smoothed: the impact of the 2008 global financial crisis on...
Publication date: Available online 30 December 2019Source: Finance Research LettersAuthor(s): Erhan KilincarslanAbstractThis study examines the cash dividend behaviour of a panel dataset of 1,178 firms...
View ArticleBooks I enjoyed in 2019
Here are nonfiction books I enjoyed reading in 2019. Not all of these books were released this year, although most them are 2019 releases. I read many of these using Apple Books on my iPad but I've...
View ArticleSelecting stock pairs for pairs trading while incorporating lead-lag...
Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated...
View ArticleA Risk-Sharing Framework of Bilateral Contracts. (arXiv:1901.03874v2...
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for...
View ArticleInformation teleported between two computer chips for the first time
Information teleported between two computer chips for the first timehttps://t.co/Gmue660eg4 â moneyscience (@moneyscience) December 27, 2019
View ArticleDoes export intensity affect corporate leverage? Evidence from Portuguese SMEs
Publication date: Available online 28 December 2019Source: Finance Research LettersAuthor(s): Cátia S. Silva, João M. PintoAbstractThis paper examines the effect of export intensity on a firm's...
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Extending Einstein’s Field Equations
Wave Properties of Matter in Gravitational FieldsContinue reading on Cantorâs Paradise »
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The Analyst’s Traveling Salesman Problem
Turning a Classic Problem Infinite and Fractal-likeContinue reading on Cantorâs Paradise »
View ArticleTop Ten Blog Posts on Quantpedia in 2019
The end of the year is a good time for a short recapitulation. Apart from other things we do (which we will summarize in our next blog in a few days), we have published around 50 short blog posts /...
View ArticleQuantum Neural Networks for FinTech
Quantum Neural Networks for FinTech by Amelie Schreiber https://t.co/2N9b7QO6nk â Towards Data Science (@TDataScience) December 29, 2019
View ArticleHigh-frequency Trading: More Flash to Come
There has been little ânewsâ about high frequency trading in 2019. On the one hand that silence, as a certain famous detective might say, is âthe curious incident.â On the other hand, the...
View ArticleThe equivalent constant-elasticity-of-variance (CEV) volatility of the...
This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, we instead derive the...
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