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View ArticleShorting NMC Health: The Waters are Muddy
NMC Health, an Abu Dhabi-based firm listed on the London Stock Exchange, has suffered a sharp loss in value as a consequence of its dispute with a forensic short seller, Carson Block, the man behind...
View ArticleWhos Ditching the Bus?. (arXiv:2001.02200v1 [physics.soc-ph])
This paper uses stop-level passenger count data in four cities to understand the nation-wide bus ridership decline between 2012 and 2018. The local characteristics associated with ridership decline are...
View ArticleUnderstanding the Great Recession Using Machine Learning Algorithms....
Nyman and Ormerod (2017) show that the machine learning technique of random forests has the potential to give early warning of recessions. Applying the approach to a small set of financial variables...
View ArticleOptimal insurance contract with benefits in kind under adverse selection....
A significant loss of income can have a negative impact on households who are forced to reduce their consumption of some particular staple goods. This can lead to health issues and consequently...
View ArticleA note on the worst case approach for a market with a stochastic interest...
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by...
View ArticleA simple microstructural explanation of concave pice impact....
This article describes a simple model of market microstructure which explains a concave price impact. In the proposed model, the local relationship between the order flow and the fundamental price...
View ArticleWoodford fund debacle shows an investment industry high on hubris
"Woodford and Newman are thought to have collected about £112m from a venture that blew-up five years after launch. It could only happen in investmentâ¦
View ArticleEarly Exercise Decision in American Options with Dividends, Stochastic...
Using a fast numerical technique, we investigate a large database of investorsâ suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The...
View ArticleDoes Option-Based Compensation Affect Payout Policy? Evidence from FAS 123R
Does option-based compensation affect payout policy? To address this question, we examine the adoption of mandatory expensing of stock options. Our identification strategy exploits the fact that the...
View ArticleThe Effect of Financial Flexibility on Payout Policy
We use variation in real estate prices as exogenous shocks to firmsâ debt capacity to study the causal effect of financial flexibility on payout policy. We show that an increase in financial...
View ArticleDo Mutual Fund Investors Overweight the Probability of Extreme Payoffs in the...
We investigate the role of extreme positive payoffs in the distribution of monthly fund returns in investorsâ mutual fund preferences. We document a positive and significant relationship between the...
View ArticleThe Market Microstructure of Central Bank Bond Purchases
We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystemâs QE program). An initial...
View ArticleCentralized Trading, Transparency, and Interest Rate Swap Market Liquidity:...
We use proprietary transaction data on interest rate swaps to assess the effects of centralized trading, as mandated by DoddâFrank, on market quality. Contracts with the most extensive centralized...
View ArticleGovernment Intervention and Strategic Trading in the U.S. Treasury Market
We study the impact of permanent open market operations (POMOs) by the Federal Reserve on U.S. Treasury market liquidity. Using a parsimonious model of speculative trading, we conjecture that i)Â this...
View ArticleShort Selling and Price Discovery in Corporate Bonds
We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman...
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