Marked point processes and intensity ratios for limit order book modeling....
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative...
View ArticleEffects of the institutional change based on democratization on origin and...
Political systems shape institutions and govern institutional change supporting economic performance, production and diffusion of technological innovation. This study shows, using global data of...
View ArticleComments are welcome. (arXiv:2001.08376v1 [econ.GN])
Scholars present their new research at seminars and conferences, and send drafts to peers, hoping to receive comments and suggestions that will improve the quality of their work. Using a dataset of...
View ArticleA Bayesian Long Short-Term Memory Model for Value at Risk and Expected...
Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score...
View ArticleA growth adjusted price-earnings ratio. (arXiv:2001.08240v1 [q-fin.GN])
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration...
View ArticleSEC Announces Conference on Municipal Securities Disclosure
The Securities and Exchange Commission today announced that it will host a March 10 conference to focus on municipal securities, which are predominantly owned by Main Street investors and help finance...
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Make work fun again
In the summer of 2015, in a crowded beer garden in Barcelona, we talked about work â the work we were doing then. It was a rather sad conversation, because the bottom line was that our jobs were...
View ArticleEmpirical analysis of oil risk-minimizing portfolios: the...
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets â American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe,...
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Predictions for the next decade in Behavioral Science
Behavioral Scientists have put together their favourite predictions, ideas, worries and challenges in the field of behavioral science for the next decade. We were delighted they accepted our pitch on...
View ArticleBlockchain Consensuses Algorithms: A Survey
Blockchain Consensuses Algorithms: A Survey https://t.co/hzDrdmNUhJ â CryptAssets (@CryptAssets) January 23, 2020
View ArticleBlockchain-Powered Collaboration in Heterogeneous Swarms of Robots
Blockchain-Powered Collaboration in Heterogeneous Swarms of Robots https://t.co/6MHRWP5tsB â CryptAssets (@CryptAssets) January 23, 2020
View ArticleFirm-specific investor sentiment and stock price crash risk
Publication date: Available online 23 January 2020Source: Finance Research LettersAuthor(s): Junhui Fu, Xiang Wu, Yufang Liu, Rongda ChenAbstractThis study investigates the impact of firm-specific...
View ArticleFinancial Self-awareness: Who Knows What They Don’t Know?
Publication date: Available online 23 January 2020Source: Finance Research LettersAuthor(s): William J. Bazley, Yosef Bonaparte, George M. KorniotisAbstractWe examine the influence of financial...
View ArticleStatement at the Inaugural Meeting of the Asset Management Advisory Committee
Statement at the Inaugural Meeting of the Asset Management Advisory Committee Commissioner Elad L. Roisman January 14, 2020
View ArticlePre-Election Drift in the Stock Market
There are many calendar / seasonal anomalies by which we can enhance our strategies to gain more return. One of the least frequent but still very interesting anomalies is for sure the Pre-Election...
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