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A Tale of Two Markets: Politics and Investing!
"It was the best of times, it was the worst of times, it was the age of wisdom, it was the age of foolishness, it was the epoch of belief, it was the epoch of incredulity, it was the season of Light,...
View ArticleOnline Adaptive Machine Learning Based Algorithm for Implied Volatility...
In this work, we design a machine learning based method, online adaptive primal support vector regression (SVR), to model the implied volatility surface. The algorithm proposed is the first derivation...
View ArticleDividends with random profitability rate. (arXiv:1706.01813v1 [math.OC])
We study an optimal dividend problem under a bankruptcy constraint where firms face a trade-off between potential bankruptcy and extraction of owner profits. In contrast to previous works, more general...
View ArticleEconophysics of Macro-Finance: Local Multi-fluid Models and Surface-like...
This paper models macro financial variables alike to financial fluids with local interactions and describes surface-like waves of Investment and Profits. We regard macro-finance as ensemble of economic...
View ArticleA predictive pan-European economic and production dispatch model for the...
The energy transition is well underway in most European countries. It has a growing impact on electric power systems as it dramatically modifies the way electricity is produced. To ensure a safe and...
View ArticlePricing Asian options for NIG and VG Levy markets. (arXiv:1706.01562v1...
In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models....
View ArticleHedging in fractional Black-Scholes model with transaction costs....
We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging...
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The effects of monetary policy shocks on inequality in Japan
The impacts of monetary easing on inequality have been attracting increasing attention recently. In this paper, we use the micro-level data on Japanese households to study the distributional effects of...
View ArticleITG Releases May 2017 U.S. Trading Volume
NEW YORK, June 07, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that May 2017 U.S. trading volume was 3.2 billion shares and...
View ArticleInnovating Around the Box
Knowledge@Wharton reports on a new book by Wharton Professor David Robertson. (The Power of Little Ideas). In the author interview, Robertson describes his focus on innovation associated with...
View ArticleRules on combating money laundering and terrorist financing in correspondent...
Press release about the Basel Committee clarifying rules on combating money laundering and terrorist financing in correspondent banking (7 June 2017).
View ArticleSound management of risks related to money laundering and financing of...
The Basel Committee is publishing the "Sound management of risks related to money laundering and financing of terrorism: revisions to correspondent banking annex - final document" report, June 2017.
View ArticleSupply Chain Management and Business Performance: VACS Model
Against this current trend of low growth and high uncertainty, business directors must work with their shareholders to set strategic objectives and define business models.read more...
View ArticleSmart Decisions in Complex Systems
Faced with ever-increasing complexity on a daily basis, the decision-makers of today are struggling to find the appropriate models, methods and tools to face the issues arising in complex systems...
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Innovation, between Science and Science Fiction
Innovation mobilizes complex process in which the imaginary intervenes at various levels. If it is difficult for some players to assert who, science or science fiction is the source of innovations,...
View ArticleCobalt Frenzy: Prices Surge 150% As Tech Giants Battle For Supply | OilPrice.com
The perfect storm that is the #cobalt market https://t.co/B96TIIYNrW â moneyscience (@moneyscience) June 7, 2017
View ArticleHow Did China's WTO Entry Benefit U.S. Consumers? -- by Mary Amiti, Mi Dai,...
China's rapid rise in the global economy following its 2001 WTO entry has raised questions about its economic impact on the rest of the world. In this paper, we focus on the U.S. market and potential...
View ArticleMaimonides Rule Redux -- by Joshua D. Angrist, Victor Lavy, Jetson...
We use the discontinuous function of enrollment known as Maimonides Rule as an instrument for class size in large Israeli samples from 2002-2011. As in the 1991 data analyzed by Angrist and Lavy...
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