Statement of Acting Chairman J. Christopher Giancarlo before the Market Risk...
Statement of Acting Chairman J. Christopher Giancarlo before the Market Risk Advisory Committee Meeting
View ArticleThings To Say If You Want To Annoy the Biologist in Your Life
If you haven’t been on Twitter lately, perhaps you haven’t heard the news that we recently launched a Biology Research Network (BioRN). As researchers can imagine, we’re pretty stoked to be breaking...
View ArticleClosing Statement of Commissioner Sharon Bowen before the Market Risk...
Closing Statement of Commissioner Sharon Bowen before the Market Risk Advisory Committee
View ArticleStatement of Acting Chairman Chris Giancarlo regarding the announced...
Statement of Acting Chairman J. Christopher Giancarlo on Commissioner Sharon Y. Bowenâs Departure Announcement
View ArticleComplex Correlation Approach for High Frequency Financial Data....
We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced financial data. This method is especially suitable for high frequency data, which...
View ArticleDeep Learning in (and of) Agent-Based Models: A Prospectus....
A very timely issue for economic agent-based models (ABMs) is their empirical estimation. This paper describes a line of research that could resolve the issue by using machine learning techniques,...
View ArticleA class of dynamical contagion credit risk models and their applications....
In this paper, we establish a class of default risk models with possible dynamical contagion between different obligors. Thereby, we derive explicitly the pricing formulae by set-valued Markov chain...
View ArticleLeadership Practices Inventory 5th Edition: Observer
The LPI: Observer is the 30-item observer assessment associated with the Leadership Practices Inventory (LPI) 5th Edition product suite.read more...
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The evolution of inflation expectations in Japan
We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data...
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The Doubling Rule
Picture Credit: Vincent Brown || Einstein never said this, either…read more...
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Uber's bad week: Doomsday Scenario or Business Reset?
Uber just cannot seem to help itself, finding a way to get in the news, and often in ways that leave its image in tatters. You could see this pattern in full display last week, where Travis Kalanick,...
View ArticleStop-loss and Leverage in optimal Statistical Arbitrage with an application...
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for...
View ArticleMarket Efficiency and Growth Optimal Portfolio. (arXiv:1706.06832v1 [q-fin.PM])
The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns....
View ArticleSingular Fourier-Pad\'e Series Expansion of European Option Prices....
We apply a new numerical method, the singular Fourier-Pad\'e (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in L\'evy and affine processes. The motivation...
View ArticleFedEx Saved From Bankruptcy With Blackjack Winnings - Business Insider
How I missed this for all these years is beyond me, but it fits my classes PERFECTLY!! When you have nothing to lose, you might as well take big risks!  See Galai and Masulis as well as very hail...
View ArticleStartup Opportunities: Know When to Quit Your Day Job, 2nd Edition
Startup Opportunities is the go-to guide for anyone with a great business idea. Whether it's your first business or your fifth, realistic assessment from the outset can save you a lot of time and...
View ArticleImplementing the countercyclical capital buffer
Press release about the Basel Committee publishing a range of practices in implementing the countercyclical capital buffer policy (22 June 2017).
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