Liquidity risk in markets with trading frictions: What can swing pricing...
Open-end mutual funds expose themselves to liquidity risk by granting their investors the right to daily redemptions at the fund's net asset value. We assess how swing pricing can dampen such risks by...
View ArticleIs the price right? Swing pricing and investor redemptions
How effective are available policy tools in managing liquidity risks in the mutual fund industry? We assess one such tool - swing pricing - which allows funds to adjust their settlement price in...
View ArticleA buffer Hawkes process for limit order books. (arXiv:1710.03506v1 [math.PR]...
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model...
View ArticleHigh Frequency Market Making with Machine Learning. (arXiv:1710.03870v1...
High frequency trading has been characterized as an arms race with 'Red Queen' characteristics [Farmer,2012]. It is improbable, even impossible, that many market participants can sustain a competitive...
View ArticleA 700-seat no-loss composition for the 2019 European Parliament....
The following paper is part of the authors' response to an invitation from the Constitutional Affairs Committee (AFCO) of the European Parliament to advise on mathematical methods for the allocation of...
View ArticleCreative Courage: Leveraging Imagination, Collaboration, and Innovation to...
Creative Courage challenges you to step outside of your comfort zone and truly make an impact. Set aside the same old routine and break the status quobecause you can only rise to new heights if you...
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G2: Building the Next Generation
Vital guidance to ensuring the future of your firmread more...
View ArticleEnterprise Knowledge Capital
Thoroughly grounded in an extensive body of international research and analysis, this book investigates the concepts surrounding a firm’s knowledge capital. These concepts play an integral part in the...
View ArticleScarcity of CEO Talent? Are Board Members Right?
Joann Lublin of the Wall Street Journal reports today on directors' beliefs about the CEO talent pool. She writes:The pool of executives qualified to take over the top job at the biggest U.S. companies...
View ArticleA General Framework for Portfolio Theory. Part I: theory and various models....
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a...
View ArticleComputational Analysis of the structural properties of Economic and Financial...
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial...
View ArticleUtility maximization problem under transaction costs: optimal dual processes...
This paper discusses the num\'eraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at...
View ArticleStochastic Gradient Descent in Continuous Time: A Central Limit Theorem....
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering,...
View ArticleInterest rates and house prices in the United States and around the world
This paper estimates the response of house prices to changes in short- and long-term interest rates in 47 advanced and emerging market economies. We use data that statistical authorities selected as...
View ArticleNew Theory Cracks Open the Black Box of Deep Learning | Quanta Magazine
MT @pierrepinna: New Theory Cracks Open the Black Box of #DeepLearninghttps://t.co/IjjuruioQa http://pic.twitter.com/KxlNtNJdey â RiskDataScienceâ¦
View ArticleHow to Stop Being a Micromanager
We have all worked for a micromanager at one point or another in our careers. The experience can prove very frustrating. We cherish our autonomy and believe in our abilities. We become frustrated...
View ArticleCFTC Comparability Determination on EU Margin Requirements and a Common...
The U.S. Commodity Futures Trading Commission (CFTC) Chairman J. Christopher Giancarlo today announced determinations by the CFTC and the European Commission (EC) on comparability and equivalence of...
View ArticlePrepared Remarks of Chairman J. Christopher Giancarlo at Press Conference to...
Prepared Remarks of Chairman J. Christopher Giancarlo at Press Conference to Announce Comparability Determination on EU Margin Requirements and a Common Approach on Trading Venues
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