Call for Papers: Special Issue: Complexity and Risk in International Banking
This special issue, edited by Thorsten Beck and Guest Editors Claudia Buch and Linda Goldberg, aims to help researchers and policymakers better understand both this important feature of banking...
View ArticleSEC Charges Orchestrator of Cryptocurrency Scheme Ensnaring Physicians
The Securities and Exchange Commission today filed charges against an Ohio-based businessman who allegedly orchestrated a digital asset scheme that defrauded approximately 150 investors, including many...
View ArticleLessons from CAIS 2020
John Bowman, CFA, Senior Managing Director at CAIA Association âYouâre a kite dancing in a hurricane, Mr. Bond.â (Mr. White to 007, Spectre) Despite the crystal blue island water, softly rolling...
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Measuring Network Centrality
An Intro To Quantifying “Importance” Through Graph TheoryContinue reading on Cantorâs Paradise »
View ArticleThe Perils of Late-Cycle Investing
It is widely believed that much of the world is now experiencing the late stages of a bull market. There will be a downturn because no tree grows to the sky. Forecasting the nature and severity of the...
View ArticleVisualizing Treasury Issuance Strategy. (arXiv:1802.03376v3 [q-fin.PM] UPDATED)
We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are...
View ArticleMathematical Foundations of Regression Methods for the approximation of the...
Abundant literature has been published on approximation methods for the forward initial margin. The most popular ones being the family of regression methods. This paper describes the mathematical...
View ArticleRamsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary...
We consider a frictionless constant endowment economy based on Leeper (1991). In this economy, it is shown that, under an ad-hoc monetary rule and an ad-hoc fiscal rule, there are two equilibria. One...
View ArticleTiming Excess Returns A cross-universe approach to alpha. (arXiv:2002.04304v1...
We present a simple model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. The simplicity of our model is elegant: We only require a...
View ArticleQuantum coupled-wave theory of price formation in financial markets: price...
We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders....
View ArticleOn the statistics of scaling exponents and the Multiscaling Value at Risk....
Scaling and multiscaling financial time series have been widely studied in the literature. The research on this topic is vast and still flourishing. One way to analyse the scaling properties of time...
View ArticleOptimization by Hybridization of a Genetic Algorithm with the PROMOTHEE...
The decision to locate an economic activity of one or several countries is made taking into account numerous parameters and criteria. Several studies have been carried out in this field, but they...
View ArticleKnowledge Diffusion Process & Common Islamic Banking Governance...
Islamic banks being commercial entities strive to earn profit within shariah ambit. Therefore, they seem to be basing themselves upon two knowledge streams namely i) Islamic jurisprudence principles,...
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Medical technology: sometimes more regulation can help innovation
Innovation is the lifeblood of successful businesses. âMoving fast and breaking thingsâ can provide rapid access to new advances and great potential rewards. However, with innovation often comes...
View ArticleThe Market Price of Risk for Delivery Periods: Pricing Swaps and Options in...
In electricity markets futures deliver the underlying over a period and thus function as a swap contract. In this paper we introduce a market price of risk for delivery periods of electricity swaps. In...
View ArticleESG investments: Filtering versus machine learning approaches....
We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly...
View ArticleQuantum Implementation of Risk Analysis-relevant Copulas. (arXiv:2002.07389v1...
Modern quantitative risk management relies on an adequate modeling of the tail dependence and a possibly accurate quantification of risk measures, like Value at Risk (VaR), at high confidence levels...
View ArticleHow Do Expectations Affect Learning About Fundamentals? Some Experimental...
Individuals' output often depends not just on their ability and actions, but also on external factors or fundamentals, whose effect they cannot separately identify. At the same time, many individuals...
View ArticleSatellite reveals age and extent of oil palm plantations in Southeast Asia....
In recent decades, global oil palm production has shown an abrupt increase, with almost 90% produced in Southeast Asia alone. Monitoring oil palm is largely based on national surveys and inventories or...
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Just how dangerous is economics for management practice?
It is often argued that academic ideas have no real significance for the world around us. Academics may profess high ideals about changing the world but their influence upon reality is limited. But...
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