How do black swan events go global? -Evidence from US reserves effects on...
Publication date: Available online 6 September 2019Source: Finance Research LettersAuthor(s): Yang Wang, Xinbang Cao, Xiuping Sui, Wenxi ZhaoAbstractThis paper explores the link between the Fed's...
View ArticleAsymmetric volatility in cryptocurrency markets: New evidence from smooth...
Publication date: Available online 10 September 2019Source: Finance Research LettersAuthor(s): Nidhaleddine Ben Cheikh, Younes Ben Zaied, Julien ChevallierAbstractThis paper investigates the presence...
View ArticleInformation, prices and efficiency in an online betting market
Publication date: Available online 10 September 2019Source: Finance Research LettersAuthor(s): Guy Elaad, J. James Reade, Carl SingletonAbstractWe contribute to the discussion on betting market...
View ArticleDoes intraday time-series momentum exist in Chinese stock index futures market?
Publication date: Available online 11 September 2019Source: Finance Research LettersAuthor(s): Yi Li, Dehua Shen, Pengfei Wang, Wei ZhangAbstractIn this paper, we investigate the intraday momentum in...
View ArticleFlight-to-safety and the risk-return trade-off: European evidence
Publication date: Available online 12 September 2019Source: Finance Research LettersAuthor(s): Nektarios Aslanidis, Charlotte Christiansen, Christos S. SavvaAbstractThis paper investigates...
View ArticleIdentifying the impact of crisis on cooperative capital constraint. A short...
Publication date: Available online 12 September 2019Source: Finance Research LettersAuthor(s): Anne Musson, Damien RousselièreAbstractThis research note addresses for the first time the issue of...
View ArticleWhen does the market feel it? Magnitude, speed and persistence of market...
Publication date: Available online 13 September 2019Source: Finance Research LettersAuthor(s): Lis Biell, Xavier Mouchette, Aline MullerAbstractWe empirically characterize the timing dynamics of...
View ArticleThe US–Korea free trade agreement as a shock to product market...
Publication date: Available online 15 September 2019Source: Finance Research LettersAuthor(s): Doowon RyuAbstractThis study examines the effect of product market competition on stock returns by...
View ArticleThe transmission of monetary policy in emerging economies during tranquil and...
Publication date: Available online 16 September 2019Source: Finance Research LettersAuthor(s): Jibrin Yakubu, Afees A. Salisu, Abdullahi Musa, Adebola Omosola, Maximillian Belonwu, Kazeem...
View ArticleThe Impact of US Monetary Policy on Chinese Enterprises’ R&D...
Publication date: Available online 23 September 2019Source: Finance Research LettersAuthor(s): Dongyang Zhang, Yumei Guo, Zhaorui Wang, Yanbin ChenAbstractWith economic globalization, the behaviour of...
View ArticleAsymmetric effect of style comovement on momentum
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Ching-Chi Hsu, Miao-Ling ChenAbstractThis study examines whether the impact of style investing on momentum profits...
View ArticleDoes gold or Bitcoin hedge economic policy uncertainty?
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Shan Wu, Mu Tong, Zhongyi Yang, Abdelkader DerbaliAbstractCalculating the hedge and safe-haven properties of gold...
View ArticleDo cryptocurrencies and traditional asset classes influence each other?
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Josef KurkaAbstractThis paper studies the asymmetric transmission mechanisms of shocks between the most liquid...
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Newsletter May 2019 SLV vs. Vanna-Volga
Editorial Reverse-Knock-Out Pricing Case Study: Stochastic Local Volatility vs. Vanna-Volga Today, letâs revisit pricing a reverse knock-out option (RKO). This call or put option knocks out if at any...
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Newsletter June 2019 DCD in Ugandan Shilling
Editorial DCD in Ugandan Shilling For exporters in Uganda there can be attractive short term investments in USD with a high coupon (in USD), since there are currency options trading in Uganda Shilling...
View ArticleUwe Wystup interview in Bachelier Finance Society Newsletter
Check out here to read more about the how’s, why’s and what-if’s of FX Options in this interview of Uwe Wystup in the Bachelier Finance Society Newsletter The post Uwe Wystup interview in Bachelier...
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Newsletter July 2019 Long Call Option with Negative Time Value
Editorial Long Call Option with Negative Time Value In general derivatives textbooks the value of a call option is often presented as the sum of the intrinsic value max(0,ST-K) and the time value as...
View ArticleUwe Wystup in Wilmott Magazine November 2018: “How Can a 50/50 Bet Have...
Common questions about digital options with notâsoâcommon answersâ¦Check full article here The post Uwe Wystup in Wilmott Magazine November 2018: “How Can a 50/50 Bet Have Odds of 1:2 Instead of...
View ArticleUwe Wystup in Wilmott Magazine March 2019: “Exit Strategy for a Sick...
Article about the Idea of a EUR/CHF Carry Trade The post Uwe Wystup in Wilmott Magazine March 2019: “Exit Strategy for a Sick Floan” appeared first on MathFinance.
View ArticleUwe Wystup in Wilmott Magazine January 2019: “FX Greeks”
Article about covering the possibilities that Greeks in FX create. The post Uwe Wystup in Wilmott Magazine January 2019: “FX Greeks” appeared first on MathFinance.
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