A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity...
ABSTRACT This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Shortâterm position changes are driven mainly by the...
View ArticleExpected government support and bank risk-taking: evidence from China
Publication date: Available online 12 October 2019Source: Finance Research LettersAuthor(s): Shusong Ba, Haifeng Bai, Wenli Huang, Wentao HuAbstractThis research examines the impact of expected...
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How to Perform Calendar Calculations in Your Head
In less than 30 minutes, learn how to calculate which weekday any given date occurs onContinue reading on Cantorâs Paradise »
View ArticleMeet the New Crisis: Looks Like the Old Crises
Last month saw an extraordinary spike in the interest rates of the repo marketâthe market that consists of the (very) short-term, usually the overnight, borrowing of government securities. Hedge...
View ArticleBlindfolded monkeys or financial analysts: who is worth your money? New...
The efficient market hypothesis has been considered one of the most controversial arguments in finance, with the academia divided between who claims the impossibility of beating the market and who...
View ArticleMeasuring productivity dispersion: a parametric approach using the L'{e}vy...
Productivity levels and growth are extremely heterogeneous among firms. A vast literature has developed to explain the origins of productivity shocks, their dispersion, evolution and their relationship...
View ArticleRational hyperbolic discounting. (arXiv:1910.05209v1 [econ.GN])
This paper shows that the $q$-exponential function rationally evaluate the time discounting. When we consider two processes of wealth accumulation with different frequencies, then the discount rate and...
View ArticleStock price formation: useful insights from a multi-agent reinforcement...
In the past, financial stock markets have been studied with previous generations of multi-agent systems (MAS) that relied on zero-intelligence agents, and often the necessity to implement so-called...
View ArticleIncorporating Fine-grained Events in Stock Movement Prediction....
Considering event structure information has proven helpful in text-based stock movement prediction. However, existing works mainly adopt the coarse-grained events, which loses the specific semantic...
View ArticleHow Option Hedging Shapes Market Impact. (arXiv:1910.05056v1 [q-fin.TR])
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local...
View ArticlePricing contingent claims with short selling bans. (arXiv:1910.04960v1...
Guo and Zhu (2017) recently proposed an equal-risk pricing approach to the valuation of contingent claims when short selling is completely banned and two elegant pricing formulae are derived in some...
View ArticleOptimal Trading of a Basket of Futures Contracts. (arXiv:1910.04943v1...
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model...
View ArticlePredicting Auction Price of Vehicle License Plate with Deep Residual...
Due to superstition, license plates with desirable combinations of characters are highly sought after in China, fetching prices that can reach into the millions in government-held auctions. Despite the...
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