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The Insurance is the Lemon: Failing to Index Contracts
ABSTRACT We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private...
View ArticleThe Impact of Salience on Investor Behavior: Evidence from a Natural Experiment
ABSTRACT We test whether the display of information causally affects investor behavior in a highâstakes trading environment. Using investorâlevel brokerage data from China and a natural...
View ArticleCorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative...
We propose a novel approach for sampling realistic financial correlation matrices. This approach is based on generative adversarial networks. Experiments demonstrate that generative adversarial...
View ArticleConservation Laws in a Limit Order Book. (arXiv:1910.09202v1 [q-fin.TR])
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved numerically and...
View ArticleEntropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series...
In this work, we develop a novel framework to measure the similarity between dynamic financial networks, i.e., time-varying financial networks. Particularly, we explore whether the proposed similarity...
View ArticleRobustness of Delta hedging in a jump-diffusion model. (arXiv:1910.08946v1...
Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any...
View ArticleBeating the House: Identifying Inefficiencies in Sports Betting Markets....
Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market...
View ArticleNonhedgeable risk and Credit Risk Pricing. (arXiv:1910.08641v1 [q-fin.PR])
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's asset value process,...
View ArticleSector Neutral Portfolios: Long memory motifs persistence in market structure...
We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated from time-varying...
View ArticleEconoquantumphysics and econonetwork: do correlations and eigenstates shape...
We investigate 17 digital currencies making an analogy with quantum systems and develop the concept of eigenportfolios. We show that the density of states of the correlation matrix of these assets...
View ArticleDoes Bitcoin hedge crude oil implied volatility and structural shocks? A...
Publication date: Available online 21 October 2019Source: Finance Research LettersAuthor(s): Debojyoti Das, Corlise Liesl Le Roux, R.K. Jana, Anupam DuttaAbstractIn this article, we examine the hedging...
View ArticlePolitical uncertainty and analysts’ forecasts: Evidence from China
Publication date: Available online 22 October 2019Source: Finance Research LettersAuthor(s): Sijia Yu, Junrui Zhang, Meng QiuAbstractWe examine the impact of political uncertainty on analystsâ...
View Articlehttps://t.co/1gaAyZoJIO
Research: Econoquantumphysics and econonetwork: do correlations and eigenstates shape the taxonomy of the cryptocurrency market?. (arXiv:1910.08627v1â¦
View ArticleThe Lines of Code That Changed Everything
Apollo 11, the JPEG, the first pop-up ad, and 33 other bits of software that have transformed our world.https://t.co/0nke7nsvI2 â moneyscience (@moneyscience)â¦
View ArticleThe Fed Just Printed More Money Than Bitcoin’s Entire Market Cap
The Fed Just Printed More Money Than Bitcoinâs Entire Market Cap https://t.co/v9wEWCbK3w â moneyscience (@moneyscience) October 22, 2019
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