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 ArticleMeasuring Innovation and Product Differentiation: Evidence from Mutual Funds
ABSTRACT We study innovation and product differentiation using a uniqueness measure based on textual analysis of prospectuses. We find that small and startup families have higher start rates than...
View ArticleUniqueness for contagious McKean--Vlasov systems in the weak feedback regime....
We present a simple uniqueness argument for a collection of McKean-Vlasov problems that have seen recent interest. Our first result shows that, in the weak feedback regime, there is global uniqueness...
View ArticleHipsters and the Cool: A Game Theoretic Analysis of Social Identity, Trends...
Cultural trends and popularity cycles can be observed all around us, yet our theories of social influence and identity expression do not explain what perpetuates these complex, often unpredictable...
View ArticleFrom microscopic price dynamics to multidimensional rough volatility models....
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most...
View ArticleA Self-Exciting Modelling Framework for Forward Prices in Power Markets....
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively....
View ArticleDeep reinforcement learning for market making in corporate bonds: beating the...
In corporate bond markets, which are mainly OTC markets, market makers play a central role by providing bid and ask prices for a large number of bonds to asset managers from all around the globe....
View ArticleWeekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from...
This paper focuses on the weekly idiosyncratic momentum (IMOM) as well as its risk-adjusted versions with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the...
View ArticleMoneyScience: Paul Tudor Jones - Trader Documentary 1987
Resource: Paul Tudor Jones - Trader Documentary 1987 https://t.co/PUvgEnx41M pic.twitter.com/EIWi3EY0Re â moneyscience (@moneyscience) October 30, 2019
View ArticleSubscribe to read | Financial Times
Some claim computers are getting better at finding profitable patterns in market data - Why hedge fund managers are happy to let the machines take over viaâ¦
View ArticleThe impact of enterprise risk management on the performance of companies in...
In this paper, seven hypotheses are defined, on the basis of which a theoretical model is developed to examine how different sources of enterprise risk affect the operational performance of Serbian...
View ArticleBacktesting expected shortfall: a simple recipe?
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
View ArticleCrash risk exposure, diversification and cost of equity capital: evidence...
Based on a broad sample of Chinese listed firms for the period 2001â10, this study investigates the effect of stock price crash risk exposure n the cost of equity capital and uses the split share...
View ArticleSEC to Host Veterans Day Program for Active Duty Service Members and Veterans
The Securities and Exchange Commission will host a Veterans Day program on Tuesday, Nov. 12. The program will feature a conversation with SEC Chairman Jay Clayton and Colonel James Tuite of the U.S....
View ArticleSTS 013 – Jack Vogel: Market anomalies and quantitative approach to...
Podcast - Jack Vogel: Market anomalies and the quantitative approach to investing - https://t.co/GsaTvDdQZa â moneyscience (@moneyscience) October 30, 2019
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